文档介绍：基金评级体系的构建与实证分析——以偏股型基金为例
南京财经大学硕士学位论文基金评级体系的构建与实证分析-----以偏股型基金为例姓名:万兵申请学位级别:硕士专业:金融学指导教师:闫海峰2008-12
摘要对基金进行科学合理的综合评级是保证基金业良性发展的前提与基础。因此,本文从独立第三者角度出发,以建立客观、公正的基金评级体系为研究主线。首先对国外的晨星、标普、理柏公司基金评级体系以及国内主要证券公司所建立的基金评级体系进行汇总分析;其次在借鉴国内外基金评级体系的基础上,从定性分析与定量分析出发,设计面向投资者的客观、公正的基金评级体系,其中引入了0>基金经理变更这个变量,这是与其他评级体系最大的差异之处。然后通过因子分析法确定评级指标的权重,对所选取的15只符合条件的偏股型基金在2007年1月1日—2007年12月31日期间的表现进行综合评价,得出相应的基金评级。从评级结果看,本文建立的评级体系与银河、Wind评级体系的结论大致一样,但部分基金的评级是有差异的,这主要是各个评级体系指标的选择、权重不同,以及市场的基准组合不同。最后,本文对构建的评级体系进行检验,通过对样本基金2008年一季度的表现进行综合评价,并与2007年综合评价的排名比较,同时还对样本基金在2008年第一季度与前三季度的收益率进行跟踪,得出本文所建立的评级体系要优于银河、Wind评级体系,以及基金评级结论可以为投资者选择基金提供参考意见,但并没有绝对的指导意义。即:基金评级是对基金过去表现的衡量,所以过去的表现并不代表未来的表现,但是它的结论对投资者还是有一定的参考价值与指导意义。关键词:基金评级;偏股型基金;实证分析 I
ABSTRACT Scientific and prehensive fund rating is the precondition and basis to guarantee the funds healthy development. So this paper takes establishing an objective and fair fund rating system from the angle of independent individual for the research masterstroke. Firstly, conducting the overall analysis about foreign fund rating system, such as Morning Star 、Standard &Pool 、Lipper, and domestic main pany's. Secondly, On the basis of use the reference of domestic and foreign fund rating system, combing the method of qualitative and quantitative analysis to design the objective and fair fund rating system face to investors,in which introducing the dummy variable the changing of fund manager ,it is the most pares to other rating system. Thirdly, through the meth
od of factor analysis to determine the weight of the rating index, taking the 15 funds which asset location partial to stock and suit for the demands as subject, and considering its performance period from 1/1/2007to31/12/2007, so the paper gets the according fund rating. From the result of rating, the conclusion of the article basically the same as YinHe and Wind’s, but some difference is existing, the main reason is the index and the weight is different, and also the standard portfolio of market.