文档介绍：目录
摘要 1
Abstract 2
3
(一)单因素整体绩效评估模型 3
(二)多因素绩效评估模型 5
(三)择时能力与选股能力评估模型 6
(四)投资组合变动评估模型 9
10
10
(一) 因子的选择 10
(二) 样本与数据来源 11
(三) 变量与指标 11
(四) 模型变量的选定 12
四、实证结果与检验 13
。 15
(一)进一步研究方向 15
(二)展望 15
参考文献 16
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基于回归分析的封闭式基金绩效评估
统计042 孔维陶 2070404231
摘要:随着基金业的发展,, 到单因素指数和多因数指数的引进并应用,到择时能力与选股能力评估模型以及投资组合变动评估模型等,上述模型发展到后期都用到了回归分析方法。先介绍上述模型及其优缺点利用回归分析方法, 确定影响我国证券投资封闭式基金超额收益率sacr的几个因素: 基金投资组合中前十只股票超额收益率PCAR; 持股集中度TP; 投资风格虚拟变量CH:基金规模虚拟变量S;基金的上市地点PL,一个综合交叉指标PTS2。确定影响显著的两个变量基金的上市地点pl, 持股集中度tp得到回归模型为:SACRi=-*PLi-*TPi,
可见基金的上市地点PL和持股集中度TP与超额收益率负相关。
关键字:绩效评估;封闭式基金;回归分析
The Performance Evaluation of Enclosed Fund Based on Regression Analysis
Abstract: With the development of the fund industry, the research from the theory circle of the Method of Fund Performance's Evaluation is ing further. From the e worth ratio, to the introduction and the application of the single and multiple factor index, and the model of the evaluation of timing ability and security selecting ability, and the evaluating model of changing bination and models like that, all these models resort to the regression analysis method. First I introduced these models and show their merit and demerit. And then using regression analysis to define the factors which impact China's securities investment over-yield closed-end funds SACR: the Fund's portfolio of 10 stocks before the over-yield (PCAR); holdings concentrated(TP); investment style virtual variables (CH): Fund-scale virtual variables (S); Fund listed locations (PL), prehensive cross-index (PTS). I define the two significant variables: PL, TP, and get the final regression model:
SACRi = - * PLi- * TPi,
Finally get the conclusion that the Fund's holdings of listed sites (PL) and the over-concentration of TP have a negative correlation with (SACR).
Key words: Performance evaluation; Enclosed fund; Regression analysis
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