我国证券公司集合理财与开放式基金绩效的比较研究.pdfVIP

论文摘要 国内证券公司集合理财业务开始于2005 年，到目前为止，证券公司集合理 财业务的规模有了大幅度增长，尤其是近两年，集合理财迎来了黄金发展期。 随着证券公司集合理财的发展，集合理财数量不断增加，产品日渐丰富，投资 者的需求也越来越多样化，证券公司集合理财业务在未来有较大发展空间。合 理评价集合理财的绩效，并将其与开放式基金的绩效相比较，对投资者、证券 公司、监管机构都有重要的意义。 本文对证券公司集合理财和开放式基金绩效的比较研究，采用理论和实证 分析相结合的方法。首先总结了证券公司集合理财市场和开放式基金市场的发 展近况，并比较两者的不同之处，继而从理论上阐述国外成熟的投资组合绩效 评价理论和模型。之后运用实证方法分析证券公司集合理财的绩效水平，并将 其与开放式基金进行比较，研究发现：1、绝大部分投资组合的绩效好于市场基 准组合，表现出了一定的“专家理财”优势；2 、无论用哪一种风险调整方法对 我国开放式基金和集合理财进行绩效评价，得到的评估结果都是一致的；3、开 放式基金的绩效和证券选择能力要优于集合理财；4 、国内的证券投资组合都不 具备择时能力，但多数具有证券选择能力。最后本文在总结研究结果的基础上， 分析基金绩效指标对集合理财绩效评价的适用性，并为国内证券公司开展集合 理财业务提出建议。 关键词：集合理财；开放式基金；绩效评价 Abstract Collection asset management plan started in 2005 in our country. Until now, its business scale has achieved great increase, especially for recent years, collection asset management is close to its ‘golden period’. With the growth of collection asset management business, there are plenty of products and investors’ demand becomes more diversified. It’s supposed that collection asset management business has a wide development platform. It’s important to evaluate collection asset management plan’s performance and compare it with open-ended fund. Based on the present situation analysis, this thesis analyzes the difference of collection asset management and open-ended fund. And this thesis introduces and explains mature theories and models of portfolio performance evaluation. Then this thesis studies the performance of collection asset management and compares it with performance of open-ended fund. According to empirical analysis, this thesis finds that: i) performance of most portfolios overwhelms benchmark; ii) the results of performance evaluation with different risk-adjusted models are consistent; iii) performance of open-end fund is