指数化投资组合的构建及绩效评价

发布时间：2018-02-16 03:24

本文关键词： 指数化投资沪深300 遗传算法跟踪误差绩效评价　出处：《西北农林科技大学》2013年硕士论文　论文类型：学位论文

【摘要】：本世纪初，由于加入世界贸易组织，我国的经济出现了突飞猛进的发展。在股票市场中，我国不断推出新的股票指数，指数基金也有了一定的发展，这是推动本文研究的主要动因。组合投资是现代证券投资的主要策略。传统的投资策略以股票分析和时机选择为主，采取积极主动的方式进行投资。近年来，随着全球经济增长，宏观经济环境和微观经济基础持续改善，世界主要国家和地区的股市持续上扬。在经济持续稳定增长的背景下，中国股票市场得到了空前的发展，股市指数也迅速攀高。然而在指数上升的过程中，市场上往往会出现多数个股下跌的现象，市场上称之为“二八”现象，有时“二八”现象在市场上表现得尤为突出。大量的研究和统计数据均显示出以选股和择时为主的积极投资策略无法取得优于市场的业绩。随着近几年中国股票市场的熊市及全球经济的不景气，指数型基金在中国越来越受到投资者的追捧。近年来在其发行量大幅增加的同时，指数型基金的品种也日渐丰富。同时随着股指期货的推出，指数衍生产品也日益受到重视。投资者或投资机构就常常需要构建指数化投资组合。指数跟踪模型是构造指数化投资组合的重要基础。一个好的指数跟踪模型要尽量减小与目标指数间的跟踪误差。本篇论文详细介绍了指数化投资的历史，阐述了指数化投资的过程以及主要方法。本研究以沪深300股票指数为目标指数，采用优化复制法，实现了指数化投资组合构建的全部过程。首先，在综合考虑股票的贝塔值、平均成交额以及公司平均市值这些最重要的因素以后进行选股。随后，采用遗传算法分别计算了当投资组合中的股票数量为30和60时，，随着交易费用比率的增加，跟踪误差的改变情况。结果表明，随着交易费用比率的增加，包含相同股票数量的投资组合的跟踪误差不断减小；同时，当交易费用比率一定时，包含较多股票的投资组合的跟踪误差大于包含较少股票的投资组合。最后，通过计算超额收益率、詹森指数、夏普指数和信息比率，评价了本研究所构建的投资组合的绩效。本研究的结果显示，指数型投资组合的业绩并不会因为交易成本的改变而受到太大的影响；尽管完全复制法是理论上最有效的指数跟踪方法，但在具体操作时，要具体情况具体分析；由于中国的特殊情况，优化复制才是最适合中国指数型投资的方法。
[Abstract]:At the beginning of this century, as a result of China's accession to the World Trade Organization, China's economy has developed by leaps and bounds. In the stock market, our country has continuously introduced new stock indices, and index funds have also developed to a certain extent. This is the main motivation of this paper. Portfolio investment is the main strategy of modern securities investment. Traditional investment strategies mainly focus on stock analysis and timing, and take a proactive approach to investment in recent years. With the growth of the global economy, the macroeconomic environment and the microeconomic base have continued to improve, and the stock markets of major countries and regions in the world have continued to rise. Under the background of sustained and steady economic growth, China's stock market has experienced unprecedented development. The stock index is also rising rapidly. However, in the process of rising the index, there is often a fall in most stocks in the market, which is called the "2 / 8" phenomenon in the market. Sometimes the phenomenon of "2 / 8" is especially prominent in the market. A large number of research and statistics show that the positive investment strategy based on stock selection and timing can not achieve better results than the market. With the bear market in China's stock market and the global economic downturn in recent years, index funds have become increasingly popular among investors in China. The variety of index funds is also increasing. At the same time, with the introduction of stock index futures, Investors or investment institutions often need to build indexed portfolio. Index tracking model is an important basis for the construction of indexed portfolio. A good index tracking model should be. This paper introduces the history of indexed investment in detail. This paper expounds the process and main methods of indexed investment. In this study, the Shanghai and Shenzhen 300 stock index is taken as the target index, and the optimization replication method is adopted to realize the whole process of index portfolio construction. Firstly, the most important factors, such as beta value, average turnover and average market value, are taken into account. Then, when the number of stocks in the portfolio is 30 and 60, the tracking error changes with the increase of the transaction cost ratio, respectively. The results show that, with the increase of the transaction cost ratio, At the same time, when the transaction cost ratio is constant, the tracking error of the portfolio containing more stocks is larger than that of the portfolio with fewer stocks. Finally, the performance of the investment portfolio constructed by this study is evaluated by calculating the excess yield, Jason index, Sharp index and information ratio. The results of this study show that the performance of the indexed portfolio is not greatly affected by the change in transaction costs; although the complete replication method is the most effective exponential tracking method in theory, Due to the special situation in China, optimizing replication is the most suitable method for China's exponential investment.
【学位授予单位】：西北农林科技大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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