我国开放式基金行业配置策略及其绩效研究

发布时间：2018-01-14 14:32

本文关键词：我国开放式基金行业配置策略及其绩效研究　出处：《华南理工大学》2012年硕士论文　论文类型：学位论文

【摘要】：进入二十一世纪以来，世界资本市场普遍呈现出震荡调整的整体格局，由于经济周期的波动对不同行业产生的影响各不相同，各个行业在不同的经济周期中表现出的景气程度也相差悬殊，行业景气程度与经济周期之间的相关关系，为积极行业配置策略获取超额收益提供了可能。此外，伴随着我国股市自2008年结束熊市进入震荡调整的整体格局，股票市场的行业轮动现象日渐显著，，我国证券投资基金也日渐重视行业配置策略对基金业绩的重要性，并在此环境下催生出一种全新的基金品种以积极行业配置策略为特征的行业轮动型基金，这反映出我国基金管理者对行业配置策略的日益重视，行业配置策略已成为提高基金业绩的重要手段之一。证券投资基金行业配置策略是指投资者运用不同行业景气程度与经济周期之间的关系，在经济周期的不同阶段选择与之匹配的景气行业，提高景气行业的配置权重，降低不景气行业的配置权重，从而提高获得战胜市场平均收益水平的超额收益的一种资产配置策略，它是“自上而下”投资策略中的核心步骤和关键环节。在中国牛熊交替、震荡调整、行业同构的特殊资本市场环境下，基金行业配置策略及其绩效研究有助于基金管理者意识到行业配置的重要性，有利于投资者根据自身的需求选择适合的基金品种，具有很强的理论意义和现实价值。本文以我国开放式基金的行业配置策略为研究对象，采用理论研究和实证研究相结合的研究方法，在阅读大量国内外文献资料的基础上，选取2006年以前成立并发行的40只开放式股票型基金为研究样本，以2006年1月1日至2011年12月31日为全样本研究期间，并进一步将该全样本研究期间划分为牛市、熊市和震荡调整三个子区间，通过采用列联表法、分组迭代法和多元回归法，全面系统的揭示出不同的资本市场环境下行业配置策略的影响因素、行业配置策略对基金业绩的影响方式及深层次原因，并在此基础上结合我国资本市场的实际情况，为投资者、基金经理和基金公司提供改善基金业绩的可行性建议。
[Abstract]:Since twenty-first Century, the world's capital markets are showing the overall pattern of shock adjustment, due to the impact of the economic cycle fluctuations in different industries vary, prosperity showed different industries in different economic cycles are also very different, the relationship between industry boom degree and economic cycle, provides the possibility for positive industry allocation strategy to obtain excess returns. In addition, with the overall pattern of China's stock market since the end of 2008 bear market into the shock adjustment, the stock market industry wheeled phenomenon increasingly prominent, China's securities investment fund also attaches great importance to the importance of the industry allocation strategy on fund performance, and in this environment spawned a new industry the variety of funds in a positive industry allocation strategy characterized by wheeled funds, which reflects China's fund managers on the industry allocation strategy increasingly Attention, the industry allocation strategy has become one of the important means to improve the performance of the fund.
The securities investment fund industry allocation strategy refers to the investors by the relationship between different level of industry boom and the economic cycle, at different stages of the economic cycle selection and matching industry boom, boom industry to improve the allocation weight, reduce the weight allocation industry downturn, so as to improve an asset allocation strategy for beating the market average income excess returns, it is the core step and a key link in the top-down investment strategy. In the China CBBC alternating shock adjustment, industry isomorphism, special capital market environment, research fund industry allocation strategy and performance to help fund managers realize the importance of industry configuration, is conducive to investors according to their own needs choose the suitable varieties of funds, it has great theoretical significance and practical value.
In this paper, China's open-end fund industry allocation strategy as the research object, using the research methods of combination of theoretical research and empirical research, based on reading a large number of domestic and foreign literature, were established before 2006 and issued 40 Open-end Equity Funds as the research sample, from January 1, 2006 to December 31, 2011 for the full sample period study on the whole sample, and further study period is divided into a bull market, bear market and the shock adjustment of three sub interval table by using the method of column group iterative method and multiple regression method, the comprehensive system reveals the influence factors of industry allocation strategy under different capital market environment, and the deep reasons which influence the way the industry allocation strategy the performance of the fund, and on this basis, combined with the actual situation of China's capital market for investors, fund managers and fund companies to provide improved Jin Yeji base The feasibility proposal.

【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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