基于PCM方法的我国开放式基金投资能力及资产配置研究

发布时间：2018-02-01 10:30

本文关键词： 投资能力资产配置组合变动测度法量化研究　出处：《华南理工大学》2013年博士论文　论文类型：学位论文

【摘要】：在企业管理中，如何进行恰当的价值管理乃是各方关注的焦点问题。经过十几年的快速发展，开放式基金作为机构投资者的代表，已成为我国资本市场的重要参与力量，以及居民财富配置的主要方式。对开放式基金的既有研究，大多仅着眼于其作为机构投资者完善上市公司治理和稳定资本市场等方面。作为一种“集合投资、分散风险”的间接投资工具，开放式基金“专家理财”的核心功能亦应获重视。已有研究表明，开放式基金依据市场波动而进行的择时交易并未能创造价值或提升投资能力。以全球对冲基金为例，在过去四年里，其表现都远逊于几乎每一个主要的股票指数或债券指数。国内开放式基金的发展状况同样堪忧。统计显示，仅在2008年，基金行业的亏损就高达1.5万亿元，行业之前多年的辛苦积攒顷刻之间损失殆尽。这导致广大基民对整个行业的信心逐渐产生了动摇。自2008年初市场走熊至今，偏股型基金的赎回份额在几乎每个季度都大于申购份额，行业发展整体表现得极为疲软。既然投资者“珍藏的金元宝上长出了铜锈”，如何全面、准确、合理地识别和评价我国开放式基金的投资能力，进而挖掘影响投资能力的因素，寻求提升投资能力的措施，乃是基金份额持有人、基金管理人和基金监管人共同关心的焦点问题。在既有研究的基础上，本文首先将开放式基金投资能力与投资业绩在概念内涵和外延上做了严格区分，由此构建了开放式基金投资能力概念体系和研究框架。然后首次引入一个非参数检验方法，对国内一组偏股型开放式基金的投资能力进行了详细考察，发现我国开放式基金的投资能力总体并不显著，甚至表现出与市场走势相悖的情况。这可能是阻碍行业近期发展放缓的原因之一。最后，本文在资产配置分析框架下，分别从个股配置、行业配置和动态配置三个方面，初步提供了提升投资能力的途径。进一步的量化分析和实证检验表明，这些途径是有效的。本文的研究建立在市场非完全有效前提之上，综合使用多种量化分析方法，通过理论演绎和对大样本、长周期数据的分析，获得了与预期较为一致的结论。本文的创新主要体现在两点。第一，在理论上，突破了传统研究重业绩轻能力的范畴，从更深层次揭示开放式基金投资能力对行业发展的影响。相关成果既是对积极资产管理理论的有益补充，亦是完善经典投资理论的有益尝试。第二，在方法上，首次引入评价投资能力的PCM方法。该方法建立在对投资组合信息的充分挖掘基础上，相比既有的参数评价方法，不仅能避免比较基准选择问题，而且可规避数据生存性偏差问题。本文的研究亦具有投资实践上的启示。既可为基金管理人提供可供操作的现实指引，，亦可为居民财富配置提供必要的选择依据，还可为监管层制定合适的政策提供必要的决策参考。
[Abstract]:In the enterprise management, how to carry on the proper value management is the focal point question which all sides pays close attention to. After more than ten years' rapid development, the open-end fund is the representative of the institutional investor. Has become an important participation in the capital market in China, as well as the main way of the allocation of wealth of residents. The existing research on open-end funds. Most of them only focus on improving corporate governance and stabilizing capital market as institutional investors, and as an indirect investment tool of "pooling investment and dispersing risk". The core function of open-end fund "expert financing" should also be paid attention to. Studies have shown that timing trades conducted by open-end funds based on market volatility have failed to create value or enhance their ability to invest. Take global hedge funds, for example, in the past four years. Its performance is far worse than almost every major stock index or bond index. The development of domestic open-end funds is also worrying. Statistics show that only in 2008. The loss of the fund industry is as high as 1.5 tillion yuan. The industry's previous years of hard work have been lost in an instant. This has led to the majority of people's confidence in the entire industry gradually shaken. Since early 2008, the market has gone bear to date. The redemption share of the partial stock fund is bigger than the requisition share in almost every quarter, the development of the industry as a whole is extremely weak. Now that investors "grow copper rust on the precious gold treasure", how comprehensive and accurate. It is the fund share holders to identify and evaluate the investment ability of the open-end fund in our country reasonably, then excavate the factors that affect the investment ability, and seek the measures to improve the investment ability. Fund managers and fund supervisors are concerned about the focus of common concern. On the basis of the existing research, this paper first makes a strict distinction between the investment ability of open-end funds and investment performance in the concept of connotation and extension. This paper constructs the concept system and research framework of open-end fund's investment ability, and then introduces a non-parametric test method for the first time, and makes a detailed investigation on the investment ability of a group of domestic open-end funds. It is found that the investment ability of open-end funds in China is not significant in general, and even shows a situation contrary to the market trend. This may be one of the reasons that hinder the recent slowdown of the industry. Finally. In the framework of asset allocation analysis, this paper provides a way to improve investment ability from three aspects: individual stock allocation, industry allocation and dynamic allocation. Further quantitative analysis and empirical test show that. These approaches are effective. The research of this paper is based on the premise that the market is not completely effective. It synthetically uses a variety of quantitative analysis methods through theoretical deduction and the analysis of large sample and long period data. In this paper, the innovation is mainly reflected in two points. First, in theory, it breaks through the traditional research focus on performance and ability. From a deeper level to reveal the impact of open-end fund investment capacity on the development of the industry. The relevant results are not only a useful supplement to the positive asset management theory, but also a useful attempt to improve the classical investment theory. Second, in the method. PCM method is introduced to evaluate investment ability for the first time. This method is based on the full mining of portfolio information. Compared with the existing parameter evaluation method, it can not only avoid the problem of benchmark selection. Moreover, the problem of data survivability deviation can be avoided. The research in this paper also has the inspiration of investment practice. It can not only provide practical guidance for fund managers to operate, but also provide the necessary basis for the selection of residents' wealth allocation. It can also provide the necessary decision-making reference for the regulatory level to formulate appropriate policies.
【学位授予单位】：华南理工大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F832.51

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