基于随机滤波技术的我国开放式基金业绩评价研究

发布时间：2018-01-10 16:02

本文关键词：基于随机滤波技术的我国开放式基金业绩评价研究　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：投资组合业绩评价问题是现代金融理论的核心问题之一,历来是金融领域学者和从业人员关注的焦点。公募证券投资基金作为市场上机构投资者的主体,也就自然成为这一问题的主要载体。自1998年3月我国第一批规范的证券投资基金上市以来,公募基金业在资产规模、产品品种、投资思想和监管体系等方面的深度与广度都有了长足的进步,形成了以开放式基金产品主体的产品结构,成为我国资本市场重要的组成部分。与之相对,国内对基金业绩评价的理论研究和实践起步较晚,目前还缺乏符合国情实际的有影响力的评价体系,亟待进一步研究和完善。基金的资产仓位是业绩评价的重要变量,实务中仓位数据仅在季报中披露,其时效性比较差,需要对实时仓位进行估计。本文构建状态空间模型,将仓位设为状态变量,运用随机滤波技术对其进行估计。在得到仓位的估计值后,改进传统的Treynor-Mazuy业绩评价模型对基金的择时资产配置能力进行评价,并顺便探讨择券能力。本文选取了2005年1月至2013年3月我国市场上66只开放式混合基金产品作为实证研究对象,基于随机滤波技术的业绩评价模型认为我国基金管理人在长期具有一定的择时能力,而传统的Treynor-Mazuy模型对此有所低估。同时,不同的模型都表明我国混合基金产品管理人的择券能力不显著。本文构建的模型指标对投资者的实务操作有一定指导意义。
[Abstract]:Portfolio performance evaluation is one of the core issues in modern financial theory and has always been the focus of attention of scholars and practitioners in the financial field. Public securities investment funds as the main body of institutional investors in the market. Since March 1998, the first batch of standardized securities investment funds listed in China, the public fund industry in the asset size, product varieties. The depth and breadth of investment thought and supervision system have made great progress, forming the product structure with the main body of open-end fund products, and becoming an important part of our country's capital market. The theoretical research and practice of fund performance evaluation in China started late, and there is still a lack of an influential evaluation system in accordance with the actual situation of the country, which needs to be further studied and improved. The asset position of the fund is an important variable in the performance evaluation. In practice, the position data is only disclosed in the quarterly report, its timeliness is relatively poor, it is necessary to estimate the real-time position. This paper constructs a state-space model. The position is set as the state variable, and the random filtering technique is used to estimate the position. This paper improves the traditional Treynor-Mazuy performance evaluation model to evaluate the asset allocation ability of the fund, and also discusses the coupon selection ability. This paper selects 66 open-end mixed fund products from January 2005 to March 2013 as the empirical research object. The performance evaluation model based on stochastic filtering technology thinks that Chinese fund managers have a certain ability of timing in the long run, but the traditional Treynor-Mazuy model underestimates this. At the same time. The different models show that the portfolio selection ability of the mixed fund product managers in China is not significant. The model indexes constructed in this paper have certain guiding significance for the practical operation of investors.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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