HY公司大类资产配置绩效评价研究

发布时间：2018-04-28 13:22

本文选题：大类资产配置 + 整体绩效　；参考：《郑州大学》2016年硕士论文

【摘要】：随着中国经济的持续快速发展,国内金融市场改革进程进一步加快,企业居民财富的持续增加,社会对财富管理的需求日益增加。目前国内基金公司、资产管理公司、私募基金公司等财富管理类机构呈现大幅增长,如何管理机构(银行、保险公司、各类基金、现金流金额大且长期稳定的上市公司等)的资产,如何科学合理的进行资产配置,帮助客户资产实现长期稳定持续增长已成为资产管理公司的核心问题。本文首先从投资理念、资产配置现状出发对HY公司进行基本介绍。然后从整体绩效、选股择时能力、绩效分解三个方面对HY公司2013年到2015年的投资结果进行全方位的实证分析。研究结果表明:在整体绩效方面,HY公司在收益率、标准差、最大回撤、夏普比率上均优于基准市场指数;在选股择时方面,T-M模型表明HY公司在预测市场时机方面具有一定的优势,但是在选股方面没有显著的优势;在绩效分解方面,与基准指数相比,资产配置的贡献对HY公司的超额收益贡献最大。与国内外著名的基金管理机构相比,HY公司在资产类别的分散化、单个资产类别获得阿尔法的能力、以及风险控制方面都存在问题。最后在立足HY公司资产管理业务持续稳定发展的基础上,提出对HY公司大类资产配置的改进建议。绩效评价是对过去业绩的一个总结和分析,并不代表未来的投资效果仍是如此。但是本文通过对HY公司大类资产配置进行绩效研究,不仅能够评价HY公司对投资目标的达成情况以及在投资管理过程对风险的控制状况,而且还能够辨别投资过程的缺陷进而对投资效益低或风险暴露大等影响投资目标的投资活动进行改进,同时也为其他同类公司进行绩效评价提供了分析方法,更重要的是为外部投资者辨别公司投资业绩提供了依据。
[Abstract]:With the sustained and rapid development of China's economy, the reform process of domestic financial market is further accelerated, the wealth of enterprise residents continues to increase, and the social demand for wealth management is increasing day by day. At present, wealth management institutions such as domestic fund companies, asset management companies, private equity fund companies, and so on, have increased substantially. How to manage institutions (banks, insurance companies, various types of funds, etc.) How to allocate assets scientifically and reasonably to help clients realize long-term stable growth of assets has become the core problem of asset management companies. Firstly, this paper introduces HY Company from the point of view of investment concept and asset allocation. Then from the overall performance, stock timing ability, performance decomposition of the three aspects of HY company from 2013 to 2015 investment results of the comprehensive empirical analysis. The results show that: in terms of overall performance, HY company in yield, standard deviation, maximum retreat, Sharp ratio is better than the benchmark market index; The T-M model shows that HY has some advantages in predicting market timing, but it has no significant advantage in stock selection. In terms of performance decomposition, it is compared with the benchmark index. The contribution of asset allocation to the excess return of HY Company is the largest. Compared with the famous fund management organizations at home and abroad, HY has some problems in the diversification of asset class, the ability of single asset class to acquire Alpha, and the risk control. Finally, based on the continuous and stable development of HY company's asset management business, some suggestions for improving HY's asset allocation are put forward. Performance evaluation is a summary and analysis of past performance, and does not represent the future investment effect. However, this paper not only can evaluate the achievement of HY company's investment target and control the risk in the process of investment management, but also study the performance of HY company's asset allocation. Moreover, it can identify the defects of the investment process and improve the investment activities which affect the investment objectives, such as low investment efficiency or high exposure to risks. It also provides an analytical method for the performance evaluation of other similar companies. What is more important is for the outside investor to distinguish the company investment performance to provide the basis.
【学位授予单位】：郑州大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.39

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