我国证券投资基金数量化投资策略研究

发布时间：2018-07-09 13:13

本文选题：数量化投资 + 130/30组合　；参考：《哈尔滨商业大学》2013年硕士论文

【摘要】：数量化投资(或简称量化投资)是一种按事先设定的数学公式或者逻辑判断程序来投资的方式。根据量化所依据的逻辑不同,数量化投资可以分为技术量化法、基本面量化法和其他综合法,包括套利与统计套利、基于行为金融学的投资策略、空头扩展策略等。数量化投资的优势在于信息处理迅速、成本低、纪律性强、适用于金融衍生品和便于风险控制。存在的问题有肥尾性、相似性和趋势改变。在欧美发达国家数量化投资策略应用于基金已有40多年历史,金融危机前,数量化基金业绩明显战胜非数量化基金,特别是增强型指数基金业绩更是大幅超过同类非数量化基金,但金融危机之后,数量化基金表现却普遍差于非数量化基金,但差距不大。中国的数量化投资基金起步较晚,2004年首只量化基金光大保德信量化核心基金问世,截至2011年4月6日,9只具有完整业绩的主动型量化基金平均收益率为0.64%,超越同期股票型基金和混合型基金-1.39%、-3.08%的净值增长率。截止2012年5月,我国共有14只量化基金发行,其中主动型股票基金10只,主动型混合基金1只,被动增强型股票基金3只。数量化基金之前主要应用于对冲基金、养老基金等非公募基金上,而近年出现的130/30空头扩展数量化投资策略作为共同基金和对冲基金的折中产品,可应用于公募基金,广受投资者欢迎。基于市场模型实际构建一个130/30投资组合,考察阿尔法量化投资策略和130/30投资策略在中国应用的可行性。样本股选取上证50成份股,时间跨度为7年。通过实证得出结论：a选股策略有效,说明中国股市市场没有达到弱势有效。中国股市交替表现出a动量和反转效应,但总体呈现动量效应；130/30组合策略有效,考虑交易成本后,130/30组合策略仍能战胜指数和相同选股策略的纯多头组合,说明130/30的资产管理方式在中国是可行的；融券费率对130/30组合的收益率影响巨大,目前10%融券费率的水平下130/30组合可以战胜纯多头的赢家组合。
[Abstract]:Quantitative investment (or quantitative investment for short) is a way to invest according to a predetermined mathematical formula or logical judgment program. According to the different logic of quantization, quantitative investment can be divided into technical quantization, fundamental quantization and other comprehensive methods, including arbitrage and statistical arbitrage, behavioral finance based investment strategy, short expansion strategy and so on. The advantage of quantitative investment lies in fast information processing, low cost, strong discipline, suitable for financial derivatives and easy to control risks. Problems include fat-tailed, similarity and changing trends. Quantitative investment strategy has been applied to funds for more than 40 years in developed countries in Europe and America. Before the financial crisis, the performance of quantitative funds was obviously superior to that of non-quantitative funds. Especially, the performance of the enhanced index fund is much higher than that of the similar non-quantitative fund, but after the financial crisis, the performance of the quantitative fund is generally worse than that of the non-quantitative fund, but the difference is not big. China's quantitative investment funds started relatively late. In 2004, the first quantitative fund, Everbright, was released as a core fund. As of April 6, 2011, the average rate of return of 9 active quantitative funds with complete performance was 0.64, surpassing the net growth rate of equity funds and hybrid funds of -1.39- 3.08 percent in the same period. Up to May 2012, there are 14 quantitative funds issued in China, including 10 active stock funds, 1 active hybrid fund and 3 passive enhanced stock funds. Previously, quantitative funds were mainly used in non-public funds such as hedge funds, pension funds and other non-public funds, while the 130 / 30 short positions in recent years, as a compromise product for mutual funds and hedge funds, can be applied to public funds. It is popular with investors. Based on the market model, a 130 / 30 portfolio is constructed to investigate the feasibility of the application of alpha quantitative investment strategy and 130 / 30 investment strategy in China. Sample stock selected 50 shares of Shanghai Stock Exchange, the time span of 7 years. The conclusion is that the stock selection strategy is effective, which indicates that the Chinese stock market is not weak. The Chinese stock market alternately displays a momentum and reversal effects, but the overall momentum effect is less than 130 / 30. After considering the transaction cost, the 130 / 30 combination strategy can still defeat the pure long combination of the index and the same stock selection strategy. It shows that the asset management mode of 130 / 30 is feasible in China, and the short coupon rate has a great influence on the yield of 130 / 30 portfolio. At present, 130 / 30 portfolio can defeat the pure long winner portfolio under the current 10% short bond rate level.
【学位授予单位】：哈尔滨商业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

【相似文献】