指数跟踪的模型方法和实证分析

发布时间：2018-04-23 00:37

本文选题：指数跟踪 + 带约束有效前沿　；参考：《山东大学》2013年硕士论文

【摘要】：指数化投资以追求达到与目标指数相似的收益率和交易成本最小化为目的,而非战胜市场获得超额收益率,是一种中长期的跟踪指数的、被动的投资方式。去年是中国内地指数化发展十周年。自从2002年成立了我国第一只指数基金华安上证180,2004年发行了我国第一只ETF上证50,截至2012年6月底,我国的指数基金数量达到180只,包括43只ETF和37只联接基金,资产规模接近3600亿元,ETF规模达到了1200亿元,成为亚洲重要的ETF市场之一。指数基金作为一种财富管理工具,为资本市场的健康发展和服务实体经济发挥了积极作用。随着未来市场有效性逐步提高,投资者对标准化的金融工具需求逐渐增长,指数基金具有广阔的发展空间。ETF将会在资产配置、风险管理、以及精准投资多种资产类别方面发挥重要作用。另外指数化产品严格的决策流程和管理制度,以及定风险、高透明、低费用、快交易等优点更是得到机构投资者的亲睐。在指数基金的管理运作中,根据传统的宏观面信息对行业进行判断选股的方法将作为辅助参考,而借助数理统计学,金融时间序列分析,随机控制等理论方法为指导工具的量化投资决策分析将扮演越来越重要的角色,为程序化交易打下基础。本文简单引入国外研究者在指数复制问题的一个研究方向,而后是分析国内的证券市场,运用相关分析,回归分析,聚类分析等统计学知识试图寻找指数复制的投资策略。在第三章的实证分析中运用多种方法,以上证180指数为目标指数,比较分析多种跟踪方法的结果,同时给出绩效评估。在调整阶段,根据成份股的变化作出相应的策略调整探讨,分析权重变化对跟踪误差和交易成本的影响。
[Abstract]:The goal of indexed investment is to achieve the rate of return similar to the target index and minimize the transaction cost, instead of defeating the market to obtain the excess return. It is a long-term and passive way to track the index. Last year marked the tenth anniversary of China's indexed development. Since the establishment of China's first index fund, Hua-an Shanghai Stock Exchange, in 2002, China's first ETF Shanghai Stock Exchange 50 was issued in 2004. By the end of June 2012, the number of China's index funds has reached 180, including 43 ETF and 37 connected funds. With assets close to 360 billion yuan, ETFs have reached 120 billion yuan, becoming one of the most important ETF markets in Asia. As a kind of wealth management tool, index fund plays an active role in the healthy development of capital market and serving the real economy. With the improvement of market efficiency in the future and the increasing demand of investors for standardized financial instruments, the index funds will have a broad space for development in asset allocation and risk management. And precision investment in a variety of asset classes play an important role. In addition, the strict decision-making process and management system of indexed products, as well as the fixed risk, high transparency, low cost, fast trading and other advantages are favored by institutional investors. In the management and operation of the index fund, the method of judging and selecting stocks according to the traditional macroscopic information will be used as the auxiliary reference, and with the help of mathematical statistics and financial time series analysis, Stochastic control and other theoretical methods will play a more and more important role in the quantitative investment decision analysis of guiding tools and lay the foundation for programmed trading. This paper briefly introduces a research direction of foreign researchers in index replication, and then analyzes the domestic stock market and tries to find the investment strategy of index replication by using statistical knowledge such as correlation analysis, regression analysis, cluster analysis and so on. In the third chapter, we use a variety of methods to compare and analyze the results of various tracking methods and give the performance evaluation, taking the Shanghai Stock Exchange 180 index as the target index. In the adjustment stage, the corresponding strategy adjustment is made according to the change of the component stock, and the influence of the weight change on the tracking error and transaction cost is analyzed.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

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