开放式证券投资基金业绩评价研究
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摘要
自1999年3月我国第一批规范的证券投资基金上市以来,证券投资基金业在规模、产品的品种、法律法规和监管体系建设等方面都得到了迅速的发展,成为我国证券市场的重要组成部分。随着投资基金业的发展,其业绩表现便受到基金管理层、基金管理公司、基金投资者以及学者们的普遍关注。投资基金能否体现出专家理财的能力,是否具有超越市场的业绩等都成为人们关注的焦点,导致对投资基金业绩进行客观全面的评价成为当前研究的热点。相对而言,国内对投资基金业绩评价的理论研究与实践起步较晚,评价的理论和方法大多是借用国外成熟的理论,在实践的过程中多为直接借用国外的评价模型,较少考虑到国内的实际,在评价方法应用的深度、广度以及系统性等方面均存在着一些不足。
本文根据证券投资基金业绩评价理论,综合运用多元统计学,计量经济学,非参数理论,采用理论分析和实证分析相结合的方法,对我国投资基金的业绩进行了较为全面、系统的综合性分析和评价。论文首先回顾了与基金业绩评价有关的经典理论和评价方法,对研究成果进行了归纳总结和相应的评价,在此基础上,对投资基金的未经风险调整业绩、经风险调整的业绩、经理人选股与择时能力、业绩持续性、业绩综合定量评价等进行了理论的阐述和实证分析。论文将基金指数收益率与市场指数收益率进行对比分析,利用协整理论、因果关系理论和状态方程模型分析了类型基金指数与市场指数的关系;利用非参数密度估计理论、分位数回归方法等计算出7种经风险调整的业绩指标,并以此指标对投资基金业绩的表现、指标评价结果的相关性进行了实证分析;利用面板数据模型中的似不相关参数估计方法对投资基金经理人的选股与择时能力进行了实证分析;利用横截面回归、列联表分析法、Spearman等级相关检验和游程检验法对投资基金业绩持续性进行了检验;利用全局主成分和全局熵权分析法和对应分析法对投资基金综合业绩进行了定量评价。实证结果表明,开放式基金的收益高于市场收益,但在特定的时间段表现各异;基金市场与证券市场之间的密切程度越来越高;投资基金具有较为显著的选股能力但市场时机把握能力不显著;基金在多种分析时期下不具有显著的业绩持续性。本论文的研究更具系统性、广泛性和综合性,对各个机构和投资者具有参考价值。
该论文有图17幅,表77个,参考文献147篇。
Since China's first canonical listed securities investment fund in March 1999, securities investment fund industry has been developed rapidly in terms of scale, product variety, laws, regulations and regulatory system construction and other aspects, and has become an important group of China's securities market . With the development of investment fund industry, its performance will be general concerned by fund managers, fund management companies, fund investors and scholars. Whether investment funds could reflect the capacity of financial experts and whether they exceed the performance of the market have become the focus of attention. By contrast, theoretical research and practical application of performance evaluation have a late start in china, and the theories and methods of evaluation are borrowed mostly from abroad. In practice, the process often comes directly from foreign evaluation model without taking the domestic reality into account. There are some drawbacks in evaluation methods applied in the breadth, depth and systemic aspects.
With the investment fund performance evaluation of existing theories, we have integrated existing multiple statistics, econometrics, non-parametric theory, used a combination of theoretical analysis and empirical analysis methods, and conducted a more comprehensive and systematic analysis and evaluation of the performance of investment funds in China. The paper firstly reviews the classical theory and evaluation methods related to the performance evaluation of the Fund, research results are summarized and the corresponding evaluation is done. On this basis, theoretical elaboration and empirical analysis are made about the investment funds without the risk-adjusted performance, risk-adjusted performance, managers stock picking and timing capabilities, Performance Persistence, performance of a comprehensive quantitative evaluation. The paper compares the fund index yield and the market index yield, and analyses the relationship between the type fund index and market index using cointegration theory, causal theory and equation of state model; we use non-parametric density estimation theory and quantile regression method to calculate the seven kinds of risk-adjusted performance indicators, and use the indicators of the performance of investment fund to analyse it empirically and evaluate the performance and relevance of the results; we use seemingly unrelated parameter estimation method of panel data model to empirically analyse the Investment Fund manager's stock selection and timing ability; Investment Fund Performance Persistence is tested by cross-sectional regression, contingency table analysis, Spearman rank correlation test and runs test method; a comprehensive performance of investment funds is evaluated by the global principal components and global entropy power analysis and correspondence analysis; the factors affecting the performance of investment funds are analysed with the help of hierarchical linear models and principal component analysis method. The empirical results show that open-ended ends income is higher than market returns, but the performance of a specific period of time varies; fund markets have increasingly close relationship with the stock market; Investment funds have a more significant stock-picking ability but the market timing capability is not significant; Funds do not have a significant performance sustainability when they are in a variety of analysis time. Study of this paper is more systematic, extensive and comprehensive, and gives various institutions and investors a reference value.
本文根据证券投资基金业绩评价理论,综合运用多元统计学,计量经济学,非参数理论,采用理论分析和实证分析相结合的方法,对我国投资基金的业绩进行了较为全面、系统的综合性分析和评价。论文首先回顾了与基金业绩评价有关的经典理论和评价方法,对研究成果进行了归纳总结和相应的评价,在此基础上,对投资基金的未经风险调整业绩、经风险调整的业绩、经理人选股与择时能力、业绩持续性、业绩综合定量评价等进行了理论的阐述和实证分析。论文将基金指数收益率与市场指数收益率进行对比分析,利用协整理论、因果关系理论和状态方程模型分析了类型基金指数与市场指数的关系;利用非参数密度估计理论、分位数回归方法等计算出7种经风险调整的业绩指标,并以此指标对投资基金业绩的表现、指标评价结果的相关性进行了实证分析;利用面板数据模型中的似不相关参数估计方法对投资基金经理人的选股与择时能力进行了实证分析;利用横截面回归、列联表分析法、Spearman等级相关检验和游程检验法对投资基金业绩持续性进行了检验;利用全局主成分和全局熵权分析法和对应分析法对投资基金综合业绩进行了定量评价。实证结果表明,开放式基金的收益高于市场收益,但在特定的时间段表现各异;基金市场与证券市场之间的密切程度越来越高;投资基金具有较为显著的选股能力但市场时机把握能力不显著;基金在多种分析时期下不具有显著的业绩持续性。本论文的研究更具系统性、广泛性和综合性,对各个机构和投资者具有参考价值。
该论文有图17幅,表77个,参考文献147篇。
Since China's first canonical listed securities investment fund in March 1999, securities investment fund industry has been developed rapidly in terms of scale, product variety, laws, regulations and regulatory system construction and other aspects, and has become an important group of China's securities market . With the development of investment fund industry, its performance will be general concerned by fund managers, fund management companies, fund investors and scholars. Whether investment funds could reflect the capacity of financial experts and whether they exceed the performance of the market have become the focus of attention. By contrast, theoretical research and practical application of performance evaluation have a late start in china, and the theories and methods of evaluation are borrowed mostly from abroad. In practice, the process often comes directly from foreign evaluation model without taking the domestic reality into account. There are some drawbacks in evaluation methods applied in the breadth, depth and systemic aspects.
With the investment fund performance evaluation of existing theories, we have integrated existing multiple statistics, econometrics, non-parametric theory, used a combination of theoretical analysis and empirical analysis methods, and conducted a more comprehensive and systematic analysis and evaluation of the performance of investment funds in China. The paper firstly reviews the classical theory and evaluation methods related to the performance evaluation of the Fund, research results are summarized and the corresponding evaluation is done. On this basis, theoretical elaboration and empirical analysis are made about the investment funds without the risk-adjusted performance, risk-adjusted performance, managers stock picking and timing capabilities, Performance Persistence, performance of a comprehensive quantitative evaluation. The paper compares the fund index yield and the market index yield, and analyses the relationship between the type fund index and market index using cointegration theory, causal theory and equation of state model; we use non-parametric density estimation theory and quantile regression method to calculate the seven kinds of risk-adjusted performance indicators, and use the indicators of the performance of investment fund to analyse it empirically and evaluate the performance and relevance of the results; we use seemingly unrelated parameter estimation method of panel data model to empirically analyse the Investment Fund manager's stock selection and timing ability; Investment Fund Performance Persistence is tested by cross-sectional regression, contingency table analysis, Spearman rank correlation test and runs test method; a comprehensive performance of investment funds is evaluated by the global principal components and global entropy power analysis and correspondence analysis; the factors affecting the performance of investment funds are analysed with the help of hierarchical linear models and principal component analysis method. The empirical results show that open-ended ends income is higher than market returns, but the performance of a specific period of time varies; fund markets have increasingly close relationship with the stock market; Investment funds have a more significant stock-picking ability but the market timing capability is not significant; Funds do not have a significant performance sustainability when they are in a variety of analysis time. Study of this paper is more systematic, extensive and comprehensive, and gives various institutions and investors a reference value.
引文
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