【作者】 邱庆东；

【导师】 郭艺勋；

【作者基本信息】 厦门大学 ， 经济信息管理学， 2007， 硕士

【摘要】 近年来,我国资本市场得到了快速发展,证券投资基金特别是开放式基金在我国证券市场上的影响力日渐显著。如何科学、合理地评价各基金的绩效成为基金公司、投资者、监管当局关心的重要课题之一。基金绩效分析主要包括三个部分:基金绩效衡量,主要是定义基金的绩效以获得该基金的操作情况。选时选股能力分析,主要是对基金经理人的行为进行检验,以发现基金经理人是否能正确选择股票和是否具有把握市场投资时机的能力。基金绩效持续性分析,该部分内容主要是检验在前期表现良好的基金在后期是否一样表现良好。本文分别从理论和实证方面进行了以下的研究:第一部分,介绍了证券投资基金在我国的现状和发展,阐述了开放式基金绩效分析的意义,并对本文的研究方法和结构进行了说明。第二部分,回顾了经典基金绩效分析方法的发展和我国对经典绩效分析方法的改进及实证结论。第三部分,介绍了基金绩效分析有关的理论,包括绩效衡量方法(有财务指标法、风险调整指数等)、选时选股能力分析模型和持续性分析方法,并对基于三大指数的基金排序方法进行改进,得到了综合两大指数的新排序法。同时在选时选股能力分析模型中加入代表不同时期的虚拟变量进行了模型的改进。第四部分,运用第三部分的方法对我国2004年4月到2007年4月这段时期的28只开放式基金进行实证分析,在研究对象上也和以前的不同,主要考察强市期和弱市期的基金绩效,得到结论如下:(1)在不考虑风险的情况下,基金在不同的阶段都取得了超过市场的表现。同时发现,在弱市期基金超额收益率和净选择回报高度相关;而在强市期和经理人风险回报高度相关。(2)采用三大经典指数和本文改进的新排序法对不同时期的基金进行排序,并用持续性分析法获得在这两个时期内绩效没有持续性的结论。(3)采用改进的T-M、H-M模型分析得到部分基金有趋势选择性的结论。最后,对本文的不足和将来的研究方向进行了阐述。更多还原

【Abstract】 With the development of capital market , security investment fund has played a more and more important role in our life, especially the open-end fund. How to evaluate the performance of funds becomes an important thing to fund companies、investors and others.This paper carries on researches as follows:Firstly, the paper introduces the funds development history and current situation. Also, it explains why open-end funds are more and more important to us. Research contents and structure are provided at last.Secondly,the paper briefly looks back the theories and native empirical results. Also it introduces the classical theories including three classical risk adjusted indexes, T-M model, H-M model and the performance persistence analysis methods. This paper combines the Treynor Index and Jensen Index to sort order for the funds. It’s a new method. Also this paper adds the dummy variable to the model H-M and T-M to test the abilities of market timing and stock selection in different periods.Thirdly, the chapter uses the method which has been introduced to analyse the performance of 28 open-end funds from Apr. 2004 to Apr.2007. After these researches we can draw the following conclusions:(1)If we don’t care about risk, the funds surpass the market in different periods. As we know, in weak securities market, the return is relate with the net selectivity return, and in strong securities market, the return is relate with the manager’s risk return. (2)When we use the three risk adjusted indexes, the results show that there’s no persistence in different periods(.3)The paper revises the model T-M and H-M, and some funds have proved that they have the trend selection ability.Finally, the paper proposes some advice for the problems and some enlightenment for a further study.更多还原