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论文编号：	1332
作者编号：	2120072091
上传时间：	2009/12/24 14:51:22
中文题目：	我国开放式基金绩效评价体系实证研究
英文题目：	the empirical study of china''s open-end fund performance evaluation system
指导老师：	古志辉
中文关键字：	开放式基金 绩效评估 投资组合分析
英文关键字：	Open-end funds, Performance Evaluation, Investment Portfolio Analysis
中文摘要：	随着我国证券投资基金的发展和壮大，势必存在投资基金经营运作良莠不齐的状况，因而非常有必要对证券投资基金进行绩效评估分析，从而正确地评价和比较不同基金的投资表现，引导投资者对投资基金进行适当的投资选择，而本文把业绩评估的重点放在了已逐渐成为市场主流品种的开放式基金上。 首先，本文简明扼要的介绍了开放式基金的性质和主要特点及其在国内外的发展现状，揭示了在我国对开放式基金进行绩效评估的现实意义，并且对本文的研究框架和实证分析的方法作了相关的说明。 其次，在马柯维茨的现代投资组合理论和威廉·夏普的资本资产定价模型（CAPM）的理论基础上，系统地阐述了目前关于证券投资基金的绩效评估具有代表性的三种风险因素调整绩效衡量方法，即夏普业绩指数、特雷诺指数、詹森业绩指数，并对其进行了比较研究。并且回顾了国内众多学者对于证券投资基金绩效评价的相关研究及其结论，对国内外的研究方法和结论也作出综合的评述。 然后，本文结合我国开放式基金的具体发展现状，借鉴国内外同行对开放式基金绩效评估的研究，选择三十只样本基金，运用夏普业绩指数、特雷诺指数、詹森业绩指数等多项指标，从开放式基金的收益指标、区间收益率指标、风险指标、股票选择能力、市场时机把握能力等多个方面，对样本基金在长达四年的股市大幅变动中的业绩情况进行了整体的实证分析和研究。 之后对于在样本基金中表现各异的三只基金，又对其自2005年至2009年上半年的投资策略和运作情况进行了详细的分析讨论，从而试图寻找出这几乎同时成立的三只基金在股市变动中表现迥异的深层次原因。 本文通过对样本基金的整体实证研究和个体投资分析，得出以下结论：国内证券投资市场中开放式基金的收益率平均水平基本能够超越指数，但基金收益率受国内证券市场影响较大，基本上是随证券市场的起伏而波动。在正确的市场预测和科学组合决策中能够获得较好的投资回报，同时投资基金能够避免投资者因投资技术欠佳、缺乏市场经验和无暇顾及的投资风险和投资损失，开放式基金还能够较好的满足投资者资产流动性与收益的要求，开放式基金的发展对大多数投资者和国内证券市场都是有益的。但业绩受资产组合结构、股票走势影响较大，同时也暴露了国内基金市场发展环境和运作方式不健全、不合理，基金经理人的能力有待进一步提升，未能充分发挥开放式管理的积极性、有效性的弱点。 文章的最后，对我国证券投资基金业的未来发展趋势和我国开放式基金绩效评价体系的优化与完善提出了一些自己的建议。
英文摘要：	As China's Securities Investment Fund to develop and grow, there is bound to the operations of investment funds, mixed conditions, which is necessary for securities investment fund performance evaluation analysis, which accurately evaluate and compare the performance of the Fund's investment guide investors investment funds as appropriate investment choices, but this paper, the performance evaluation focused on the market has gradually become the mainstream varieties of open-end fund. First, the article concisely describes the nature of open-end funds and the main characteristics and the development of the status quo at home and abroad, revealing the open-end fund in China's right to conduct performance evaluation of the practical significance, and the right of this research framework and empirical analysis of the method gave instructions. Secondly, in the modern portfolio theory of Markowitz and William Sharpe - Capital Asset Pricing Model (CAPM) the theoretical basis, the system expounded on the current performance evaluation of securities investment funds representative of the three kinds of risk-adjusted performance measurement method, which Sharpe performance index, Treynor index, Jensen performance index, and a comparative study of them. And recalled the many scholars of domestic securities investment fund performance evaluation of the relevant research and its conclusions, the right domestic and foreign research methods and conclusions have also made comprehensive comments. Afterward, regarding displayed three funds which in the sample fund varied, this article to it from 2005 to its first half of 2009 the investment strategy and operations carried out a detailed analysis of the discussion, which is almost the same time trying to find out the establishment of three only the performance of the fund in the stock market in very different changes in the deep-seated reasons. By means of empirical research samples Fund as a whole and individual investment analysis, the following conclusions: domestic securities market, open-end fund investment rate of return to exceed the average level of the basic index, but the Fund yield influenced by domestic stock markets, the basic is with the stock market ups and downs and volatility. In the right combination of market forecasts and scientific decision-making to obtain a better return on investment, while investment funds from investors to invest in technology to avoid the poor, lack of market experience and no time to take into account the investment risk and investment losses, compared with open-end fund can also Good to meet investor liquidity and income requirements, the development of open-end funds for most investors and domestic securities markets are beneficial. But the performance by the portfolio structure, and greater impact on stock movements, but also exposes the domestic capital market development environment and mode of operation does not sound unreasonable, the fund manager's ability to be further improved, failed to give full play to open the management of enthusiasm, effectiveness of weakness. The final article on China's securities investment fund industry's future development trends and China's open-end fund performance evaluation system for the optimization and improvement made a number of its recommendations.
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