我国开放式证券投资基金的业绩评价
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摘要
2001年9月,我国第一只开放式证券投资基金——华安创新基金正式成立,改变了我国证券市场基金品种过于单一的局面,2002年8月后,我国停止了封闭式基金的发行,尔后,开放式基金进入了一个快速发展的阶段。截止2004年12月底,我国开放式基金已经突破了100只,无论在数量上还是在规模上都远远超过了封闭式基金,并且迅速成为我国证券市场上举足轻重的机构投资者。随着开放式基金的快速发展,其投资绩效引起了人们的普遍关注,开放式基金是否真正地体现出了专家理财的能力,能否为基金持有人带来良好的收益,同时,在中国这样一个新兴证券市场上,基金的业绩能否超越市场表现,这些问题都是人们关注的焦点。正因为如此,对开放式基金的业绩进行全面客观地评价就显得尤为迫切。虽然国外对证券投资基金业绩评价的理论已经非常成熟,实证研究也非常深入,但国内在基金业绩方面的研究多数是针对封闭式基金进行的,而对开放式基金的业绩进行评价的文献还不多见,尤其是对其投资绩效进行全面系统的评价几乎还是一片空白。鉴于上述原因,本文借助已有业绩评价理论,结合我国证券市场的实际,采取理论分析和实证分析相结合的方法,对我国开放式基金的业绩进行了较为准确客观的评价,从已有文献来看,其系统性和全面性在国内可以说还是首次的。下面是本文的主要内容:
第一部分(第1、2章)为导言及文献综述。这部分内容阐述了本文的研究背景与动机,介绍了本文的研究方法与技术路线。然后,系统地回顾了与基金业绩评价有关的经典理论和评价方法,并将国内外学者的实证研究成果予以归纳和总结,笔者还针对基金业绩评价中存在的问题提出了相应的看法,这部分内容为我们对开放式基金的业绩进行实证研究奠定了坚实的理论基础,其中,对已有业绩评价实证结果的系统归纳也是本研究的理论贡献之一。
第二部分(第3、4、5、6、7、8章)是开放式基金业绩评价的主体部分。这一部分首先对所要进行实证评价的38只股票型开放式基金进行了简介,还选取了业绩评价的比较基准。然后,采用分年度检验方法,运用多种评价模型对股票型开放式基金未经风险调整的收益和经风险调整的业绩进行了衡量。在未经风险调整收益方面主要检验了开放式基金的日净值增长率及累计净值增长率。风险调整业绩主要评价了开放式基金的夏普指数、特雷诺指数、信息比率、M2指标和詹森阿尔法值。
浙江大学博士学位论文我国开放式证券投资基金的业绩评价—基于股票型开放式基金的实证分析
通过研究发现我国开放式基金的业绩具有如下特征:一是开放式基金的业绩在
不同年份差别很大。2003年是开放式基金投资收益最好的年份,而2002年和2004
年里的业绩却不如人意,不过多数基金能够超越市场收益,从长达两个年度内的检
验发现,我国开放式基金在一定程度上体现了专家理财的能力。国外大多数研究发
现基金并不能战胜市场,我们的结论与其相反,这从另一个侧面也表明我国证券市
场的效率还不高。
二是不同时间内基金的业绩排名在变化很大,随着运行时间的增长,有些原来
业绩非常好的基金排名可能下降得很快,而新成立的基金反而可能排在前端,表明
更长运行时间并不一定有助于基金业绩的提高;另外,消极型指数型基金虽然总费
用率较低,但并没有比积极型基金的业绩好,其业绩在全部基金中的排名都非常靠
后;从对基金的规模考察结果来看,不同规模开放式基金的业绩并没有明显差异,
基金规模的增大对其业绩的提高没有显著的作用,这方面的结论将有助于改变人们
认为在基金发行时规模越大越好的观念。
三是开放式基金显示出了一定的证券选择能力,却很少具备显著的市场时机把
握能力。TM模型和HM模型及相应的三因素模型下的检验结果都发现,大部分基
金没有能够通过估计未来市场的行情来及时调整其投资组合中的风险资产和无风险
资产的比例。通过对2003年巧只基金的个案分析,发现开放式基金在对市场趋势
进行预测时表现出明显的羊群行为。这方面的结论表明即使是基金公司这样具有强
大研究实力的机构投资者也难于准确地预测市场走向。
四是开放式基金的业绩持续性不强。基金仅在短期内(1一3个月)出现过显著的业
绩持续性现象,在更长时间内业绩持续性现象则消失了。不但如此,在短期内还出
现了显著的业绩反转现象,表明基金过去的业绩并不包含对未来业绩有用的信息,
投资于过去表现好的基金在未来不一定会受益,这方面的结论对基金投资者的决策
是有意义的。
第三部分(第9章)对开放式基金的业绩和流动性交易的关系进行了研究。检验发
现,我国开放式基金在2003年普遍表现为因赎回量大于申购量而引起基金资产净值
的减少,而在2004年上半年基金整体表现为净申购;另外,小型基金的申购率和换
手率都要比大型基金高;开放式基金的业绩与其申购率呈正向关系,而业绩与其赎
回率之间没有明显的关系,绩差基金并不一定就因其业绩不好而受到投资者的惩罚
被赎回,另一方面,绩优基金的赎回率不见得就低于绩差基金,本文专门就我国开
Huaan chuangxing, the first open-ended fund came into existence in September 2001 which changed the phase that the fund breed was single in the sucurity market of our country. Closed-end funds were ceased to be issued in our country since August 2002, there came a stage of the rapid development of open-ended funds. Over 100 open-ended funds was founded by the end of 2004, open-ended funds have exceeded the close-ended funds whether in quantity or scale, and have become the institutional investors which holds the balance in the security market in our country. Along with the rapid development of open-ended funds, people become to concern their performance generally. The problems whether the open-ended funds can reveal the ability of specialist financing, and if they can earn favorable income for the shareholders, and whether open-ended funds can overcome the new security market of China are all the focus which are concerned by the people. Just for that reason, it becomes impendence to evaluate the performance of the open-ended funds completely and impersonality.Although the theory to evaluate the performance of the mutual fund has become very mature, and the scholars have gone deep into the positive research in the foreign countries, the research about this aspect in our country has just begun. Most of the positive performance research in our country aimed at the closed-end fund, there was little systematical and thoroughly evaluation about the open-ended funds, Especially it is almost a blank to evaluation the performance of the open-ended funds entriely and systemically. Just so, this article tries to evaluate the performance of the open-ended funds in our country nicety and impersonality through a series of positive research by the use of the performance evaluate theory in existence, on the background of the fact of the security market in our country, adapting the way to combine the theoretical analysis and positive analysis. The entire and systemic research of this article can be thought to be the first time in our country.The main contents of this article are as follows:The first part (the 1, 2 chapter) is the introduction and document summarize. This part expounded the background and the theoretical and realistic meaning of this study, it also introduced the reasearch ways and the framework and the technical route of this article.Then we reviewed the classic theory and methods which concerned about the fund performance evaluation, along with the performance evaluation methods in common use. The author also summarized the positive research results of the mutual fund performance made by the foreign scholars by the use of these methods and puts forward some opinions about the problem of the performance evaluation. The contents of this part provided with us a solid theoretical base to evaluate the performance of open-ended funds. In the
meantime, the systemic sum up of the positive research result of mutual funds is one of the therotical contributions of this article.The second part (the 3、4、5、6、7、8 chapter) is the main part of the performance evaluation of open-end funds. We first introduced the 38 equity open-ended funds to be evaluated, we also chose the comparative benchmark. We then measured the risk-adjusted and non- risk-adjusted performance of the equity open-ended funds under manifold evaluating models. The revenue without risk-adjusted included the daily net value increasing ratio and the accumulative total net value increasing ratio, while the risk-adjusted revenue included the Sharp ratio, the Treynor ratio, the M2 ratio and the Jensen alpha.We find that the the performance of open-end funds in our country reveals some characteristics as follows:First, the the performances of open-end funds had great difference in different years. The funds performanced the best in 2003 while they performanced far poorer in 2002 and 200, and most funds defeated the security market. The collectivity test of the funds during two years indicated that the open-ended funds in our country incarnated the ability of specialis
第一部分(第1、2章)为导言及文献综述。这部分内容阐述了本文的研究背景与动机,介绍了本文的研究方法与技术路线。然后,系统地回顾了与基金业绩评价有关的经典理论和评价方法,并将国内外学者的实证研究成果予以归纳和总结,笔者还针对基金业绩评价中存在的问题提出了相应的看法,这部分内容为我们对开放式基金的业绩进行实证研究奠定了坚实的理论基础,其中,对已有业绩评价实证结果的系统归纳也是本研究的理论贡献之一。
第二部分(第3、4、5、6、7、8章)是开放式基金业绩评价的主体部分。这一部分首先对所要进行实证评价的38只股票型开放式基金进行了简介,还选取了业绩评价的比较基准。然后,采用分年度检验方法,运用多种评价模型对股票型开放式基金未经风险调整的收益和经风险调整的业绩进行了衡量。在未经风险调整收益方面主要检验了开放式基金的日净值增长率及累计净值增长率。风险调整业绩主要评价了开放式基金的夏普指数、特雷诺指数、信息比率、M2指标和詹森阿尔法值。
浙江大学博士学位论文我国开放式证券投资基金的业绩评价—基于股票型开放式基金的实证分析
通过研究发现我国开放式基金的业绩具有如下特征:一是开放式基金的业绩在
不同年份差别很大。2003年是开放式基金投资收益最好的年份,而2002年和2004
年里的业绩却不如人意,不过多数基金能够超越市场收益,从长达两个年度内的检
验发现,我国开放式基金在一定程度上体现了专家理财的能力。国外大多数研究发
现基金并不能战胜市场,我们的结论与其相反,这从另一个侧面也表明我国证券市
场的效率还不高。
二是不同时间内基金的业绩排名在变化很大,随着运行时间的增长,有些原来
业绩非常好的基金排名可能下降得很快,而新成立的基金反而可能排在前端,表明
更长运行时间并不一定有助于基金业绩的提高;另外,消极型指数型基金虽然总费
用率较低,但并没有比积极型基金的业绩好,其业绩在全部基金中的排名都非常靠
后;从对基金的规模考察结果来看,不同规模开放式基金的业绩并没有明显差异,
基金规模的增大对其业绩的提高没有显著的作用,这方面的结论将有助于改变人们
认为在基金发行时规模越大越好的观念。
三是开放式基金显示出了一定的证券选择能力,却很少具备显著的市场时机把
握能力。TM模型和HM模型及相应的三因素模型下的检验结果都发现,大部分基
金没有能够通过估计未来市场的行情来及时调整其投资组合中的风险资产和无风险
资产的比例。通过对2003年巧只基金的个案分析,发现开放式基金在对市场趋势
进行预测时表现出明显的羊群行为。这方面的结论表明即使是基金公司这样具有强
大研究实力的机构投资者也难于准确地预测市场走向。
四是开放式基金的业绩持续性不强。基金仅在短期内(1一3个月)出现过显著的业
绩持续性现象,在更长时间内业绩持续性现象则消失了。不但如此,在短期内还出
现了显著的业绩反转现象,表明基金过去的业绩并不包含对未来业绩有用的信息,
投资于过去表现好的基金在未来不一定会受益,这方面的结论对基金投资者的决策
是有意义的。
第三部分(第9章)对开放式基金的业绩和流动性交易的关系进行了研究。检验发
现,我国开放式基金在2003年普遍表现为因赎回量大于申购量而引起基金资产净值
的减少,而在2004年上半年基金整体表现为净申购;另外,小型基金的申购率和换
手率都要比大型基金高;开放式基金的业绩与其申购率呈正向关系,而业绩与其赎
回率之间没有明显的关系,绩差基金并不一定就因其业绩不好而受到投资者的惩罚
被赎回,另一方面,绩优基金的赎回率不见得就低于绩差基金,本文专门就我国开
Huaan chuangxing, the first open-ended fund came into existence in September 2001 which changed the phase that the fund breed was single in the sucurity market of our country. Closed-end funds were ceased to be issued in our country since August 2002, there came a stage of the rapid development of open-ended funds. Over 100 open-ended funds was founded by the end of 2004, open-ended funds have exceeded the close-ended funds whether in quantity or scale, and have become the institutional investors which holds the balance in the security market in our country. Along with the rapid development of open-ended funds, people become to concern their performance generally. The problems whether the open-ended funds can reveal the ability of specialist financing, and if they can earn favorable income for the shareholders, and whether open-ended funds can overcome the new security market of China are all the focus which are concerned by the people. Just for that reason, it becomes impendence to evaluate the performance of the open-ended funds completely and impersonality.Although the theory to evaluate the performance of the mutual fund has become very mature, and the scholars have gone deep into the positive research in the foreign countries, the research about this aspect in our country has just begun. Most of the positive performance research in our country aimed at the closed-end fund, there was little systematical and thoroughly evaluation about the open-ended funds, Especially it is almost a blank to evaluation the performance of the open-ended funds entriely and systemically. Just so, this article tries to evaluate the performance of the open-ended funds in our country nicety and impersonality through a series of positive research by the use of the performance evaluate theory in existence, on the background of the fact of the security market in our country, adapting the way to combine the theoretical analysis and positive analysis. The entire and systemic research of this article can be thought to be the first time in our country.The main contents of this article are as follows:The first part (the 1, 2 chapter) is the introduction and document summarize. This part expounded the background and the theoretical and realistic meaning of this study, it also introduced the reasearch ways and the framework and the technical route of this article.Then we reviewed the classic theory and methods which concerned about the fund performance evaluation, along with the performance evaluation methods in common use. The author also summarized the positive research results of the mutual fund performance made by the foreign scholars by the use of these methods and puts forward some opinions about the problem of the performance evaluation. The contents of this part provided with us a solid theoretical base to evaluate the performance of open-ended funds. In the
meantime, the systemic sum up of the positive research result of mutual funds is one of the therotical contributions of this article.The second part (the 3、4、5、6、7、8 chapter) is the main part of the performance evaluation of open-end funds. We first introduced the 38 equity open-ended funds to be evaluated, we also chose the comparative benchmark. We then measured the risk-adjusted and non- risk-adjusted performance of the equity open-ended funds under manifold evaluating models. The revenue without risk-adjusted included the daily net value increasing ratio and the accumulative total net value increasing ratio, while the risk-adjusted revenue included the Sharp ratio, the Treynor ratio, the M2 ratio and the Jensen alpha.We find that the the performance of open-end funds in our country reveals some characteristics as follows:First, the the performances of open-end funds had great difference in different years. The funds performanced the best in 2003 while they performanced far poorer in 2002 and 200, and most funds defeated the security market. The collectivity test of the funds during two years indicated that the open-ended funds in our country incarnated the ability of specialis
引文
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