我国开放式基金运行状况的实证分析
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摘要
随着我国经济的快速发展，我国居民储蓄已经突破了10万亿元大关，这些资金风险承受能力差，期望能有一种风险比较低，收益相对高的投资工具让其投资，显然，这为我国证券投资基金，尤其是开放式基金的大规模发展提供了充足的资金来源。但是前提是，证券投资基金确实能为其带来风险比较低，收益又要比国债、银行存款高的投资回报。本文就是在开放式基金经历了两年的曲折发展之后，对2003年开放式基金的绩效进行实证分析，检验其是否起到了投资理财、规避风险的作用。
本文除了导言之外，根据研究的需要分为五大部分。
导言部分主要介绍国内外开放式的发展历程，进而指出本文的研究背景、研究方法与思路。
第一部分即第一章，在介绍开放式基金的特点基础上，对当今林林总总的开放式基金进行了分类，并与封闭式基金进行了具体的对比分析，然后指出开放式基金给我国证券市场带来的影响。
第二部分首先介绍确立开放式基金绩效评估指标的原则，接着对西方经典的证券投资组合理论进行了简单阐述、指出其在实践中的应用情况，然后结合开放式基金的存在的风险、收益、流动性等情况找出合理的评估指标并探讨其在中国的应用情况
第三部分根据研究需要和中国的实际情况选择样本和样本期。运用前面介绍的西方理论和评估指标对目前我国开放式基金的运行状况进行实证分析，其中对收益、风险分别进行评价，然后再分析经过风险调整后的收益情况，并得出结论。
第四部分是通过上述实证分析，找出了影响我国开放式基金绩效和运行的外部因素与内部因素。外部因素有上市公司质量不高，投资者结构不合理，可投资渠道太少、监管不力等；内部因素有基金公司缺乏规范的公司治理结构，优秀管理人才太少、持股集中度过高等等。
第五部分针对第四部分的影响因素提出促进我国开放式基金健康发展所需进行的策略调整。
With the fast development of the economy of our country, the personal deposits of our country have already topped the high point of 10,000 billion yuan, the ability to bear of fund risk is bad, expect to be able to have a kind of lower risk, income high investment tool let investment their relatively, obviously, this of our country security investment fund, especially the extensive development of the open-ended fund has offered the sufficient capital source. But prerequisite, security investment fund can bring for their risk relatively lower really, investment repayment than the national debt, height of bank account of the income. This text is after the open-ended fund has gone through the winding development of two years, performance of open-ended fund carry on real example analyse , examine if it manage money matters, evade function of risk to make the investment to play to 2003.
This dissertation is divided into five major parts according to the need for studying besides introduction.
The part of the introduction introduces the open development course both at home and abroad mainly, and then point out research background , research approach and train of thought of this text.
First part Namely chapter one, on the basis of characteristic of the open-ended fund of the introduction, have classified the open-ended fund that nowadays the forest and forest are always total, carry on concrete contrast analyse with close-ended fund , then point out the influence that the open-ended fund brings to security market of our country.
Second part Is it establish open-ended fund performance assess principle of index to recommend at first, then the investment securities combinatorial theory classical to the west has explained, pointed out their application situations in practice briefly , combine risk , income , mobility situation of existence of open- ended fund find out the rational assessment index and probe into their application situations in China.
The third part Choose the sample and sample one according to the research need and actual conditions of China. Use the western theory recommended above and assess the index to analyse the real example to the operation conditions of the open-ended fund of our country at present, among them appraise to the income , risk separately , then analyse the
income situation after the risk is adjusted, and draw the conclusion.
The fourth part Analyse through above-mentioned real examples , have found out the open-ended fund performance and external factor and inside factor operated of our country of influencing . It is of low quality that there are listed companies in the external factor, investor's structure is unreasonable, but investment channels too little, supervise to do one's best etc.; Inside factor have fund Company lack normal company administration structure, outstanding managerial talent too little, is it is it spend getting high to concentrate on to hold share.
The fifth part Is it protect the healthy development of open-ended fund of our country to the fourth influence factor of part tactics gone on to need change to put forward.
本文除了导言之外，根据研究的需要分为五大部分。
导言部分主要介绍国内外开放式的发展历程，进而指出本文的研究背景、研究方法与思路。
第一部分即第一章，在介绍开放式基金的特点基础上，对当今林林总总的开放式基金进行了分类，并与封闭式基金进行了具体的对比分析，然后指出开放式基金给我国证券市场带来的影响。
第二部分首先介绍确立开放式基金绩效评估指标的原则，接着对西方经典的证券投资组合理论进行了简单阐述、指出其在实践中的应用情况，然后结合开放式基金的存在的风险、收益、流动性等情况找出合理的评估指标并探讨其在中国的应用情况
第三部分根据研究需要和中国的实际情况选择样本和样本期。运用前面介绍的西方理论和评估指标对目前我国开放式基金的运行状况进行实证分析，其中对收益、风险分别进行评价，然后再分析经过风险调整后的收益情况，并得出结论。
第四部分是通过上述实证分析，找出了影响我国开放式基金绩效和运行的外部因素与内部因素。外部因素有上市公司质量不高，投资者结构不合理，可投资渠道太少、监管不力等；内部因素有基金公司缺乏规范的公司治理结构，优秀管理人才太少、持股集中度过高等等。
第五部分针对第四部分的影响因素提出促进我国开放式基金健康发展所需进行的策略调整。
With the fast development of the economy of our country, the personal deposits of our country have already topped the high point of 10,000 billion yuan, the ability to bear of fund risk is bad, expect to be able to have a kind of lower risk, income high investment tool let investment their relatively, obviously, this of our country security investment fund, especially the extensive development of the open-ended fund has offered the sufficient capital source. But prerequisite, security investment fund can bring for their risk relatively lower really, investment repayment than the national debt, height of bank account of the income. This text is after the open-ended fund has gone through the winding development of two years, performance of open-ended fund carry on real example analyse , examine if it manage money matters, evade function of risk to make the investment to play to 2003.
This dissertation is divided into five major parts according to the need for studying besides introduction.
The part of the introduction introduces the open development course both at home and abroad mainly, and then point out research background , research approach and train of thought of this text.
First part Namely chapter one, on the basis of characteristic of the open-ended fund of the introduction, have classified the open-ended fund that nowadays the forest and forest are always total, carry on concrete contrast analyse with close-ended fund , then point out the influence that the open-ended fund brings to security market of our country.
Second part Is it establish open-ended fund performance assess principle of index to recommend at first, then the investment securities combinatorial theory classical to the west has explained, pointed out their application situations in practice briefly , combine risk , income , mobility situation of existence of open- ended fund find out the rational assessment index and probe into their application situations in China.
The third part Choose the sample and sample one according to the research need and actual conditions of China. Use the western theory recommended above and assess the index to analyse the real example to the operation conditions of the open-ended fund of our country at present, among them appraise to the income , risk separately , then analyse the
income situation after the risk is adjusted, and draw the conclusion.
The fourth part Analyse through above-mentioned real examples , have found out the open-ended fund performance and external factor and inside factor operated of our country of influencing . It is of low quality that there are listed companies in the external factor, investor's structure is unreasonable, but investment channels too little, supervise to do one's best etc.; Inside factor have fund Company lack normal company administration structure, outstanding managerial talent too little, is it is it spend getting high to concentrate on to hold share.
The fifth part Is it protect the healthy development of open-ended fund of our country to the fourth influence factor of part tactics gone on to need change to put forward.
引文
1．陈共，陶升业，吴晓求．海外证券市场．中国财政经济出版社，2000
2．陈立．影响未来的中国基金产业．中国财政经济出版社，2001
3．陈志祥．投资基金业绩评价体系探讨．投资研究，2001(12)
4．陈志宗，钱俊龙．西方现代投资组合理论．中国统计出版社，1998
5．杜书明．走进美国基金评级机构．中国证券报，2001，9，20
6．谷体峰．美国晨星公司基金评级体系借鉴．证券市场导刊，2002(7)
7．国信证券研究所．证券投资基金评估与绩效研究．上市公司，2002(2)
8．何龙灿．基金业绩评价模型及实证分析．证券时报，2002，5，28
9．何望．走进开放式基金．中国物资出版社，2001
10．何孝星．证券投资基金运行论．清华大学出版社，2003
11．黄志远．开放式基金的运作管理及研究．西南交通大学，2002(11)
12．纪尽善．投资基金运作．民主与建设出版社，1998
13．金枝．基金投资与基金管理实务大全．中国城市出版社，1998
14．居亮．开放式基金面临的风险及其对策．生产力研究，2001(5)
15．李博，吴世龙．基金业绩评价的实证研究．证券市场导刊，2001(8)
16．李军燕，崔志强．开放式基金健全发展的必要条件．山西科技，2001(4)
17．李连三．关于我国引入开放式基金若干问题的思考．投资研究，2001(6)
18．厉以宁，曹凤歧．跨世纪的中国投资基金业．经济科学出版社，2000
19．李月平，张德勇等．基金投资管理．经济科学出版社，2002
20．刘瑞林，杨娟．浅析我国开放式基金存在的问题及建议．青海金融，2002(6)
21．刘树成，沈沛．中国资本市场前沿理论研究文集．社会科学文献出版社，2000
22．马红军．开放式基金风险收益评价指标的比较与改进．中国流通经济，2002(4)
23．孟晓初，贾廷战．投资基金理论与实务．人民出版社，1994
24．倪苏云．中国证券投资基金业绩持续性研究．预测，2002(6)
25．欧阳卫民．债券、基金和货币市场．中国金融出版社，1997
26．沈维涛，黄兴孪．我国证券投资基金业绩的实证研究与评价．经济研究．2001(9)
27．孙习祥．基金顾问．湖北人民出版社，2003
28．唐岩．开放式基金在中国的发展策略研究．大连理工大学，2002(6)
29．王聪．证券投资基金绩效评估模型分析．经济研究，2001(9)
30．王韬光．共同基金理论 运作 设计．北京大学出版社，2001
31．王毅．开放式基金的发展策略．中国社会科学院，2001(11)
32．熊长江．开放型基金的风险分析．投资研究，2001(6)
33．徐洪才．投资基金与金融发展．中国金融出版社，1997
34．许占涛．投资基金论．经济出版社，1998
35．杨扬，卢家仪．我国开放式基金业绩评价指标体系的构建．煤炭经济研究，2002(6)
36．易开刚．我国证券投资基金收益和风险比较．商业经济与管理，2002(11)
37．张新，杜书明．中国证券投资基金能否战胜市场．金融研究，2002(1)
38．赵广辉．开放式基金．机械工业出版社，2001
39．中国证券业协会．证券投资基金．中国财政经济出版社，2003
40．《中国证券报》、《证券时报》、《上海证券报》．2003-2004各期
41．中国金融街网站 (www.jrj.com.cn)
42. Frank J.Fabozzi,Franco Modigliani. Capital Markets: Institutions and Instruments., Published by Prentice-Hall,1992
43. Sharp.Willan. A Simplified Model of Portfolio Analysis., Mangement Science, January 1963
44. Harry. M. Markowitz. Portfolio Selection. The Journal of Finance, March 1952
45. David J.Carter. Mutual Fund Boards and Shareholder Action. Working papers, 2000(4)
46. E.Philip Davis. The Role of Institutional Investors in the Evolution of Financial Structure and Behaviour. Working papers, 2001(11)
2．陈立．影响未来的中国基金产业．中国财政经济出版社，2001
3．陈志祥．投资基金业绩评价体系探讨．投资研究，2001(12)
4．陈志宗，钱俊龙．西方现代投资组合理论．中国统计出版社，1998
5．杜书明．走进美国基金评级机构．中国证券报，2001，9，20
6．谷体峰．美国晨星公司基金评级体系借鉴．证券市场导刊，2002(7)
7．国信证券研究所．证券投资基金评估与绩效研究．上市公司，2002(2)
8．何龙灿．基金业绩评价模型及实证分析．证券时报，2002，5，28
9．何望．走进开放式基金．中国物资出版社，2001
10．何孝星．证券投资基金运行论．清华大学出版社，2003
11．黄志远．开放式基金的运作管理及研究．西南交通大学，2002(11)
12．纪尽善．投资基金运作．民主与建设出版社，1998
13．金枝．基金投资与基金管理实务大全．中国城市出版社，1998
14．居亮．开放式基金面临的风险及其对策．生产力研究，2001(5)
15．李博，吴世龙．基金业绩评价的实证研究．证券市场导刊，2001(8)
16．李军燕，崔志强．开放式基金健全发展的必要条件．山西科技，2001(4)
17．李连三．关于我国引入开放式基金若干问题的思考．投资研究，2001(6)
18．厉以宁，曹凤歧．跨世纪的中国投资基金业．经济科学出版社，2000
19．李月平，张德勇等．基金投资管理．经济科学出版社，2002
20．刘瑞林，杨娟．浅析我国开放式基金存在的问题及建议．青海金融，2002(6)
21．刘树成，沈沛．中国资本市场前沿理论研究文集．社会科学文献出版社，2000
22．马红军．开放式基金风险收益评价指标的比较与改进．中国流通经济，2002(4)
23．孟晓初，贾廷战．投资基金理论与实务．人民出版社，1994
24．倪苏云．中国证券投资基金业绩持续性研究．预测，2002(6)
25．欧阳卫民．债券、基金和货币市场．中国金融出版社，1997
26．沈维涛，黄兴孪．我国证券投资基金业绩的实证研究与评价．经济研究．2001(9)
27．孙习祥．基金顾问．湖北人民出版社，2003
28．唐岩．开放式基金在中国的发展策略研究．大连理工大学，2002(6)
29．王聪．证券投资基金绩效评估模型分析．经济研究，2001(9)
30．王韬光．共同基金理论 运作 设计．北京大学出版社，2001
31．王毅．开放式基金的发展策略．中国社会科学院，2001(11)
32．熊长江．开放型基金的风险分析．投资研究，2001(6)
33．徐洪才．投资基金与金融发展．中国金融出版社，1997
34．许占涛．投资基金论．经济出版社，1998
35．杨扬，卢家仪．我国开放式基金业绩评价指标体系的构建．煤炭经济研究，2002(6)
36．易开刚．我国证券投资基金收益和风险比较．商业经济与管理，2002(11)
37．张新，杜书明．中国证券投资基金能否战胜市场．金融研究，2002(1)
38．赵广辉．开放式基金．机械工业出版社，2001
39．中国证券业协会．证券投资基金．中国财政经济出版社，2003
40．《中国证券报》、《证券时报》、《上海证券报》．2003-2004各期
41．中国金融街网站 (www.jrj.com.cn)
42. Frank J.Fabozzi,Franco Modigliani. Capital Markets: Institutions and Instruments., Published by Prentice-Hall,1992
43. Sharp.Willan. A Simplified Model of Portfolio Analysis., Mangement Science, January 1963
44. Harry. M. Markowitz. Portfolio Selection. The Journal of Finance, March 1952
45. David J.Carter. Mutual Fund Boards and Shareholder Action. Working papers, 2000(4)
46. E.Philip Davis. The Role of Institutional Investors in the Evolution of Financial Structure and Behaviour. Working papers, 2001(11)
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