量化投资策略的应用效果研究

发布时间：2017-12-31 22:29

本文关键词：量化投资策略的应用效果研究　出处：《暨南大学》2012年硕士论文　论文类型：学位论文

【摘要】：国内量化投资正处在起步阶段，量化投资的应用近年来正稳步发展。国内学者对于量化投资策略运用效果的研究还较少，本文通过研究量化基金的绩效及管理能力来研究量化投资策略的应用效果，这是本文的研究意义所在。本文首先将15只量化基金累计净值收益率同中信A股指数收益率和市场收益率进行比较，以研究当前量化基金采用量化投资策略的绩效情况；之后采用T-M模型、H-M模型和C-L模型对其中9只量化基金的管理能力进行了研究，以评价量化基金使用量化投资策略的择股效果和择时效果。研究结果显示，样本中60%的量化基金可以跑赢市场和中信A股指数，说明量化基金采用量化策略进行投资是有意义的；T-M模型、H-M模型和C-L模型的研究结果表明几乎全部量化基金具备正的择股能力（但在统计上并不显著），几乎全部量化基金不具备正的择时能力（只有C-L模型的研究结论在统计上显著）。最后本文总结了研究结论，并提出了一些建议，也对本研究的局限做了阐述。
[Abstract]:Domestic quantitative investment is in its infancy and the application of quantitative investment is developing steadily in recent years. This paper studies the application effect of quantitative investment strategy by studying the performance and management ability of quantitative fund, which is the significance of this paper. In this paper, the cumulative net worth returns of 15 quantitative funds are compared with CITIC A-share index returns and market returns in order to study the performance of the current quantitative funds using quantitative investment strategies. Then, T-M model, H-M model and C-L model are used to study the management ability of 9 quantitative funds, in order to evaluate the stock selection effect and timing effect of quantitative investment strategy. The results show that 60% of the quantitative funds in the sample can outperform the market and CITIC A-share index, indicating that it is meaningful for the quantitative funds to use quantitative strategy to invest; The research results of T-M model H-M model and C-L model show that almost all the quantitative funds have positive stock selection ability (but not statistically significant). Almost all the quantitative funds do not have positive timing ability (only the conclusion of C-L model is statistically significant. Finally, this paper summarizes the conclusions of the study, and puts forward some suggestions, as well as the limitations of this study.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830.59;F224

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