本文關(guān)鍵詞：我國開放式基金業(yè)績持續(xù)性分析　出處：《青島大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 開放式基金 業(yè)績持續(xù)性 列聯(lián)表法 kendall協(xié)同系數(shù)法 馬爾科夫過程

【摘要】：隨著我國經(jīng)濟(jì)快速發(fā)展,人均國民收入水平的提高,催生了眾多中小投資者參與社會投資的需求。中小投資者的資金量小,而且分散,一般的投資方式很難使其獲得與大投資者一樣的投資收益。證券投資基金恰巧滿足了眾多中小投資者的這一需求,它將社會的分散資金集中起來,匯集成規(guī)模較大的資金,采用專業(yè)化的團(tuán)隊進(jìn)行管理,運用投資組合降低投資風(fēng)險,從而獲得較高的收益,因此證券投資基金在眾多中小投資需求的刺激下快速地發(fā)展起來。 證券投資基金業(yè)績持續(xù)性分析,是研究基金的歷史業(yè)績對未來業(yè)績是否存在一定程度的揭示作用。本文著重考察2002年之前上市的,可收集到數(shù)據(jù)的17只開放式基,并對樣本周期在3個月、6個月、1年、2年、3年、5年和整個樣本期的不同情況,進(jìn)行業(yè)績持續(xù)性問題的探討。 首先,采用列聯(lián)表法,以周收益率和夏普比率為評價指標(biāo)對基金整體業(yè)績持續(xù)性進(jìn)行分析。研究結(jié)果表明：以夏普比率為評價指標(biāo)的基金業(yè)績持續(xù)性要優(yōu)于以周收益率為評價指標(biāo)的基金業(yè)績持續(xù)性,基金整體業(yè)績持續(xù)性隨檢驗周期的延長而減弱。 其次,采用kendall協(xié)同系數(shù)法,以周收益率和夏普比率的排序為評價指標(biāo),對基金業(yè)績排名穩(wěn)定性進(jìn)行分析。分析結(jié)果表明,基金收益率排序指標(biāo)幾乎不存在穩(wěn)定性。 最后,運用馬氏鏈一步轉(zhuǎn)移矩陣和達(dá)到穩(wěn)定態(tài)的結(jié)果對以兩年、三年、五年為考察周期的基金業(yè)績排序穩(wěn)定性進(jìn)行分析及預(yù)測,研究結(jié)果發(fā)現(xiàn)：基金的周收益率排序整體上幾乎不存在持續(xù)性；大部分基金業(yè)績排序不穩(wěn)定；并預(yù)測了穩(wěn)態(tài)分布情況下各個基金業(yè)績未來一段時間所在的排名位置。
[Abstract]:With the rapid development of China's economy and the improvement of per capita national income, the demand of many small and medium-sized investors to participate in social investment has been spawned. The amount of funds of small and medium-sized investors is small and dispersed. It is difficult to obtain the same investment income as large investors in general investment methods. Securities investment funds happen to meet the needs of many small and medium-sized investors, it concentrates the scattered funds of the society. Pooled into larger funds, the use of professional teams to manage, use the portfolio to reduce investment risk, thus obtaining higher returns. Therefore, securities investment funds in a large number of small and medium-sized investment demand under the stimulation of rapid development. The sustainability analysis of the performance of the securities investment funds is to study whether the historical performance of the fund has a certain degree of revealing effect on future performance. This paper focuses on the listed before 2002. There are 17 open bases which can collect the data, and the performance continuity of the sample period in 3 months, 6 months, 1 year, 2 years, 3 years, 5 years and the whole sample period is discussed. First of all, the column table method is used. Based on the weekly rate of return and Sharpe ratio as evaluation indicators, the analysis of the fund's overall performance sustainability. The results show that:. The sustainability of fund performance based on sharp ratio is better than that on weekly rate of return. Fund overall performance sustainability with the extension of the test cycle and weakened. Secondly, the stability of fund performance ranking is analyzed by using kendall synergy coefficient method and ranking of weekly rate of return and Sharpe ratio as evaluation index. There is almost no stability in the index of fund return ranking. Finally, using the one-step transfer matrix of Markov chain and the results of stable state, the stability of fund performance ranking is analyzed and forecasted in the period of two years, three years and five years. The results show that the weekly rate of return of the fund is almost non-persistent; Most of the fund performance ranking is unstable; And predicted the stable distribution of the performance of each fund in the next period of time where the ranking position.
【學(xué)位授予單位】：青島大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

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本文編號：1371271