我国开放式基金业绩与价值评估研究
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摘要
证券投资基金从其提供的产品和服务角度看,是一种金融投资产品。随着证券投资基金的迅速发展,特别是基金品种的不断丰富,我国对证券投资基金的研究依然相对滞后,尤其是对基金内在价值及其与市场业绩一致程度的研究缺乏深入的探讨。广义的基金业绩评价不仅指基金市场表现的业绩评价,还包括对基金内在价值的评估。对投资者而言,他们应该密切关注基金内在价值,但是相关研究表明我国证券市场为弱式有效,使得基金市场业绩偏离内在价值。因此,我们有必要全面分析开放式基金业绩驱动因素,构建完善的基金业绩评价指标体系,衡量、分析和评价开放式基金市场业绩。此外,建立一套科学、完备的评价体系,使市场各方能够对基金的市场业绩和内在价值进行客观评价,具有很高的理论价值和现实意义。
论文以基金投资组合为立足点,以开放式基金为研究对象,选取股票型基金为样本,研究了样本基金内在价值和市场业绩表现。理论部分主要探讨了现代投资组合理论、资本资产定价理论和有效市场假说理论,通过对投资组合的构建、选择和优化的理论分析,深入研究基金内在价值的来源,为评估其价值提供理论依据。实证部分在明确基金业绩来源于投资组合所产生的收益基础上,遵循“最优投资组合→超额收益→基金业绩”的思路,将资产选择理论和非线性规划法相结合,检验基金经理所确定的投资组合是否为“最优投资组合”,然后根据财务估价的思想,运用三阶段估值模型研究开放式的内在价值。接着采用“先分解再综合”的思路,在分析出业绩驱动因素的基础上,将熵权法和层次分析法相结合计算业绩评价指标体系的层级间综合权重系数,再与模糊评判法进行综合评价。最后,采用目前通用的检验模型对基金业绩持续性进行了实证研究。
论文提出了基金与股票一样具有内在价值的构想,重点对开放式基金内在价值进行实证研究,并分析市场业绩是否偏离内在价值。研究发现样本基金的投资组合并非达到最优,基于此,我们通过非线性规划法重新确定出样本基金最优投资组合及其权重,为准确计算基金投资组合的β系数和必要报酬率提供依据。研究结果显示,不少样本基金的市场业绩偏离了内在价值,主要是由于我国证券市场的弱式有效性和基金业发展不健全。我国开放式基金业绩持续性较弱,实证结果显示,股票型基金的中期和中长期业绩对未来中期、中长期和长期的业绩均没有很好的预测作用。投资者不能根据中期的业绩来判断基金在未来任何时候的业绩走势。出现这种情形,可能是中长期本身业绩就包含了太多不稳定的因素,不能预测基金未来的业绩。检验期内出现了显著的业绩反转现象,说明某些时段内用基金过去的业绩不但不能预测未来业绩,并且可能适得其反。
In the products and services point of view,securities investment funds are financial investment products.Nowadays,securities investment funds in our country developing rapidly,particularly species of the open-end funds are doom.However,the research on securities investment funds is still lagging behind,especially about the coordination of value and its market performance.Generalized performance evaluation system of the fund is not only evaluation of operating performance,but also the assessment of its intrinsic value of the fund.Because the securities market in our country is weaker efficient,the fund's market performance tend to deviate from the intrinsic value.So that we need to have a comprehensive analysis of the open-end funds performance driver factors,and to construct a sound evaluation system which measures the market performance of the open-end funds.In addition,it is high theoretical value and practical significance to establish a scientific,comprehensive evaluation system,so that the investors are able to market performance and its intrinsic value.
In our research,our country open-end funds are selected as the research object and the fund's investment portfolio as the standpoint.We research the intrinsic value of the sample funds and the market performance of the theoretical analysis and empirical analysis.The theory research is based on three major theories,which are Modern Portfolio Theory,Capital Asset Pricing Theory and the Efficient Market Hypothesis.By constructing、selecting the portfolio and making the portfolio optimized,we study the sources of fund's intrinsic value in order to assess its value and provide a theoretical basis.It's clear that the fund performance is generated by the investment portfolio. Therefore,following the "optimal portfolio→excess returns→fund performance" line of thinking,we will select the assets of non-linear programming theory to test the investment portfolio chosed by the fund manager whether realize optimal.In accordance with the financial valuation of the idea,we use three-stage valuation model.Then we analyze the performance of drivers on the basis of the entropy theory and the right level of analysis combined computing performance evaluation index system level integrated weights,with fuzzy comprehensive evaluation method evaluation.We are committed to research open-end fund's intrinsic value and market performance,in order to predict the future investment and fund information provided by professional competence,which are based on fund performance is the prerequisite for sustainability.Therefore,we apply the current test model into empirical analysis.
In our paper,broke the existing most scholars who focus on the performance of fund market research as the core ideas,with emphasis on the intrinsic value of open-end funds and analyse the performance whether deviate from the intrinsic value.The study has found the sample fund's investment portfolio is not optimal,based on this,we adopt non-linear programming method to determine optimal portfolio samples and their weights,to accurately calculate the fund's investment portfolio of theβcoefficient and the necessary rate of return to provide basis.The results have shown that many samples' market performance has deviated from the intrinsic value,mainly because of our country's securities markets are weak efficiency and sound development of the fund industry.The empirical results of open-end fund performance persistence show that equity fund are not very good role in prediction for medium-and long-term performance of future medium-term,medium and long-term and long-term results.The medium-term investors should not judge the performance of the fund at any time in the future performance of the trend.During the test period,it has shown remarkable performance inversion,the funds not only past performance can not predict future performance,and may be just the opposite.
论文以基金投资组合为立足点,以开放式基金为研究对象,选取股票型基金为样本,研究了样本基金内在价值和市场业绩表现。理论部分主要探讨了现代投资组合理论、资本资产定价理论和有效市场假说理论,通过对投资组合的构建、选择和优化的理论分析,深入研究基金内在价值的来源,为评估其价值提供理论依据。实证部分在明确基金业绩来源于投资组合所产生的收益基础上,遵循“最优投资组合→超额收益→基金业绩”的思路,将资产选择理论和非线性规划法相结合,检验基金经理所确定的投资组合是否为“最优投资组合”,然后根据财务估价的思想,运用三阶段估值模型研究开放式的内在价值。接着采用“先分解再综合”的思路,在分析出业绩驱动因素的基础上,将熵权法和层次分析法相结合计算业绩评价指标体系的层级间综合权重系数,再与模糊评判法进行综合评价。最后,采用目前通用的检验模型对基金业绩持续性进行了实证研究。
论文提出了基金与股票一样具有内在价值的构想,重点对开放式基金内在价值进行实证研究,并分析市场业绩是否偏离内在价值。研究发现样本基金的投资组合并非达到最优,基于此,我们通过非线性规划法重新确定出样本基金最优投资组合及其权重,为准确计算基金投资组合的β系数和必要报酬率提供依据。研究结果显示,不少样本基金的市场业绩偏离了内在价值,主要是由于我国证券市场的弱式有效性和基金业发展不健全。我国开放式基金业绩持续性较弱,实证结果显示,股票型基金的中期和中长期业绩对未来中期、中长期和长期的业绩均没有很好的预测作用。投资者不能根据中期的业绩来判断基金在未来任何时候的业绩走势。出现这种情形,可能是中长期本身业绩就包含了太多不稳定的因素,不能预测基金未来的业绩。检验期内出现了显著的业绩反转现象,说明某些时段内用基金过去的业绩不但不能预测未来业绩,并且可能适得其反。
In the products and services point of view,securities investment funds are financial investment products.Nowadays,securities investment funds in our country developing rapidly,particularly species of the open-end funds are doom.However,the research on securities investment funds is still lagging behind,especially about the coordination of value and its market performance.Generalized performance evaluation system of the fund is not only evaluation of operating performance,but also the assessment of its intrinsic value of the fund.Because the securities market in our country is weaker efficient,the fund's market performance tend to deviate from the intrinsic value.So that we need to have a comprehensive analysis of the open-end funds performance driver factors,and to construct a sound evaluation system which measures the market performance of the open-end funds.In addition,it is high theoretical value and practical significance to establish a scientific,comprehensive evaluation system,so that the investors are able to market performance and its intrinsic value.
In our research,our country open-end funds are selected as the research object and the fund's investment portfolio as the standpoint.We research the intrinsic value of the sample funds and the market performance of the theoretical analysis and empirical analysis.The theory research is based on three major theories,which are Modern Portfolio Theory,Capital Asset Pricing Theory and the Efficient Market Hypothesis.By constructing、selecting the portfolio and making the portfolio optimized,we study the sources of fund's intrinsic value in order to assess its value and provide a theoretical basis.It's clear that the fund performance is generated by the investment portfolio. Therefore,following the "optimal portfolio→excess returns→fund performance" line of thinking,we will select the assets of non-linear programming theory to test the investment portfolio chosed by the fund manager whether realize optimal.In accordance with the financial valuation of the idea,we use three-stage valuation model.Then we analyze the performance of drivers on the basis of the entropy theory and the right level of analysis combined computing performance evaluation index system level integrated weights,with fuzzy comprehensive evaluation method evaluation.We are committed to research open-end fund's intrinsic value and market performance,in order to predict the future investment and fund information provided by professional competence,which are based on fund performance is the prerequisite for sustainability.Therefore,we apply the current test model into empirical analysis.
In our paper,broke the existing most scholars who focus on the performance of fund market research as the core ideas,with emphasis on the intrinsic value of open-end funds and analyse the performance whether deviate from the intrinsic value.The study has found the sample fund's investment portfolio is not optimal,based on this,we adopt non-linear programming method to determine optimal portfolio samples and their weights,to accurately calculate the fund's investment portfolio of theβcoefficient and the necessary rate of return to provide basis.The results have shown that many samples' market performance has deviated from the intrinsic value,mainly because of our country's securities markets are weak efficiency and sound development of the fund industry.The empirical results of open-end fund performance persistence show that equity fund are not very good role in prediction for medium-and long-term performance of future medium-term,medium and long-term and long-term results.The medium-term investors should not judge the performance of the fund at any time in the future performance of the trend.During the test period,it has shown remarkable performance inversion,the funds not only past performance can not predict future performance,and may be just the opposite.
引文
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