基于风格划分的基金组合构建研究

发布时间：2018-05-09 04:38

本文选题：基金风格 + 基金组合　；参考：《华南理工大学》2012年硕士论文

【摘要】：当前，越来越多的投资者将基金产品作为其主要的投资品种。为了分散投资风险，构建基金组合已成为一个必须的过程。在研究基金组合构建时，现有研究的主要侧重点是基金组合内部基金的数量即基金的规模，而很少考虑到基金组合内所包含的基金风格种类的数目。少数考虑到基金风格的研究，要么是将规模和风格因素分开考察，要么是仅仅考察基金风格对基金组合总体风险的影响，而没有将基金组合的规模因素与风格因素结合在一起研究最优基金组合的构建问题。本文借鉴以往研究的成果，并在其基础上将基金的规模因素和风格因素综合考虑，研究基金组合的构建，以期更好地指导投资者。本文着重研究股票型基金，，选取2008年10月31日之前成立的股票型基金100只作为基金样本。规模风格指数分别选择申万大盘风格指数和申万小盘风格指数作为规模指数，选取申万高市盈率指数（表征成长指数）和申万低市盈率指数（表征价值指数）作为成长风格指数和价值风格指数、选择申万A指作为市场指数、上证国债指数作为债券指数。数据截至日为2011年12月31日。运用比较成熟的基于收益的风格指数回归模型——Gruber模型，对基金的风格进行了划分，并进一步通过非回置式等权随机抽样的方法构建基金组合，分析了基金组合的规模和基金组合所包含风格种类的数目对基金组合构建的影响。通过实证分析，最终得出结论：（1）股票型基金风格具有市场导向性。（2）基金组合的最优规模为10-20只，最优风格类型数为3-5种。（3）组合风格丰度指标越大，基金组合的风险越小，基金组合的绩效越好。
[Abstract]:At present, more and more investors take fund products as their main investment varieties. In order to diversify investment risk, the construction of fund portfolio has become a necessary process. When studying the construction of the fund portfolio, the main focus of the present research is the number of funds within the fund portfolio, that is, the size of the fund, and rarely consider the number of the types of fund style contained in the fund portfolio. A few studies considering the fund style either examine the scale and style factors separately or only examine the impact of the fund style on the overall risk of the fund portfolio. The scale factor and style factor of the fund portfolio are not combined to study the construction of the optimal fund portfolio. This paper draws lessons from the previous research results, and on the basis of it, synthetically considers the scale and style factors of the fund, and studies the construction of the fund portfolio in order to better guide the investors. This paper focuses on the research of equity funds, and selects 100 stock funds established before October 31, 2008 as the sample of the funds. The scale style index selects the Shenhan large market style index and the Shen Wan small market style index respectively as the scale index. The index of growth style and the index of value style are chosen as the index of growth style and the index of value. The index of Shenwan A is chosen as the market index, and the index of national debt of Shanghai Stock Exchange is taken as bond index. Data as at 31 December 2011. The Gruber model, which is a mature style index regression model based on income, is used to divide the style of the fund. This paper analyzes the influence of the size of the fund portfolio and the number of style types contained in the fund portfolio on the construction of the fund portfolio. Through the empirical analysis, it is concluded that the optimal scale of the stock fund style is 10-20, and the best style type number is 3-5 types. 3. 3) the greater the style abundance index, the less the risk of the portfolio. The better the performance of the fund portfolio.
【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】：F832.5;F224

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