中文题名: | Brinson模型业绩归因分析 ——几何法与代数法优劣之比较 |
姓名: | |
学科名称: | 金融工程 |
学生类型: | 学士 |
学位名称: | 经济学学士 |
学校: | 中国人民大学 |
院系: | |
专业: | |
第一导师姓名: | |
完成日期: | 2016-05-15 |
提交日期: | 2016-05-15 |
中文关键词: | |
中文摘要: |
& ltp& gt在现实情况中,基金经理建立股票组合获得收益或亏损时,需要业绩归因模型来帮助基金经理定量评估产品的表现。& lt/p& gt
& ltp& gt绩效归因分析是资产管理中主要利益相关者的一个非常重要的工具,含义就是将基金组合的收益率与市场上基准组合的收益率对比,并且还将这两个收益率的差划分为可数的几类&ldquo贡献&rdquo。 比如资产配置贡献和个股选择贡献,以及两者共同作用的交叉贡献。& lt/p& gt
& ltp& gt本文将介绍Brinson模型的基本概念,并比较两种代表性的算法&mdash&mdash几何归因法和算术归因法,归纳出这两种算法在业绩归因分析中所起的主要作用,并以一个实际例子进行具体的实证分析,完善算法。从而,基金经理能对基金的绩效做出全面细致的评价。& lt/p& gt
& ltp& gt关键词:Brinson模型 业绩归因 几何法 代数法& lt/p& gt
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外文摘要: |
& ltp& gtIn reality, fund manager needs to attribute their stock portfolio&rsquos excess return to different dimensions so that fund managers can value their behavior in financial markets better. The basic concept of the most popular method&mdashBrinson Model is to attribute excess return into three aspects: asset allocation, stock ion and interaction. The algorithm nowadays contains these two: arithmetic attribution and geometric attribution. In the ongoing debate over the use of Arithmetic versus Geometric attribution methods, there exists a conclusion that geometric attribution can only attribute excess return in portfolio&rsquos level, while arithmetic attribution can get the result in industry, or even single stock&rsquos level. This article will give a concrete example of how these two methods apply in real-life cases.& lt/p& gt
& ltp& gtKey Words: Brinson Model Asset Allocation Stock Selection Interaction Arithmetic Geometric& lt/p& gt
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总页码: | 17 |
参考文献: |
[9] Fama,E. F., Components of Investment Performance, Journal of Finance 1972,27,551-567. [12] Jahnke,W.W., The Asset Allocation Hoax, The Journal of Financial Planning,, February ,1997. [16] Warren,B.,The new science of asset allocation, McGraw-Hill Companies,1997. |
开放日期: | 2016-05-16 |