FOF基金投资组合策略应用比较研究

发布时间：2018-01-16 07:13

本文关键词：FOF基金投资组合策略应用比较研究　出处：《首都经济贸易大学》2017年硕士论文　论文类型：学位论文

【摘要】：2015年我国股市、债市经历了大幅波动,笔者所在公司由于主动管理及时准确,获得了较高的收益。但是在2016年年初的市场上下波动中,主动管理的账户买卖操作把握并不准确,反而是被动持仓的账户获得不错收益。主动管理和被动管理这两种管理方式引起了我的思考:哪种管理方式能获得更低风险、更高业绩,它们各自更适合哪类市场?而一些专业的从业人员认为在实践中不应执着于主动管理和被动管理,更应该注重的是大类资产配置,其对组合收益的高低起到了决定性的作用。由此,笔者阅读了大量投资组合相关的论文和研报,试图探寻一种在各种情况下都相对较优的投资组合策略。在FOF基金资产配置实践中有两个策略(基于均值方差模型的耶鲁基金管理策略、基于风险平价模型的桥水基金全天候策略)业绩优异,它们在海外经过了几十年的市场检验,收益稳定。但是,笔者发现针对两个策略的研究都是单独研究,并没有对它们进行对比的研究,无法让投资者以更加直观的角度去横向分析这两个策略的应用;同时,中国市场同海外市场相比风格差异较大,两种策略能否在我国市场取得较好的收益?基于上述问题,笔者对两种FOF投资组合策略在我国市场进行了应用比较分析。本文以FOF基金的投资组合策略为视角,在回顾和分析了国内外关于投资组合理论的文献后,针对耶鲁基金管理策略、桥水基金全天候策略在我国市场的应用表现进行了比较分析。本文的主要贡献在于对耶鲁基金策略模式和全天候策略模式在我国的应用表现进行直观比较,为具有不同投资目标的投资者挑选更适合自己的投资组合策略提供了一定指导。为了优化基金资产配置,提高基金的风险收益率,本文着重以下两个方面的研究与应用。首先,选取了FOF基金可以覆盖的大类资产,根据己有的历史数据支持,参考各类资产的类别特征,做出对各资产风险、收益的主观判断;其次,将同一数据分别代入耶鲁基金管理策略、桥水基金全天候策略,并将投资结果进行横向研究,而后得出了相关结论并提出了投资建议。
[Abstract]:In 2015, China's stock market, bond market experienced large fluctuations, the author of the company due to timely and accurate management, obtained a higher return, but in 2016 in the early part of the market fluctuations. The active management of account trading operations is not accurate. On the contrary, it is the passive account that makes a good profit. Active management and passive management have caused me to think about which way of management can achieve lower risk and higher performance. Which markets are they more suitable for? Some professional practitioners believe that in practice should not be attached to active management and passive management, but should pay more attention to the allocation of large categories of assets, which plays a decisive role in the level of portfolio income. I have read a large number of portfolio related papers and research papers. This paper attempts to explore a relatively optimal portfolio strategy under various circumstances. There are two strategies in FOF fund asset allocation practice (Yale fund management strategy based on mean-variance model). Bridge Water Fund based on risk parity model of all-weather strategy) performance is excellent, they have been tested in the overseas market for decades, the return is stable. However, the author found that the study of the two strategies is a separate study. There is no comparative study on them, so investors can not analyze the application of the two strategies horizontally from a more intuitive perspective; At the same time, compared with the overseas market, the style of the Chinese market is quite different. Can the two strategies make a better profit in the Chinese market? Based on the above problems, the author makes a comparative analysis of the application of the two FOF portfolio strategies in the Chinese market. This paper takes the portfolio strategy of the FOF Fund as the perspective. After reviewing and analyzing the domestic and foreign literature on portfolio theory, this paper aims at Yale fund management strategy. This paper makes a comparative analysis of the performance of the all-weather strategy of the bridge water fund in China market. The main contribution of this paper is to compare the performance of Yale fund strategy model and all-weather strategy model in China. It provides some guidance for investors with different investment objectives to choose a more suitable portfolio strategy. In order to optimize the allocation of fund assets and improve the risk return of the fund. This paper focuses on the following two aspects of research and application. First, select the FOF fund can cover a large class of assets, according to the existing historical data support, referring to the characteristics of various types of assets. Make subjective judgment on the risk and income of each asset; Secondly, the same data are substituted into Yale fund management strategy and bridge water fund all-weather strategy, and the investment results are studied horizontally, and then the relevant conclusions are drawn and investment suggestions are put forward.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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