本文選題：開放式基金 + 績效評價�。� 參考：《西南財經(jīng)大學(xué)》2013年碩士論文

【摘要】：1998年3月27日,經(jīng)過中國證監(jiān)會批準(zhǔn),南方基金管理公司和國泰基金管理公司分別發(fā)行了兩支規(guī)模為20億元的封閉式基金—基金開元和基金金泰,由此我國拉開了證券投資基金試點的序幕。在接下來的十幾年里我國的基金行業(yè)經(jīng)歷了飛速的發(fā)展,資產(chǎn)規(guī)模不斷壯大,基金種類也不斷豐富,而且創(chuàng)新型的產(chǎn)品不斷涌現(xiàn),在資本市場中成為機構(gòu)投資者中的主力,發(fā)揮了中流砥柱的作用；另一方面,證券投資基金以集合投資、分散風(fēng)險、專家理財?shù)泉毺氐膬?yōu)勢贏得了廣大投資者的認(rèn)可,成為我國居民日常生活中常用的投資理財方式。其中開放式基金逐步成為基金市場中的主流,截止2011年底,全部基金的份額規(guī)�？傆�26509.93億份,資產(chǎn)凈值總計21918.40億元,其中開放式基金共有964只,其份額規(guī)�？傆�25147.80億份,在全體基金份額規(guī)模中占比94.86%,其資產(chǎn)凈值總計20693.45億元,在全體基金資產(chǎn)凈值中占比94.41%。其中股票方向基金共有631只,資產(chǎn)凈值合計16317.80億元,占全部基金資產(chǎn)凈值21918.40億元的74.45%’。 隨著證券投資基金的快速發(fā)展,基金在經(jīng)濟(jì)生活中地位越來越高,從宏觀層面來講,對基金運作績效進(jìn)行客觀、科學(xué)評價能夠為公募基金健康運作提供監(jiān)督,能使基金市場各方都能對特定基金的運作效果增進(jìn)了解,有助于我國公募基金行業(yè)持續(xù)健康發(fā)展。 從微觀層面來講,基金績效評價的相關(guān)研究對于證券投資基金市場的參與各方來說都具有非常重要的意義。基金績效的評價可以為基金管理人衡量自己某一階段的管理工作成效提供一套科學(xué)、客觀、合理的工具,有助于將基金管理人的利益與基金持有人的利益同一化,同時也有助于基金管理人發(fā)現(xiàn)基金運作過程中的失誤與不足,調(diào)整操作策略,提升運作業(yè)績。此外基金績效評價可以使得代銷渠道發(fā)掘優(yōu)秀產(chǎn)品,了解已銷售基金產(chǎn)品的運作情況,明確不同基金產(chǎn)品的風(fēng)險收益狀況,與客戶的風(fēng)險偏好匹配,提升客戶資產(chǎn)的配置效果。而且基金績效評價還有助于監(jiān)管者了解證券投資基金市場的運行態(tài)勢,結(jié)合基金市場的創(chuàng)新產(chǎn)品,可以及時的調(diào)整、修改監(jiān)管法規(guī)法則,滿足新時期基金監(jiān)管的需求。 在此背景下,我選擇了對我國股票型開放式基金運作績效進(jìn)行研究,其中本文主要的貢獻(xiàn)有以下幾點： (一)本文從基金平衡收益與風(fēng)險的能力、管理能力與業(yè)績的持續(xù)性三個方面,運用了十幾個指標(biāo)及方法對于樣本基金在考察期內(nèi)的運作績效進(jìn)行了系統(tǒng)性全面性的評價； (二)在對經(jīng)風(fēng)險調(diào)整后的收益指標(biāo)和基金管理能力進(jìn)行評價時,不僅針對指標(biāo)反映的基金業(yè)績做了評價,而且對各個指標(biāo)之間或是估計系數(shù)之間的相關(guān)性進(jìn)行了分析,探求了不同評價指標(biāo)和不同評價方法之間評價結(jié)果的一致性； (三)在對基金業(yè)績持續(xù)性進(jìn)行評價時采用了較為新穎的轉(zhuǎn)移矩陣法和業(yè)績總持續(xù)性指標(biāo)分析,并且嘗試探求基金經(jīng)理更迭對基金業(yè)績持續(xù)性的影響； (四)在考察階段的選取上,既采用了距今很近的現(xiàn)實數(shù)據(jù),而且包含了牛市、平衡市、熊市、反彈市等多種市場環(huán)境,可以較為全面的考察股票型開放式基金在不同市場環(huán)境下的運作績效。 本文選取了2009年1月1日之前成立的20只股票型開放式基金,并依照其在2009年1月到2012年6月的收益率數(shù)據(jù)對樣本基金的運作績效進(jìn)行了考察和研究,本文具體分為了五個部分： 第一部分為緒論部分,主要介紹了本文研究的背景、研究的微觀與宏觀意義、本文采用的研究方法以及論文研究框架、以及與開放式基金相關(guān)的重要概念,旨在為后文的深入研究做好鋪墊工作。 第二部分為海內(nèi)外文獻(xiàn)綜述部分,通過對大量文獻(xiàn)的閱讀和思考,總結(jié)分析了海內(nèi)外文獻(xiàn)中關(guān)于基金業(yè)績評價的理論和內(nèi)容,海外部分的文獻(xiàn)綜述側(cè)重與介紹和梳理關(guān)于基金業(yè)績評價的經(jīng)典理論以及對于基金業(yè)績評價研究的發(fā)展趨勢。國內(nèi)文獻(xiàn)綜述部分側(cè)重于我國學(xué)者對于我國基金業(yè)績評價的實踐分析和理論創(chuàng)新的整理和梳理。 第三部是理論與模型介紹部分,主要介紹本文實證研究所需要用到指標(biāo)的方法,而且是分為5個角度來進(jìn)行介紹的,首先是基金業(yè)績評價的傳統(tǒng)收益指標(biāo),主要介紹了基金單位凈值增長率、基金累計凈值增長率和基金平均收益率(幾何平均收益率與算術(shù)平均收益率)；其次介紹了基金風(fēng)險評價指標(biāo),主要包括基金的方差(δ2)、標(biāo)準(zhǔn)差(δ)、貝塔系數(shù)(β)和判定系數(shù)(R2)；再次,介紹了經(jīng)過風(fēng)險調(diào)整的收益評價指標(biāo),主要包括特雷諾指標(biāo)(Treynor performance measure)、夏普指數(shù)(Sharpe Ratio)和詹森指數(shù)(Jensen's α)和M2指數(shù)；再其次介紹了評價股票型開放式基金管理能力的模型,主要包括T-M模型和H-M模型；最后介紹了基金業(yè)績持續(xù)性的評價方法,主要包括轉(zhuǎn)移矩陣法、業(yè)績總持續(xù)性指標(biāo)和基于對基金經(jīng)理更迭的研究。 第四部分是實證研究部分,首先介紹了研究樣本的選擇、研究時間段的選取、市場基準(zhǔn)組合的構(gòu)建、市場無風(fēng)險利率的選取、數(shù)據(jù)來源以及數(shù)據(jù)處理方法；其次是依照前一章的介紹,分為五個部分對于我國股票型開放式基金的運作績效進(jìn)行了實證研究,并對實證結(jié)果進(jìn)行分析。 第五部分為結(jié)論與建議部分,主要介紹了本文基于實證研究結(jié)果得到的結(jié)論、本文研究的創(chuàng)新之處與不足之處,針對我國股票型開放式基金的發(fā)展現(xiàn)狀以及本文的論證結(jié)果,為我國基金市場的發(fā)展和股票型開放式基金的投資提供的建議。 通過實證研究結(jié)果的分析,本文得出了以下幾點結(jié)論： (一)、從收益的角度來看,我國絕大部分基金都能獲取超越市場基準(zhǔn)組合的正超額收益,我國股票型開放式基金能為投資者創(chuàng)造投資價值。但是基金之間業(yè)績分化嚴(yán)重,累計收益最高者與最低者相差超十倍,說明面對相同的市場環(huán)境不同的基金管理人操作能力差異巨大。而且月平均收益率、超額收益率與累計收益率這三項指標(biāo)的排名之間具有較強的相關(guān)性,但個別基金除外。 (二)、從風(fēng)險的角度來看,絕大部分樣本基金的風(fēng)險狀況要小于市場基準(zhǔn)組合,體現(xiàn)了基金管理人優(yōu)秀的風(fēng)險控制能力。所有樣本基金的收益波動情況與市場基準(zhǔn)組合的收益波動情況成正相關(guān)關(guān)系,而且絕大多數(shù)的基金的基金操作風(fēng)格比較穩(wěn)健,即收益波動幅度小于市場基準(zhǔn)組合的收益波動幅度。系統(tǒng)性風(fēng)險在絕大多數(shù)樣本基金的總體風(fēng)險中占主導(dǎo)地位,系統(tǒng)性風(fēng)險平均風(fēng)險貢獻(xiàn)度達(dá)到了66.36%,但于歐美成熟市場相比,投資風(fēng)險分散化程度仍有一定的差距。 (三)、綜合收益與風(fēng)險來看,經(jīng)過風(fēng)險調(diào)整的四大收益指標(biāo)的結(jié)果證實了樣本基金能夠取得超越市場基準(zhǔn)組合的超額收益,具有良好的風(fēng)險收益特性。而且各大指標(biāo)評價的結(jié)果之間均具有顯著的正相關(guān)性,考慮到這幾個指標(biāo)中風(fēng)險衡量的因素不同,這說明在我國股票型開放式基金的運作中非系統(tǒng)性風(fēng)險得到了有效的分散,非系統(tǒng)性風(fēng)險在總體風(fēng)險的占比很低,我國股票型開放式基金具有比較好的投資績效。 (四)、從基金管理能力的角度來看,依照實證分析的結(jié)果,只有偏少數(shù)的樣本基金具有顯著的選擇被低估證券的能力,大多數(shù)股票型開放式基金都不具備這一能力；只有很少數(shù)的樣本基金具有顯著的把握市場時機的能力,絕大多數(shù)基金都不具備這一能力。而且同時具有顯著的選擇被低估證券能力和把握市場時機能力的樣本基金只有一只,而絕大多數(shù)樣本基金既無顯著的選擇被低估證券能力也無顯著的把握市場時機能力,說明我國股票型開放式基金的管理水平還有待于提升。而且兩大模型的α系數(shù)與θ系數(shù)之間均具有顯著的正相關(guān)性,說明這兩大模型的業(yè)績評價結(jié)果具有一致性。 (五)、從基金業(yè)績的持續(xù)性來看,樣本基金的業(yè)績持續(xù)性很差,在相鄰時期能保持業(yè)績穩(wěn)定的基金至多30%,且呈遞減趨勢,而且是業(yè)績排名前端和后端的基金業(yè)績波動幅度最大,排名中游的基金業(yè)績相對平穩(wěn),其中有個別基金業(yè)績的波動程度異常劇烈,這導(dǎo)致股票型開放式基金的歷史業(yè)績的參考作用很低。此外,不同時期的基金業(yè)績持續(xù)性不同,市場環(huán)境保持相對穩(wěn)定時基金業(yè)績持續(xù)性相對較好。最后,基金經(jīng)理的頻繁更迭也是導(dǎo)致基金業(yè)績波動的原因之一,大體上看基金經(jīng)理任職時間越長、基金經(jīng)理任職穩(wěn)定的基金大概率會比那些基金經(jīng)理更換頻繁的基金具有較好業(yè)績持續(xù)性,但是這一關(guān)系并不顯著�？偠灾�,我國股票型開放式基金的業(yè)績?nèi)狈Τ掷m(xù)性,歷史業(yè)績的參考價值較低。
[Abstract]:In March 27, 1998, after the approval by the China Securities Regulatory Commission, the Southern Fund Management Co and the Cathay fund management company issued two closed funds of 2 billion yuan, the fund Kaiyuan and the fund Jintai, which opened the prelude to the pilot of the securities investment fund. With the rapid development, the asset scale is growing, the type of fund is constantly enriched, and the innovative products are constantly emerging. In the capital market, it has become the main force of the institutional investors and plays the role of the mainstay. On the other hand, the securities investment fund has won the vast investment by the unique advantages such as collecting investment, dispersing risk, and expert financial management. The recognition of the people has become a common investment and financial management mode in our daily life. The open-end fund has gradually become the mainstream of the fund market. By the end of 2011, the total share of the fund was 2 trillion and 650 billion 993 million and the net assets totaled 2 trillion and 191 billion 840 million yuan, of which there were 964 open funds with a total of 2 trillion and 514 billion 780 million shares. It accounted for 94.86% of the total fund share, with a total net asset of 2 trillion and 69 billion 345 million yuan, accounting for 631 of the equity funds in the net assets of the fund, and the total net asset value of 1 trillion and 631 billion 780 million yuan, accounting for 74.45% of the total net assets of the fund by 2 trillion and 191 billion 840 million yuan.
With the rapid development of the securities investment fund, the fund has become more and more important in the economic life. From the macro level, the performance of the fund is objective. The scientific evaluation can provide supervision for the healthy operation of the public fund. All parties in the fund market can enhance the understanding of the operation effect of the specific funds and help the public fund of our country. The industry continues to develop healthier.
From the micro level, the research on the performance evaluation of the fund has a very important significance for all the participants in the securities investment fund market. The evaluation of fund performance can provide a set of scientific, customer and reasonable tools for fund managers to measure the effectiveness of their own management work at a certain stage. The interests and the interests of the fund holders are the same, and also help the fund managers to find out the mistakes and shortcomings in the operation of the fund, adjust the operation strategy and improve the operating performance. In addition, the fund performance evaluation can make the marketing channels excavate excellent products, understand the operation of the sold basic gold products, and make clear the different fund products. The risk income situation, which matches the customer's risk preference, improves the configuration effect of the customer's assets. And the performance evaluation of the fund will help the supervisor to understand the running situation of the securities investment fund market, and combine the innovative products of the fund market to adjust the rules of regulation and regulation in time to meet the needs of the new period fund supervision.
Under this background, I have chosen to study the operation performance of China's stock open-ended funds. The main contributions of this paper are as follows:
(1) from the three aspects of the fund's ability to balance income and risk, the ability of management and the sustainability of the performance, a dozen indicators and methods are used to make a systematic and comprehensive evaluation on the performance of the sample fund during the period of the investigation.
(two) when evaluating the risk adjusted income index and fund management ability, it not only evaluates the performance of the fund, but also analyzes the correlation between the indexes and the estimation coefficients, and explores the consistency of the evaluation results between the different evaluation indexes and the different evaluation methods.
(three) in the evaluation of the sustainability of the fund, a new transfer matrix method and an overall performance index are used to analyze the impact of fund manager change on the sustainability of fund performance.
(four) in the selection of the investigation stage, we not only adopt the realistic data which are very close to the present, but also include the market environment such as the bull market, the balance market, the bear market, the rebound market and so on, which can make a more comprehensive investigation of the operating performance of the stock open fund under different market conditions.
This paper selects 20 open - type open-end funds established before January 1, 2009 and investigates and studies the performance of the sample fund in accordance with its return data from January 2009 to June 2012. This paper is divided into five parts:
The first part is the introduction part, which mainly introduces the background of the study, the micro and macro significance of the research, the research methods adopted in this paper, the framework of the thesis, and the important concepts related to the open fund, which is designed to make a good work for the further research of the latter.
The second part is an overview of the literature at home and abroad. Through the reading and thinking of a large number of literature, it summarizes and analyzes the theory and content of the evaluation of fund performance in the literature at home and abroad. The literature review of the overseas part focuses on the classic theories on the performance evaluation of the fund and the development of the research on fund performance evaluation. The domestic literature review focuses on the practice analysis and theoretical innovation of Chinese fund performance evaluation.
The third part is the introduction of the theory and model. It mainly introduces the methods which need to be used in the empirical study, and it is introduced in 5 angles. First, it is the traditional income index of the fund performance evaluation. It mainly introduces the net value growth rate, the net value increase rate and the fund average return rate (Ji Heping). The average return rate and the arithmetic average return rate); secondly, it introduces the fund risk evaluation index, mainly including the fund variance (delta 2), the standard deviation (delta), beta coefficient (beta) and the decision coefficient (R2); thirdly, it introduces the risk adjusted income evaluation index, mainly including the Toreno index (Treynor performance measure), the SHARP index (Sharpe R). Atio) and Jansen index (Jensen's alpha) and M2 index; secondly, it introduces the model of evaluating the management ability of the Stock Open-end Fund, mainly including the T-M model and the H-M model. Finally, it introduces the evaluation methods of the performance sustainability of the fund, mainly including the transfer matrix method, the overall performance index and the research based on the change of fund manager.
The fourth part is the empirical study. Firstly, it introduces the selection of the research sample, the selection of the time period, the construction of the market benchmark combination, the selection of the risk free interest rate, the data source and the data processing method. Secondly, according to the introduction of the previous chapter, it is divided into five parts for the operation performance of China's Stock Open-end Fund. An empirical study is conducted and the empirical results are analyzed.
The fifth part is the conclusion and the suggestion part, which mainly introduces the conclusions based on the results of the empirical research, the innovation and the inadequacies of this paper, and the development status of the open stock fund in China and the results of this paper, which provides the development of our fund market and the investment of the stock type open fund. Argumentative.
Through the analysis of the empirical results, the following conclusions are drawn.
(1) from the point of view of income, most of the funds in our country can obtain excess earnings beyond the market benchmark combination, and the stock type open-end fund in China can create investment value for investors. However, the performance of the fund is divided between the fund and the lowest, and the difference between the highest and the lowest is ten times, indicating that the market environment is different from the same market environment. There is a great difference in the operating ability of the fund managers, and there is a strong correlation between the ranking of the monthly average returns, the excess return and the cumulative yield, except for the individual funds.
(two) from the risk point of view, the risk of most of the sample funds is less than the market benchmark portfolio, which reflects the excellent risk control ability of the fund managers. The volatility of the income of all sample funds is positively related to the volatility of the market benchmark combination, and the vast majority of the fund's fund operation style. It is more robust, that is, the volatility of earnings is less than the volatility of the market benchmark portfolio. Systemic risk is dominant in the overall risk of the vast majority of sample funds, and the average risk contribution of systemic risk reaches 66.36%, but there is still a certain gap between the degree of investment risk decentralization compared to the mature markets in Europe and America.
(three) in terms of comprehensive income and risk, the results of the four major income indicators, which are adjusted by risk, confirm that the sample fund can obtain excess returns beyond the market benchmark combination, and has a good risk return characteristic. And the results of the evaluation of the major indicators have significant positive correlation, taking into account the risk measurement of these indicators. The factors are different, which shows that the non systematic risk has been effectively dispersed in the operation of China's Stock Open-end Fund, and the proportion of non systemic risk is very low in the overall risk. The stock type open-end fund has better investment performance in China.
(four) from the perspective of fund management ability, according to the results of empirical analysis, only a small number of sample funds have significant ability to choose undervalued securities. Most of the open-ended funds have no ability; only a small number of sample funds have a significant ability to grasp the market opportunity, and the vast majority of the funds. There is only one sample fund to select the ability to underestimate the securities and seize the opportunity of the market at the same time, and most of the sample funds have no significant choice of undervalued securities and no significant grasp of the market opportunity. There is a significant positive correlation between the alpha and theta coefficients of the two models, which shows that the results of the two models are consistent.
(five), from the sustainability of the fund performance, the performance of the sample fund is very poor, the fund that can maintain stable performance in the adjacent period is up to 30%, and presents a decrease trend, and the fund performance fluctuates most in the front and back end of the performance ranking, and the base gold performance in the middle reaches is relatively stable, among which there is a fluctuation in the performance of individual funds. In addition, the sustainability of fund performance in different periods is different and the market environment remains relatively stable, the fund performance is relatively good. Finally, the frequent change of fund managers is also one of the reasons for the fund performance fluctuation, generally speaking. The longer the term of the fund manager is, the more stable funds of the fund manager will have better performance than those of the fund managers, but the relationship is not significant. In a word, the performance of our stock type open-end fund is lack of continuity and the reference value of historical performance is low.
【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

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