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论文编号：	7564
作者编号：	1120120780
上传时间：	2015/6/15 16:21:45
中文题目：	基于投资特点的基金绩效评价
英文题目：	Mutual Fund Performance Evaluation Based on the Investment Characteristics
指导老师：	齐岳
中文关键字：	基金 投资特点 绩效评价 治理建议
英文关键字：	mutual fund; investment features; performance evaluation; governance suggestions
中文摘要：	资产定价理论旨在分析金融资产的价值来源，新科诺贝尔经济学奖得主Fama提出了著名有效市场假说，但学术界却基本认同市场是不完全有效的这一观点，因为除了基本面信息外，金融资产的收益还会受其它很多因素的影响，如交易行为、历史行情和成交额等，因此，资产的收益中具有很多“噪音”，或称“收益异象”。资产定价理论需要根据资产的投资特点才能正确地评价其价值。 基金绩效评价是资产定价领域的一个重要的研究范畴。不同的基金具有不同的投资特点，资产定价模型需要准确地找到基金收益的来源，否则Alpha值中也会含有很多噪音，寻找影响收益的因素是资产定价理论发展的重要驱动力。但以往的文献在分析基金的投资特点时，为减少可能的遗漏变量，经常会在评价模型中引入外生性因素。为避免这些问题，并能正确地分析基金的投资特点，评价其绩效，文章从基金风格和风险两个角度，根据基金的历史收益和持股明细分析了其投资特点，并评价其绩效，结果发现我国基金不断地改变其投资策略，基金绩效较差，还存在代理问题。 基金绩效中还包含一些非定价因素，严格地看，基金绩效评价模型和资产定价模型有区别，定价模型无法度量非定价因素对基金绩效的影响。重新构建绩效评价基准可以解决这个问题，无论基金是消极型还是积极型投资，绩效评价基准都应该是积极的，好的绩效评价基准要能模仿出基金的投资特点。基于此，文章复制了基金的投资策略，构建出新的投资组合，并把它作为基金绩效评价基准。结果发现，基金在投资过程中偏离了其声称的投资策略，绩效下降，经理没有表现出好的择时和选股能力，确实存在道德风险。 优秀的基金经理在任何经济环境下都能根据基本面信息选择出恰当的股票投资。但文章的研究发现，基金投资了大量相似且基本面信息较差的股票。经理为表现出具有较强的信息优势，经常乐于投资相同的股票。文章最后对基金治理提出了一些建议。 相比之前的研究，文章的主要创新体现在三个方面： 文章首次采取复制基金投资策略的方法来评价基金绩效。以往的研究偏重于修正资产定价模型以分析基金的投资特点，但基金在投资过程中会有很多考虑的因素，定价模型无法探索出基金所有的投资特点，而且一些非定价因素也会影响基金的绩效，定价模型也无法分析非定价因素对基金绩效的影响，除此之外，模型还经常会引入一些外生性因素。为此，文章从绩效评价基准出发，复制基金的投资策略，构建了新的投资组合，并把这个投资组合作为基金绩效评价的基准，这种方法能够客观地评价出基金绩效。并且，这种方法能够同时评价基金经理的投资行为，为监督经理的投资活动提供了可借鉴的方法。 其次，文章从多个角度分析了基金的投资特点。文章综合使用了各种方法分析基金的投资特点，分析了基金的各个投资策略对绩效的影响，为评估各个投资策略对基金绩效的影响提供了方法。 最后，文章尝试在同一时间窗口内分析了基金的投资特点，评价了其绩效。我国基金的换手率较高，基金在一段时间内会多次变换其投资策略，改变其投资特点，因此，实现在更短的时间内和以及在同一时间窗口内分析基金的投资特点并评价其绩效，结果更加可靠，这需要创新文章的研究方法。
英文摘要：	Asset pricing theory analyzes the origins of the value of financial assets. Fama, the winner of the Nobel Prize in Economics in 2013, raised the famous Valid Market Hypothesis, but most of the scholars basically agree that the market is not fully valid, because besides the fundamental information, the returns of the financial assets are influenced by many other elements, such as transactions, history performance and turn volume. Therefore, there are lots of ‘noises’ in the returns of the assets, which is also called as the ‘return anomalies’. Only based on the investment features can the asset pricing theory make a correct evaluation on the assets value. Fund performance evaluation is an important research topic in the assets pricing field. Different funds have different investment features, and it is hard for the asset pricing model to find out the origins of all the fund returns because of lots of asset anomalies in the Alpla. Therefore, the performance evaluation requires analyzing the fund investment features as the first step. But in order to reduce possible missing variables, the previous analyses of the fund investment features have introduced some exogenous factors in the evaluation models. In avoidance of all the problems while getting the correct analysis of features and evaluation, this paper analyzes the investment features of the funds and the performance evaluation based on their history performances and holdings from the perspectives of fund characteristics and risks. The findings are that the fund performance in China is not optimistic, and the investment strategies of the fund managers are far from good. There are some non-pricing factors in the fund performance, so strictly speaking, the evaluation models of the fund performance is different from those of the asset pricing in that the pricing models can’t evaluate the effect of those non-pricing factors on the fund performance. Reconstructing the benchmark of the mutual fund performance evaluation could solve the above-mentioned problem. No matter whether it is negative or positive investment, the standard of the mutual fund performance evaluation should be positive so that a good performance evaluation standard could be able to copy the mutual fund investment features. Based on these, this paper copies the investment strategies of the mutual funds and constructs a new investing combination, which is used as the new standard for performance evaluation. As a result, we find that there are a few questions existing in the mutual fund companies: the investment of the mutual funds has some agency problems; they have deviated from their claimed investing policies; their performance is decreasing and some mutual fund managers are not quite capable at the timing and the selectivity of the mutual funds. An excellent mutual fund manager is able to invest in some proper stocks according to the mutual fundamental information under any kinds of economic environments, while the mutual funds probably enjoy more informative advantages. But even with the advantages, our study finds that the mutual fund companies have been investing in lots of similar and not so good mutual fundamental informative stocks. The managers tend to invest in same stocks in order to show their informative advantages. Accordingly this paper offers some suggestions on the mutual fund governance. Compared with the previous researches, the contribution and originality of this paper is shown in the following three aspects: Firstly, it is the first attempt to copy the investment strategies of the mutual funds to evaluate the mutual fund performance. The previous researches focus on modifying the asset pricing model to analyze the fund investment features and then evaluate the fund performance based on that. But there are lots of other factors in the fund investment process which need to be taken into consideration, such as some non-pricing factors which is not included in to pricing models. And the previous analyses also introduce some exogenous factors to analyze the investment features. Therefore, from the evaluation standard of the performance evaluation, this paper copies the investment strategies and constructs new investment portfolios to evaluate the fund performance objectively. This method could evaluate the fund performance and the investment behavior of the fund managers as well, which in turn offers a good way to guide the managers’ investment behavior. Secondly, it is a multi-aspect analysis of the investment features and the mutual fund performance in the same time window. This paper analyzes the investment features of the funds and the performance evaluation based on their history performances and holdings from the perspectives of fund characteristics and risks, while the previous analyses always evaluate the fund performance from a certain aspect which results in some findings easily interfered by the data. This paper also evaluates the effect of each investment strategy on the performance, which is seldom touched upon previously. The analysis of the managers’ investment behavior from the fundamental information of the holding stocks is more suitable for Chinese fund investment features. Last but not least, it is an analysis of the fund investment features and fund performance in the same time window. The previous analyses of the fund investment features and performance are from different time periods, which lead to the incorrect evaluation of the performance, based on the fact that the funds always change their investment strategies and investment features several times in a period of time. Therefore, the analysis within a shorter period time and in the same time window is more reliable.
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