我国开放式基金资产配置策略贡献度研究
发布时间：2018-07-18 12:04
【摘要】：资产配置是指根据投资需求将投资资金在不同资产类别之间进行分配,一般是在综合衡量各资产的风险与收益情况下,将投资资金在各种可配置资产之间进行合理分配,以达到投资收益的相对最大化。资产配置理论是现代投资组合理论的重要组成部分,对投资者的实际投资绩效也有决定性的影响,因此,是投资者(尤其是机构投资者)投资决策过程中需要考虑的主要因素。证券投资基金资产配置过程是指基金管理人如何在可投资资产之间进行长期资金分配,以及如何根据市场短期变化动态调整组合资产比例的过程,资产配置是证券投资基金资产运作过程中的核心环节。我国证券投资基金由于起步比较晚、发展时间相对较短,同时对资产配置策略应用的重视程度还不是很高,对资产配置策略的认识还很不足。因此,投资者将资产配置策略灵活有效利用到投资实践以指导投资的情况就显得比较匮乏。为了能使我国证券投资基金能够健康的发展,更为了能够促进中国资本投资市场更加完善,本文基于资产配置策略在我国证券投资基金(开放式基金)中的适用性实证分析,将对目前国际上和行业内较为流行的资产配置策略进行阐述,以便阐释资产配置策略的重要意义进而引起投资者的重视。 本文概述了资产配置理论基本框架,包括马柯维茨均值-方差模型、哈洛下偏距风险模型以及风险价值模型等基本理论基础,并分别分析了三种理论应用的前提假设条件和使用环境。在上述理论模型的基础上,按照学术上比较常用的分类方法,作者将资产配置策略分为战略性资产配置策略和战术性资产配置策略,然后分别探讨了战略性资产配置策略和战术性资产配置策略的含义和操作上的特点。之后,本文分析了证券投资基金资产配置策略的影响因素和我国证券投资基金的发展现状。通过构造实证变量,作者分别选取了同一只基金的时间序列收益数据和不同基金绩效的横截面数据,分析论证了战略资产配置策略、战术资产配置中的选时和选股因素对我国证券投资基金收益率变化的贡献度。本文选取了我国40只开放式基金作为样本基金,通过收集、计算和整理相关数据,分别数量化分析了战略资产配置策略和战术资产配置策略中的选时因素对同一只基金沿时间变化的收益率差异的贡献度大小。另外,在考虑各组合资产下偏距风险(半方差)情况下,实证研究了战略性资产配置和选时因素共同对我国不同基金收益率差异的解释程度。通过回归分析,本文得出结论：战略性资产配置策略可以解释大约83.53%的同一只基金收益率随时间的变化,战术性资产配置中的选时因素可以解释1.26%的同一只基金收益变化,其贡献度相对与战略资产配置较小；在引入基金收益下偏距风险情况下,对于不同基金的综合绩效差异,回归结果显示战略资产配置和选时可以共同贡献大约40.57%的绩效差异,其余的不同基金绩效差异可以由其他因素解释,例如基金规模的大小、基金经理人自身素质的高低、散户基金投资者的投资偏好等。本文实证结论与国际上较早出现的相关经典文献研究结论具有相似性,说明了资产配置策略在我国证券投资基金中也具有广泛的适用性,机构投资者应该对资产配置策略的应用重视起来。 本文选择证券投资基金(开放式基金)作为资产配置策略的研究对象,是看重基金在我国经济、金融中的重要地位以及其广阔的发展前景,也由于资产配置策略在基金投资中的具有广泛应用空间。通过对我国证券投资基金资产配置策略的实证分析,本文指出了我国证券投资基金资产配置未来发展的趋势,并结合我国证券投资基金自身的现状以及我国资本市场自身的特点,提出一些针对性的建议,希望能对我国证券投资基金的发展起到一定的指导作用。 本文的创新点主要体现在研究方法的运用和数据变量选取的操作手段上。在研究方法的运用上,作者通过引入下偏距风险构造基金综合绩效评价指标显示了本文在研究方法上的创新,这主要是考虑到不能仅仅通过收益率大小来衡量基金绩效,而应该综合考虑基金的投资风险因素。本文还有在实证指标及变量选取等操作上的创新,例如,选择上证综合指数和深证综合指数收益率的平均值作为相应的组合资产中股票的收益率；除了看到基金投资股票和债券资产外,作者还融入了以无风险利率来衡量其收益的其他货币类资产作为基金配置资产的一部分。这些创新点在操作上更能与现实情况吻合,因为我们知道,基金在配置股票资产投资时时除了选择上海证券交易所上市的股票,还选择深圳证券交易所的股票,用两个证券交易所指数比较符合实际。另外,基金投资组合的资产选择中还有很大的比例是货币性资产,因此,将货币类资产纳入本文实证研究的考察对象更能够使结论实际情况向符合,使结论更具有实现有效性和适用性。上述的创新之处都是为了使本文研究能够与现实情况更好的吻合,达到分析结果能更有效、更真实地反映资产配置策略对我国证券投资基金的贡献大小,以便为我国证券投资基金提供更好的指引。 本文结构可以分为五部分：第1章为导论,包括论文选题背景,文献综述和本文研究主要内容的简介；第2章介绍资产配置的基本理论内容,包括马柯维茨均值-方差模型、哈洛下偏距风险模型和风险价值理论模型；第3章阐述证券投资基金资产配置的含义及影响因素,包括基金资产配置的含义和特点、资产配置的对象以及影响资产配置策略决策使用的影响因素；第4章介绍资产配置策略对我国证券投资基金绩效差异的实证分析,分别数量化分析了资产配置策略对同一只基金收益率随时间变化的贡献度和对不同基金绩效差异的解释程度；第5章为结论部分,包括本文研究的创新点和不足之处,并指出我国证券投资基金资产配置未来的发展趋势和方向。
[Abstract]:Asset allocation theory is an important part of modern portfolio theory .
This paper gives an overview of the basic framework of asset allocation theory , including the basic theoretical foundation of the Maccowitz mean - variance model , the inferior offset risk model and the risk value model . The paper analyzes the influence factors of strategic asset allocation strategy and tactical asset allocation strategy , and analyzes the influence factors of strategic asset allocation strategy and tactical asset allocation strategy .
The empirical conclusions of this paper are similar to the conclusions of the relevant classical literature studies which have appeared earlier in the world . The conclusion of this paper is similar to the conclusion of the relevant classical literature studies which have appeared earlier in the world . The empirical conclusions of this paper have broad applicability in China ' s securities investment funds , and the institutional investors should attach importance to the application of asset allocation strategies .
This paper chooses the securities investment fund ( open fund ) as the research object of the asset allocation strategy , it is the important position of the trust fund in our country ' s economy and finance and its broad prospect , also because of the extensive application space of the asset allocation strategy in the fund investment . Through the empirical analysis of the asset allocation strategy of our country ' s securities investment fund , this paper points out the trend of the future development of the asset allocation strategy of our country ' s securities investment fund , and puts forward some specific suggestions in combination with the present situation of our country ' s securities investment fund itself and the characteristics of our capital market itself , and hopes that it can play a certain guiding role in the development of our country ' s securities investment fund .
The innovation points of this paper are mainly embodied in the application of the research method and the operation method of the data variable selection . In the application of the research method , the author shows the innovation in the research method by introducing the comprehensive performance evaluation index of the lower offset risk structure fund , which mainly takes into consideration that the investment risk factor of the fund cannot be measured only by the yield size , but also the innovation in the operation such as the empirical index and the variable selection , etc . , for example , the average value of the yield of the Shanghai Composite Index and the Shenzhen Composite Index is selected as the yield of the stock in the corresponding combined asset .
Besides seeing the fund investment stocks and the bond assets , the author also incorporates the other monetary assets that measure their earnings as part of the fund ' s allocation of assets at riskless interest rates . These innovation points are more efficient and practical in terms of operation , because we know that the fund is more effective and more applicable than the stock exchange index . In addition , it can make the conclusion more effective and more effective . The above innovations are more effective and more realistic to reflect the contribution of asset allocation strategies to our country ' s securities investment funds , so as to provide better guidance for our country ' s securities investment fund .
The structure of this paper can be divided into five parts : Chapter 1 is the introduction , including the background of the thesis selection , the literature review and the introduction of the main contents of this paper ;
Chapter 2 introduces the basic theory contents of asset allocation , including the Maccowitz ' s mean - variance model , the downside risk model and the risk value theory model .
Chapter 3 expounds the meaning and influencing factors of the asset allocation of the securities investment fund , including the meaning and characteristics of the fund asset allocation , the object of the asset allocation and the influencing factors that affect the decision - making use of the asset allocation policy ;
In chapter 4 , an empirical analysis of the performance difference between asset allocation strategy and fund performance is introduced , and the contribution degree of asset allocation strategy to the same fund yield over time and the degree of interpretation of different fund performance difference are analyzed .
Chapter 5 is the conclusion part , including the innovation points and shortcomings of the research , and points out the future trend and direction of the asset allocation of our country ' s securities investment fund .
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5;F224
本文编号：2131846
[Abstract]:Asset allocation theory is an important part of modern portfolio theory .
This paper gives an overview of the basic framework of asset allocation theory , including the basic theoretical foundation of the Maccowitz mean - variance model , the inferior offset risk model and the risk value model . The paper analyzes the influence factors of strategic asset allocation strategy and tactical asset allocation strategy , and analyzes the influence factors of strategic asset allocation strategy and tactical asset allocation strategy .
The empirical conclusions of this paper are similar to the conclusions of the relevant classical literature studies which have appeared earlier in the world . The conclusion of this paper is similar to the conclusion of the relevant classical literature studies which have appeared earlier in the world . The empirical conclusions of this paper have broad applicability in China ' s securities investment funds , and the institutional investors should attach importance to the application of asset allocation strategies .
This paper chooses the securities investment fund ( open fund ) as the research object of the asset allocation strategy , it is the important position of the trust fund in our country ' s economy and finance and its broad prospect , also because of the extensive application space of the asset allocation strategy in the fund investment . Through the empirical analysis of the asset allocation strategy of our country ' s securities investment fund , this paper points out the trend of the future development of the asset allocation strategy of our country ' s securities investment fund , and puts forward some specific suggestions in combination with the present situation of our country ' s securities investment fund itself and the characteristics of our capital market itself , and hopes that it can play a certain guiding role in the development of our country ' s securities investment fund .
The innovation points of this paper are mainly embodied in the application of the research method and the operation method of the data variable selection . In the application of the research method , the author shows the innovation in the research method by introducing the comprehensive performance evaluation index of the lower offset risk structure fund , which mainly takes into consideration that the investment risk factor of the fund cannot be measured only by the yield size , but also the innovation in the operation such as the empirical index and the variable selection , etc . , for example , the average value of the yield of the Shanghai Composite Index and the Shenzhen Composite Index is selected as the yield of the stock in the corresponding combined asset .
Besides seeing the fund investment stocks and the bond assets , the author also incorporates the other monetary assets that measure their earnings as part of the fund ' s allocation of assets at riskless interest rates . These innovation points are more efficient and practical in terms of operation , because we know that the fund is more effective and more applicable than the stock exchange index . In addition , it can make the conclusion more effective and more effective . The above innovations are more effective and more realistic to reflect the contribution of asset allocation strategies to our country ' s securities investment funds , so as to provide better guidance for our country ' s securities investment fund .
The structure of this paper can be divided into five parts : Chapter 1 is the introduction , including the background of the thesis selection , the literature review and the introduction of the main contents of this paper ;
Chapter 2 introduces the basic theory contents of asset allocation , including the Maccowitz ' s mean - variance model , the downside risk model and the risk value theory model .
Chapter 3 expounds the meaning and influencing factors of the asset allocation of the securities investment fund , including the meaning and characteristics of the fund asset allocation , the object of the asset allocation and the influencing factors that affect the decision - making use of the asset allocation policy ;
In chapter 4 , an empirical analysis of the performance difference between asset allocation strategy and fund performance is introduced , and the contribution degree of asset allocation strategy to the same fund yield over time and the degree of interpretation of different fund performance difference are analyzed .
Chapter 5 is the conclusion part , including the innovation points and shortcomings of the research , and points out the future trend and direction of the asset allocation of our country ' s securities investment fund .
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5;F224
【引证文献】
相关硕士学位论文 前3条
1 李粲;HY公司大类资产配置绩效评价研究[D];郑州大学;2016年
2 陈晴;全国社会保障基金战略资产配置优化研究[D];河北大学;2014年
3 毛娜;战略资产配置在我国中小寿险公司的应用研究[D];西南财经大学;2014年
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