【作者】 刘丽丽；

【导师】 闫永新；

【作者基本信息】 天津师范大学 ， 技术经济及管理， 2015， 硕士

【摘要】 近年来,随着我国基金业的快速发展,基金品种也不断增多且具有创新性,面对这么多可供选择的基金品种,投资者往往会陷入选择困境,如何科学、全面的评价不同基金的业绩来选出回报率高的基金投资品种就成了很多基金投资者所重视的问题,同时也是基金公司、监管机构等所考虑的问题。封闭式基金是我国基金业内发展历史最长且最被基金投资者熟悉的基金品种,被选为研究对象可以获得较长考察期的相关数据。所以本文以封闭式基金为研究对象,通过借鉴国外学者已研究出来的,在西方成熟的基金市场上经过研究验证的基金评价方法,然后根据我国封闭式基金的发展情况,分别利用几种基金业绩评价指标对所选的13只封闭式基金样本进行比较评价,并根据结果分析其业绩能否战胜市场。在此基础上,采用SPSS统计软件中的因子分析法去试图建立一个综合模型,对封闭式基金的长期业绩进行全面、综合的评价。在综合评价实证研究中,本文用到了收益率、Treynor指数、Jensen指数、Sharpe比率、信息比率、改进夏普比率、标准差、贝塔系数、基金规模、期末净值总额这10个指标,对13只封闭式基金做因子分析,期望找出主要因子构建综合评价模型来对封闭式基金的长期业绩进行综合评价。经过本文的实证研究,我们得出基金泰和、安顺、裕隆、天元的经过风险调整的业绩表现和综合业绩表现都是最好的,所选的13只基金在较长考察期内的收益均能战胜市场基准组合的收益。本文的研究是对国内基金业绩评价研究的更进一步探索。更多还原

【Abstract】 In recent years, with the rapid development of China fund industry, and fund variety is also growing and innovative, in face of so many available varieties of funds to choose, investors tend to fall into a selection dilemma, how to scientific and comprehensive evaluation of different fund performance to select the fund investment varieties with high rate of return is a lot of fund investors pay attention to the problem, At the same time is also the fund companies, regulatory bodies of the considered problem. Closed-end fund is the fund industry in the development of our country history is the longest and most familiar variety by fund investors. It is selected as the research object can obtain relevant data of long study period. So this paper with closed-end funds as the research object, through draw lessons from fund evaluation methods after the study proved on the western mature market that have studied out by foreign scholars, and then base on the development of closed-end funds in China, respectively, using several kinds of fund performance evaluation index to compare and evaluate the13samples of closed-end funds that is selected, and according to the result to analyse if its performance can over the market. On this basis, using the factor analysis method of SPSS statistical software to try to establish a comprehensive model, in order to comprehensive evaluate the long-term performance of closed-end fund. In comprehensive evaluation of the empirical study, use the rate of return, Treynor index, Jensen index, Sharpe ratio, ratio of information and improve the Sharpe ratio, standard deviation, beta, fund size, the final total net value of10indicators, to do factor analysis for13closed-end funds, only expect to find out the main factor to build a comprehensive evaluation model to evaluate the long-term comprehensive performance of closed-end funds. Through the empirical research of this paper, we conclude the risk adjusted performance and comprehensive performance of fund Taihe, Anshun, Yulong, Tianyuan is the best, in addition, the return of these13funds all can overcome market benchmark in a longer review period. The research of this paper is a further exploration to the performance evaluation of domestic fund research.更多还原