券商集合理财产品的业绩评价和因素分析.docx

A Thesis Submitted toShanghai Jiao Tong University for the Master’s DegreeRESEARCH ON PERFORMANCE OF COLLECTIONASSET MANAGEMENT PLANSHANGHAI JIAO TONG UNIVERSITYJanuary, 2009券商集合理财产品的业绩评价和因素分析摘 要随着 2005 年券商集合理财业务的重新启动，其规模和数量不断扩张，已经成为证券市场不可忽视的一只生力军，成为我国证券市场上继证券投资基金后最具发展潜力的机构投资者，对于促进我国证券市场的建设和投资者结构的改善起到重要的作用，对于券商集合理财计划的绩效分析有着现实的意义。本文介绍了券商集合理财业务在国内的发展情况，并选取了2007 年 3 月 9 日至 2008 年 9 月 9 日的八只券商集合理财计划产品作为研究对象，运用复合净值增长率，几何收益率，夏普比率，M2值多项指标对其业绩进行评估，然后采用国际上较为成熟的 TM 模型，HM 模型及其扩展模型对其业绩影响因素主要是选股能力和择时能力进行实证分析。研究发现，券商集合理财计划的选股能力和择时能力能够很好的解释其业绩表现，那些择时能力强，或者选股能力出众的产品其业绩要优于其他的产品。但同时也发现国内券商集合理财的整体选股能力不强，主要原因既有证券市场本身的原因也有券商自身资源缺乏等。结合实证研究结果，本文还对国内券商集合理财业务的发展提出自己的建议，包括加快证券市场的建设，加大管理层的支持，以及券商自身投研能力的加强。关键词：券商集合理财产品,选股能力,择时能力 ,TM 模型 ,HM模型RESEARCH ON PERFORMANCE OF COLLECTIONASSET MANAGEMENT PLANABSTRACTCollection asset management plan is the financial productfor high-level clients in securities companies, which wasre-born three years ago in china, and now as the size andquantity becomes higher and higher, it turns out to be animportant participant and high-potential institute investorin China capital market after the mutual fund, which playsa needful role in improving the reform of the domestic capitalmarket and the optimization ofthe investors’ structure.The research of performance of collection asset managementplan is helpful for investor to judge the investmentmanagement capability and has significant value.Thispaperpresentsthedomesticdevelopmentofcollection asset management plan, and chooses the eightthand Sep 9thin 2008 as research samples. We used severalindicators such as compound return on net value, geometricalcollection asset management plans between March 9 in 2007yield, sharp ratio, M2 value to evaluate the performance ofthe sample products, and also took an empirical study for thestock selection and market timing.Our research indicates that the return of collectionasset management plan is highly related with their capabilityof stock selection and market timing. Meanwhile, we al