权益型组合基金波动性与收益研究

发布时间：2018-04-03 23:24

本文选题：组合基金　切入点：权益型　出处：《中国社会科学院研究生院》2014年博士论文

【摘要】：组合基金在二十世纪九十年代出现以来，在全球获得了快速的发展，尤其是在美国等地，成为一种较为流行的投资方式。目前，中国也正放开政策，允许公募基金发行组合基金。本文的目的就是结合资产组合选择理论和资本资产定价模型，对组合基金，特别是权益型组合基金的构建方法、风险水平及业绩进行深入、系统的研究。首先，在对作为本文重要理论基础的资产组合选择理论和资本资产定价模型进行介绍以后，对权益型组合基金在降低波动性的意义进行了探讨。基金在某个时间段的收益率有着巨大的差异，而单只基金的时间序列波动性也很大。同类型基金在进行组合后，对时间序列波动性的降低效果有限，但能够在不影响收益的情况下大幅降低基金收益的横截面波动性，这也是权益型组合基金在风险上的主要意义。其次，本文对不同的组合基金构建方法对组合基金的波动性和收益所带来的影响进行了探讨，包括不同的子基金的选择、子基金的组成个数和权重配置等。基金的净值增长率从整体上来说并不具备延续性，但是对基金按业绩进行分层后，那些以往长期业绩好的基金在下一年度表现好的概率更高，而基金净值增长率的波动性从整体上来说是有着良好的延续性的，所以子基金的选择标准可以是长期的净值业绩及波动性。就子基金个数来说，需要从基金个数所带来的最佳组合收益、风险、偏度和峰度以及收益置信度等方面来进行权衡。结果表明，随着组合中子基金数量的增加，有利的方面包括风险减小，收益置信度变大，且存在边际效应递减现象；不利的方面包括组合收益偏度变小等，根据中国数据得出的同类基金组合中子基金数量在20只左右比较恰当。在权重配置上，尽管通过M-V模型可以得出“最佳”配置，但是由于历史数据不能代替未来数据，特别是由于组合中往往包含过少的基金，因此该种方法往往失效。从现实性角度说，等权或者按净值加权是比较合适的方法。第三，，本文对组合基金的业绩评价方法和权益型组合基金的业绩进行了探讨。关于组合基金的业绩标准，根据包括回归R2、β系数和跟踪误差在内等在内的标准，本文提出应当以基金指数而不是股票指数作为组合基金的业绩基准。本文接着提出了组合基金的子基金收益正偏模型，从而在理论上解释了权益型组合基金对同类型基金平均水平有着较稳定超额收益的原因。并以自建的两个基金组合为例进行了实证检验，结果表明权益型组合基金确实能取得超过同类平均的业绩。此外，本文还对组合基金的双重收费、内部投资行为及投顾机构的发展进行了探讨。本文最后对照海外组合基金的发展经验，结合中国组合基金的过往状况，对组合基金未来在中国的发展进行剖析和展望。
[Abstract]:The portfolio of the fund in 1990s has gained rapid development in the world, especially in the United States, has become a popular investment. At present, Chinese is allowed to release policy, issuance of public fund fund. The purpose of this paper is to combine asset portfolio theory and capital asset pricing model, the the portfolio of the fund, especially the construction method of equity fund, in-depth risk level and the performance of system research.
First of all, after on as the important theoretical basis of the asset portfolio theory and capital asset pricing model is introduced, the equity portfolio in the reduced volatility of the significance of the fund. There is a huge difference in the rate of return for a period of time, while the single fund fluctuation is also great the same type of fund. In combination, the time series volatility reducing effect is limited, but the cross-sectional volatility can significantly reduce the income of the fund does not affect the income of the case, which is the main meaning of Equity Fund in risk.
Secondly, the construction method of combined effects of fund volatility and return of funds brought by different are discussed, including the different sub fund selection, sub fund number and weight allocation. The fund's net growth rate as a whole does not have continuity, but to the fund stratified according to the results, the previous long-term funds with good performance in the next year the good performance of the higher probability, and the volatility of the fund net growth rate of the overall is a good continuity, so the choice of standard sub funds can be a net performance and volatility in the long term. A number of the sub fund, optimal portfolio returns, arising from a number of fund risk, skewness and kurtosis and gains confidence and other aspects of balance. The results show that with the increase of the number of combinations of neutron fund, advantage Including risk reduction, gain confidence increases, and there the phenomenon of diminishing marginal effect; the downside skewness includes a combination of smaller, more appropriate according to the number of similar fund portfolio fund China neutron data obtained in about 20. In weight configuration, although the M-V model can be obtained through the "best" configuration, but because the historical data is not a substitute for future data, especially due to the combination often contains too few funds, so this kind of methods are often ineffective. From the practical point of view, right or on a net weighting is a more appropriate method.
Third, this paper evaluates the performance of the fund's portfolio method and equity portfolio performance are discussed. On the combination of the performance of the fund according to the standard, including R2 regression, beta coefficient and the tracking error, including standard, proposed should be based on the fund index instead of stock index as a combination of fund performance benchmark. Then the combination of fund sub fund income is partial model, so as to theoretically explain the equity portfolio has a relatively stable excess return of the reasons for the same type of fund average. And the two group of fund built an empirical test as an example, results show that the equity portfolio can obtain more than performance similar average.
In addition, this paper also double charge on the fund's portfolio, the development of internal investment behavior and investment consulting agencies are discussed.
Finally, we compare the development experience of overseas portfolio funds and the past situation of China's mutual funds, and analyze the future development of combined funds in China.

【学位授予单位】：中国社会科学院研究生院
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832.51

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