【作者】 王喆；

【导师】 李学峰；

【作者基本信息】 南开大学 ， 金融硕士（专业学位）， 2021， 硕士

【摘要】 近年来,随着经济水平的不断提高,我国基金市场呈现出迅猛发展的态势,基金数量和规模都有了爆发式的增长,同时随着我国衍生品市场的不断完善和衍生品产品种类的不断创新丰富,越来越多的基金产品开始使用衍生品工具。本文在这一背景下基于衍生品的使用对公募基金绩效的影响进行研究。现有的相关研究多使用发达国家市场的基金数据进行实证研究,由于市场的完善程度和运行机制不尽相同,研究结果也存在显著差别:一种观点认为合理、有效地使用金融衍生品可以通过衍生品对冲风险的功能降低组合的风险,从而改善基金的业绩;另一种观点则认为以投机为目的在基金中使用金融衍生品反而会对基金业绩产生反向影响。本文基于我国2005年1月至2021年6月期间的非货币型公募基金的数据,对于衍生品的使用对基金绩效的影响进行了实证研究,以期为已有的研究提供一些国内市场的实证补充,并为基金配置衍生品资产提供一定程度的参考。在研究方法上本文主要采用多元线性回归的模型对样本面板数据分组进行回归,在一定程度上控制了其他对基金业绩的影响因素后,对金融衍生品的使用与基金业绩的相关性进行分析,研究表明:总体而言,配置了衍生品资产的股票型基金和混合型基金可以取得更高的风险调整后收益水平,且衍生品的使用在提高基金收益水平的同时也放大了收益的波动程度;而衍生品的使用对债券型基金的绩效不存在显著影响。接下来又对结论进一步进行了稳健性检验。最后对金融衍生品在公募基金中的使用提出了一些思考和建议。更多还原

【Abstract】 In recent years,with the continuous improvement of economic level,China’s fund market has shown a trend of rapid development,and the number and scale of funds have explosive growth.At the same time,with the continuous improvement of China’s derivatives market and the continuous innovation and enrichment of derivatives,more and more fund products begin to use derivatives tools.Under this background,this paper studies the impact of the application of derivatives on the performance of public funds.The existing relevant studies mostly use the fund data of developed countries for empirical research.Due to the different degree of market perfection and operating mechanism,the research results are also significantly different.One view is that the rational and effective use of financial derivatives can reduce the risk of the portfolio through the risk hedging function of derivatives,so as to improve the performance of the fund.Another view is that the use of financial derivatives in the fund for the purpose of speculation will have a reverse effect on the performance of the fund.Based on the data of non-monetary public funds in China from January 2005 to June 2021,this paper makes an empirical study on the impact of the use of derivatives on fund performance,in order to provide some empirical supplements to the existing research in the domestic market and provide a certain degree of reference for the fund to allocate derivative assets.In terms of research methods,multiple linear regression model is used to regress the sample panel data.After controlling other influencing factors on fund performance,the correlation between the use of financial derivatives and fund performance is analyzed.The research shows that:in general,equity funds and hybrid funds with derivative assets can achieve higher risk adjusted return level.The use of derivatives not only improves the level of fund income,but also amplifies the fluctuation of income.The use of derivatives has no significant impact on the performance of bond funds.Next,the robustness of the conclusion is further tested.Finally,it puts forward some thoughts and suggestions on the use of financial derivatives in public funds.更多还原