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论文编号：	1843
作者编号：	031705
上传时间：	2010/5/14 10:05:49
中文题目：	我国开放式基金业绩实证研究和评价
英文题目：	Fund performance, Security selectivity, Market timing
指导老师：	刘志远
中文关键字：	基金业绩　　　选股能力　　择时能力
英文关键字：	Fund performance, Security selectivity, Market timing
中文摘要：	自1998年3月27日我国首次批设成立两只封闭式证券投资基金以来，经过7年多的发展，基金已经成为中国资本市场最重要的机构投资者之一，而开放式基金在最近几年的发展速度尤为迅速，开放式基金已经成为中国基金行业的主流，正确评价开放式基金的绩效表现也就成为一个重要的研究课题。同时，对于开放式基金绩效的评价，对于投资者、基金公司、管理层都有着深远的意义。 本文拟对我国开放式证券投资基金的业绩进行评价，所选的样本为2003年12月31日前成立且正式上市运作的40只开放式基金，采用了定量分析与定性分析相结合的方法，在研究方法上以定量分析为主，运用大量的数据及相关模型对开放式基金的业绩进行实证检验，结合定性分析方法，对开放式基金的业绩进行全面系统地评价。在对开放式基金业绩进行分析时，注重把开放式基金作为一个整体对其业绩进行一般分析，力求反映开放式基金业绩的全貌。然而，单纯的一般分析不能看出不同基金之间的业绩差别，因此，还对处于业绩顶端和底部的基金进行了重点分析；在对基金业绩表现的原因进行探讨时，除对整个证券市场的行情进行分析外，还重点分析了有代表性基金的投资策略及其对基金业绩的影响。 通过分析，笔者得出了以下的结论：样本基金在观察期内均能战胜市场组合，体现了开放式基金专家理财的优点；规模因素与基金超额收益呈现负的相关关系，表明绝大部分样本基金将资金投向了大型公司，样本基金的收益受到大型公司表现的影响，价值因素在模型中的系数不显著，说明了基金经理并不是完全按照目前流行的“价值投资”理念选择证券，投资于价值型股票；我国开放式基金经理总体上不具有显著的选股能力和择时能力，但是仍然有个别基金经理具有显著的选股能力和择时能力；我国开放式基金短期不存在绩效持续性，而存在中长期的绩效持续性。
英文摘要：	The first two funds were founded in March,27 1998, Now funds are the most important institution investors in Chinese capital market after more than 7 years’ development, especially the development of open funds are very rapid, and open funds are the mainstream in Chinese funds industry, so, it is an important research task to evaluate open funds’ performance, and there are deep significance for investors、fund management company and administer. The writer want to evaluate the performance of 40 open securities funds which were founded before Dec,31 2003, and adopt the way of combination of quantitative analysis and qualitative analysis, mainly using the quantitative analysis, to test the performance of open funds with quantities of data and models, and combine with qualitative analysis to evaluate the performance of open funds systemly. The writer pays attention to the integrity of open funds, and evaluates the performance of integer. However, the common analysis can’t differ the performance of all of the open funds, so writer pay more attention to the funds in the bottom and on the top; the writer analyze the market of securities while discussing the reason of performance, also, the writer discuss the representative invest strategies and whose influence to performance of funds. The writer reaches the following conclusions: The open funds can win over the market benchmark, and it embody the advantage of expertise management; there are negative correlation between scope factor with excess income, so most of funds invest money to big scope companies, and the performance of these big companies effects the funds’ income, value factor is not statistically significant and it means the management don’t choose the securities under the thought of “value invest” any more; There are not statistically significant security selectivity and market timing abilities in the mass, but a few funds managers have the ability of security selectivity and market timing; In the term of performance persistence, there are not any persistence in the short term, but in long term persistence.
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