证券投资基金业绩评价体系研究

【作者】 曾春；

【导师】 黄纯国；

【作者基本信息】 西南财经大学 ， 金融学， 2005， 硕士

【摘要】 近年来,证券投资基金在我国取得了较大的发展,大力培育证券投资基金为主体的机构投资者是加强完善我国资本市场的重要战略。新的基金管理公司和基金品种,如开放式投资基金、债券型基金、封闭可转开放式基金等不断涌现。随着我国加入 WTO 后金融服务市场,特别是基金业的逐渐开放,中外合资基金管理公司也已经出现,中国证券投资基金正迎来新一轮的大规模扩容快速发展的时期。因此,面对数量日益增多、类型风格各异的投资基金,如何运用科学的方法对不同基金的业绩做出客观、全面的评价,正成为基金参与各方越来越关注的问题。由于各种基金投资方向不尽相同,有投资重组类股、中小企业股、国企股、指标股等等;投资理念各具特色,有的采取集中投资长期持有的股票投资策略,有的虽也采取集中投资策略,但持股时间较短,还有的采取分散策略;因此,基金的收益与风险也各不相同。对于这些基金,怎样才能优化选择,选准投资对象,降低投资风险,获得较好的收益?要解决这些问题就需要对基金的业绩进行认真的研究、分析,科学地测算、比较,以及掌握专门的知识和经验。但是,我国的基金市场创建时间较短,疏于此道的投资者,面对众多的基金品种和令人眼花缭乱的招募说明,就会迷惑、犹豫、无所适从。那么,如何为投资者指点迷津——选择适当的投资基金,减少投资风险?除了靠证券监管机构使基金的设立与运作规范化,法制化,避免各种有损投资者利益的行为,使投资者得到法律的保护外,重要的是靠围绕基金交易的各种服务工作,其中在这方面能起突出作用的就是基金业绩评价。为了便于投资者选择基金进行投资,开展基金业绩评价的理论探讨和方法研究就显得十分必要。　建立一个公允准确的衡量基金风险、收益表现,比较不同基金投资价值,反映基金经理和基金管理公司投资效率和管理水平的基金评价体系,已经成为维护投资者利益,保障基金业健康发展公平竞争,2完善促进我国证券投资基金市场乃至整个资本市场建设的重要内容和迫切需要解决的关键课题。从海外对基金评价的理论研究和基金评价公司的实际业务看,基金评价的主要内容是对基金历史业绩的评价,即对基金风险和收益状况的评价。通过这些研究,可以使投资者在了解基金的实际收益的同时,了解基金承担的风险,以便于投资者选择适合于自己的风险承担能力和风险偏好的基金。因此,这部分内容也是我国基金评价研究的主要内容。在进行我国基金评价方法研究时,一方面应该借鉴海外研究者提出的各种评价方法,另一方面还要根据我国实际情况,选取适合我国市场的方法,建立适当的评价体系,并注重对基金未来业绩的分析,帮助投资者选择预计未来业绩良好的基金。国内目前已经有一些机构推出了基金的评价体系,比较有影响的包括海通证券的基金评价体系、天相投资顾问有限公司的基金评级和银河基金研究和评价中心推出的基金评价系列产品。这些产品各有所长,也有一些不足。海通证券的基金评价体系的优点较为突出,该体系分为五个一级指标,考察的因素较全面,另外,该体系在构造综合评价函数时通过求解目标函数最大化的模型,得到加权系数,方法较为合理,但是它的缺点是指标的设计并不完全合理,比如将封闭式基金二级市场的表现也列入指标,混淆了对基金投资绩效评价和对基金被交易情况的评价。天相投资顾问有限公司的基金评级的优点是评级指标设计较为合理也比较先进,但是缺点是指标不够全面,另外在对基金进行星级评定时,采取的是固定百分比法,这样,未免有失公平公正。银河基金研究和评价中心推出的基金评价系列产品最大的特点是全面,即产品形式多样,覆盖面广,但是该评价体系所选用的基准组合是上证 A 股指数占 80%,中信国债指数占 20%,没有考虑到深市的交易情况,所以该基准组合不完全合理。本文的主要目的就在前面方法研究的基础上尝试设计一套基金的评价体系,从而能够为普通投资者提供一个客观的参考,帮助他们做出合理的投资决策。本文在评述国外基金评价方法的基础上,结合我国的实际情况,建立了一套基于我国实际情况的基金业绩评价体系。该体系的指标体3系由三个部分组成:基金的风险收益特征、基金资产的流动性和基金的投资管理水平,然后使用因子分析方法构造综合评价函数,最后使用聚类分析的方法确定基金的星级。依照上述思路,本文从结构上分为六大章节:第一章为绪论。主要对证券投资基金评价发展的现实需要、基金业绩评价的含义、基金业绩评价的现状三个方面进行了阐述。第二章为基金业绩评价方法的理论与方法综述。该章从三个方面展开讨论。首先,分析了基金业绩评价方法的理论依据。然后,对常见的业绩评价方法进行分析与归纳,提出系统分类方法。最后,根据基金业绩评价方法的系统分类,对各种评价方法进行系统评析。第三章设计了基于我国的基金业绩评价体系。首先在设计评价体系前阐述了设计该体系时所遵循的原则:公正性、实用性和科学性。接着从风险收益特征、资产流动性和投资组合管理能力三个方面选取该评价体系必须的指标,分别选取了 Sharpe 比率,IR 比率,RAROC比率,股票集中度的倒数1L 、重仓股的变现率,以及股票选?更多还原

【Abstract】 The security investment funds have made a great development in thepast several years, and it is an important stratagem to cultivateorganization investors such as security investment funds in order toimprove our capital market. The market is teeming with more and morenew fund management companies and new kinds of funds, and Chinesesecurity investment industry is in a fast developing period. Therefore,more and more experts pay attention to the operation and characteristicsof the funds, trying to learn the performance evaluation of funds and theinfection factors. How to choose funds to invest? How to lower the riskand earn good profit? The answer is that you must do fund performanceevaluation fist and analyze it. Another function of fund performanceevaluation is to serve the investors, help them find appropriate fund toinvest. So it becomes more and more important to research the theory andmethods of fund performance evaluation. Much research has been done on the performance evaluation offunds, and some experts abroad have set up a mature and systemic theorysystem through decades of hard work. But related research in China isstill very primary because the security investment funds appear and existin China for a short time. This paper examined and studied the theoreticalbases and methods in evaluating funds performance, based on the typicalevaluation methods and our practice, the author try to build a moreappropriate evaluation system. The investors can understand the funds’real venture and risk by using the system, so they can invest moreadvisably. Besides, the performance evaluation system also helps the fundmanagement company to improve their operation and the regulatorydepartment to find problems in the market. Some domestic institutions have made their fund evaluation systems,such as HaiTong security company, TianXiang investment consultantcompany and so on. But they all have some disadvantage. This paper’smain purpose is to design a set of funds evaluation system based on theformer research and study. This paper constructs an equity fundperformance evaluation system according to domestic practice byreviewing foreign evaluation methods. The system consists of three parts,i.e. the risk-return characteristic of funds, the liquidity of their assets, andthe level of investment management. This paper establishes an integratedevaluation function by factor analysis and determines the rates of fundsby cluster analysis. This paper composes of six chapters: Chapter one, the author summarizes security investment funds’evaluation, reviews the development of investment funds’evaluation, thesignification and actuality of measuring investment performance. Chapter two, the author summarizes the theory and method of fundsevaluation. Firstly analyzes the theoretical bases of funds evaluation,secondly analyzes the primary method, then appraise them. Chapter three, the author designs an evaluation system based on thepractice of our security marker and funds. Firstly expatiate the principleof design, then choose appropriate index to value the risk-returncharacteristic of funds, the liquidity of their assets, and the level ofinvestment management. At last the system include eight index such asSharpe ratio, IR ratio, RAROC ratio, security selecting ability, timingability and so on. Chapter four expounds the software used in the empirical study,include the characteristic and function of SPSS, then explains thepractical use of it. Chapter five, the author gives an empirical study on Chineseinvestment fund by use the evaluation system built in chapter three, anddetermines the rates of 17 open-end funds by cluster analysis and factoranalysis. So the system built in this paper is proved feasible. In the last chapter, the author gives a discussion on severaltheoretical and practical problems. Such as how to built a independencefund evaluation institution, and how to construct and improve a standarddata-base of security market. In this paper, the author makes several innovations, the mostimportant of which is:(1) the co更多还原