私募FOHF的投后管理方案设计

发布时间：2018-07-09 18:46

本文选题：私募FOHF + 组合优化　；参考：《深圳大学》2017年硕士论文

【摘要】：国内量化对冲私募正处于高速发展阶段,随着2017年4月中国证券基金业协会私募产品备案新系统的上线,私募FOHF产品正式被纳入监管,同时,协会正致力于培育百家左右大型私募FOHF;FOHF是通过配置充分分散化的量化对冲子基金,实现大类资产配置;当前国内市场金融资产波动大,风险高,而量化对冲基金回撤可控,收益稳定,是未来高净值客户、银行、保险资金的配置首选;组合基金要求管理机构有很强的投后管理能力,体现在风险管理、业绩归因和组合优化等方面;但国内FOHF管理机构尚缺乏投后管理的相应经验和理论支持,缺乏系统的投后管理方案;对于FOHF管理机构而言,做好投后管理是其实现大类资产配置、平滑收益以及复利增长的前提;国内量化对冲基金起步晚,但发展迅猛,专门针对私募FOHF的投后管理研究较少。本文研究的内容:通过采用定性定量分析法、数学模型法与案例分析法等研究方法,研究投后的风险管理机制、FOHF母子基金的业绩归因分析原理、组合基金的配比原理等,探讨设计FOHF的投后风险管理机制,业绩分析机制,同时结合实证,将Black-Litterman模型实证应用于量化对冲类FOF的动态配比研究,以及利用Brinson模型用于FOHF母基金的业绩归因分析,并且通过分析实践过程中FOHF机构的投后管理经验,结合当前国内的量化对冲市场以及私募FOHF的发展现状,探讨设计私募FOHF的投后管理方案。本文结合实证与分析得出的结论:通过有效的投后管理可以一定程度上管控风险和优化组合的收益;使用Black-Litterman模型优化组合配比效果较优;通过Brinson模型用于业绩归因便于FOHF管理机构充分了解组合业绩来源,有效分析组合的收益贡献;依据模型决策时,其数据不宜多短,模型结论可供参考做相关决策;投后管理同时需要注重定性的风险管理和其他的定性管理。
[Abstract]:Domestic quantitative hedge private placement is in a high development stage. With the launch of the new private equity product filing system of the China Securities Fund Association in April 2017, private equity FOHF products were formally brought into the regulation, and at the same time, The Association is working to foster a hundred or so large private equity FOHFFHF funds to achieve a large class of asset allocation through the allocation of fully decentralized quantitative hedge funds; financial assets are volatile and risky in the domestic market, and the withdrawal of quantitative hedge funds is manageable. Income stability is the first choice for the allocation of high net worth clients, banks and insurance funds in the future; portfolio funds require management institutions to have strong post-investment management capabilities, which are reflected in risk management, performance attribution and portfolio optimization. However, the domestic FOHF management organization still lacks the corresponding experience and theoretical support of post-investment management, and lacks the systematic post-investment management scheme. The premise of smooth earnings and compound interest growth; domestic quantitative hedge funds started late, but rapid development, focusing on private FOHF post-investment management research. The content of this paper: by using qualitative and quantitative analysis method, mathematical model method and case analysis method, the risk management mechanism after investment is studied, such as the performance attribution analysis principle of FOHF mother-child fund, the matching principle of portfolio fund and so on. This paper discusses the design of post-investment risk management mechanism and performance analysis mechanism of FOHF. At the same time, it applies Black-Litterman model to the dynamic matching research of quantitative hedge-like FOF, and applies Brinson model to the performance attribution analysis of FOHF mother fund. By analyzing the experience of post-investment management of FOHF institutions in practice, combining with the current domestic quantitative hedging market and the development of private FOHF, this paper discusses how to design the post-investment management scheme of private FOHF. The conclusions of this paper are as follows: through effective post-investment management, the risk and income can be controlled to a certain extent, and the Black-Litterman model can be used to optimize the combination ratio. It is convenient for FOHF management organization to fully understand the source of portfolio performance by using Brinson model for attribution of performance, and to effectively analyze the contribution of income of portfolio, and the conclusion of the model can be used as a reference for decision making, and its data should not be short when making decision according to the model. Post-investment management needs to focus on qualitative risk management and other qualitative management.
【学位授予单位】：深圳大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

【参考文献】