本文關(guān)鍵詞： 投資能力 資產(chǎn)配置 組合變動(dòng)測(cè)度法 量化研究　出處：《華南理工大學(xué)》2013年博士論文　論文類型：學(xué)位論文

【摘要】：在企業(yè)管理中，如何進(jìn)行恰當(dāng)?shù)膬r(jià)值管理乃是各方關(guān)注的焦點(diǎn)問題。經(jīng)過十幾年的快速發(fā)展，開放式基金作為機(jī)構(gòu)投資者的代表，已成為我國(guó)資本市場(chǎng)的重要參與力量，以及居民財(cái)富配置的主要方式。對(duì)開放式基金的既有研究，大多僅著眼于其作為機(jī)構(gòu)投資者完善上市公司治理和穩(wěn)定資本市場(chǎng)等方面。作為一種“集合投資、分散風(fēng)險(xiǎn)”的間接投資工具，開放式基金“專家理財(cái)”的核心功能亦應(yīng)獲重視。 已有研究表明，開放式基金依據(jù)市場(chǎng)波動(dòng)而進(jìn)行的擇時(shí)交易并未能創(chuàng)造價(jià)值或提升投資能力。以全球?qū)_基金為例，在過去四年里，其表現(xiàn)都遠(yuǎn)遜于幾乎每一個(gè)主要的股票指數(shù)或債券指數(shù)。國(guó)內(nèi)開放式基金的發(fā)展?fàn)顩r同樣堪憂。統(tǒng)計(jì)顯示，僅在2008年，基金行業(yè)的虧損就高達(dá)1.5萬(wàn)億元，行業(yè)之前多年的辛苦積攢頃刻之間損失殆盡。這導(dǎo)致廣大基民對(duì)整個(gè)行業(yè)的信心逐漸產(chǎn)生了動(dòng)搖。自2008年初市場(chǎng)走熊至今，偏股型基金的贖回份額在幾乎每個(gè)季度都大于申購(gòu)份額，行業(yè)發(fā)展整體表現(xiàn)得極為疲軟。既然投資者“珍藏的金元寶上長(zhǎng)出了銅銹”，如何全面、準(zhǔn)確、合理地識(shí)別和評(píng)價(jià)我國(guó)開放式基金的投資能力，進(jìn)而挖掘影響投資能力的因素，尋求提升投資能力的措施，乃是基金份額持有人、基金管理人和基金監(jiān)管人共同關(guān)心的焦點(diǎn)問題。 在既有研究的基礎(chǔ)上，本文首先將開放式基金投資能力與投資業(yè)績(jī)?cè)诟拍顑?nèi)涵和外延上做了嚴(yán)格區(qū)分，由此構(gòu)建了開放式基金投資能力概念體系和研究框架。然后首次引入一個(gè)非參數(shù)檢驗(yàn)方法，對(duì)國(guó)內(nèi)一組偏股型開放式基金的投資能力進(jìn)行了詳細(xì)考察，發(fā)現(xiàn)我國(guó)開放式基金的投資能力總體并不顯著，甚至表現(xiàn)出與市場(chǎng)走勢(shì)相悖的情況。這可能是阻礙行業(yè)近期發(fā)展放緩的原因之一。最后，本文在資產(chǎn)配置分析框架下，分別從個(gè)股配置、行業(yè)配置和動(dòng)態(tài)配置三個(gè)方面，初步提供了提升投資能力的途徑。進(jìn)一步的量化分析和實(shí)證檢驗(yàn)表明，這些途徑是有效的。 本文的研究建立在市場(chǎng)非完全有效前提之上，綜合使用多種量化分析方法，通過理論演繹和對(duì)大樣本、長(zhǎng)周期數(shù)據(jù)的分析，獲得了與預(yù)期較為一致的結(jié)論。本文的創(chuàng)新主要體現(xiàn)在兩點(diǎn)。第一，在理論上，突破了傳統(tǒng)研究重業(yè)績(jī)輕能力的范疇，從更深層次揭示開放式基金投資能力對(duì)行業(yè)發(fā)展的影響。相關(guān)成果既是對(duì)積極資產(chǎn)管理理論的有益補(bǔ)充，亦是完善經(jīng)典投資理論的有益嘗試。第二，在方法上，首次引入評(píng)價(jià)投資能力的PCM方法。該方法建立在對(duì)投資組合信息的充分挖掘基礎(chǔ)上，相比既有的參數(shù)評(píng)價(jià)方法，不僅能避免比較基準(zhǔn)選擇問題，而且可規(guī)避數(shù)據(jù)生存性偏差問題。 本文的研究亦具有投資實(shí)踐上的啟示。既可為基金管理人提供可供操作的現(xiàn)實(shí)指引，，亦可為居民財(cái)富配置提供必要的選擇依據(jù)，還可為監(jiān)管層制定合適的政策提供必要的決策參考。
[Abstract]:In the enterprise management, how to carry on the proper value management is the focal point question which all sides pays close attention to. After more than ten years' rapid development, the open-end fund is the representative of the institutional investor. Has become an important participation in the capital market in China, as well as the main way of the allocation of wealth of residents. The existing research on open-end funds. Most of them only focus on improving corporate governance and stabilizing capital market as institutional investors, and as an indirect investment tool of "pooling investment and dispersing risk". The core function of open-end fund "expert financing" should also be paid attention to. Studies have shown that timing trades conducted by open-end funds based on market volatility have failed to create value or enhance their ability to invest. Take global hedge funds, for example, in the past four years. Its performance is far worse than almost every major stock index or bond index. The development of domestic open-end funds is also worrying. Statistics show that only in 2008. The loss of the fund industry is as high as 1.5 tillion yuan. The industry's previous years of hard work have been lost in an instant. This has led to the majority of people's confidence in the entire industry gradually shaken. Since early 2008, the market has gone bear to date. The redemption share of the partial stock fund is bigger than the requisition share in almost every quarter, the development of the industry as a whole is extremely weak. Now that investors "grow copper rust on the precious gold treasure", how comprehensive and accurate. It is the fund share holders to identify and evaluate the investment ability of the open-end fund in our country reasonably, then excavate the factors that affect the investment ability, and seek the measures to improve the investment ability. Fund managers and fund supervisors are concerned about the focus of common concern. On the basis of the existing research, this paper first makes a strict distinction between the investment ability of open-end funds and investment performance in the concept of connotation and extension. This paper constructs the concept system and research framework of open-end fund's investment ability, and then introduces a non-parametric test method for the first time, and makes a detailed investigation on the investment ability of a group of domestic open-end funds. It is found that the investment ability of open-end funds in China is not significant in general, and even shows a situation contrary to the market trend. This may be one of the reasons that hinder the recent slowdown of the industry. Finally. In the framework of asset allocation analysis, this paper provides a way to improve investment ability from three aspects: individual stock allocation, industry allocation and dynamic allocation. Further quantitative analysis and empirical test show that. These approaches are effective. The research of this paper is based on the premise that the market is not completely effective. It synthetically uses a variety of quantitative analysis methods through theoretical deduction and the analysis of large sample and long period data. In this paper, the innovation is mainly reflected in two points. First, in theory, it breaks through the traditional research focus on performance and ability. From a deeper level to reveal the impact of open-end fund investment capacity on the development of the industry. The relevant results are not only a useful supplement to the positive asset management theory, but also a useful attempt to improve the classical investment theory. Second, in the method. PCM method is introduced to evaluate investment ability for the first time. This method is based on the full mining of portfolio information. Compared with the existing parameter evaluation method, it can not only avoid the problem of benchmark selection. Moreover, the problem of data survivability deviation can be avoided. The research in this paper also has the inspiration of investment practice. It can not only provide practical guidance for fund managers to operate, but also provide the necessary basis for the selection of residents' wealth allocation. It can also provide the necessary decision-making reference for the regulatory level to formulate appropriate policies.
【學(xué)位授予單位】：華南理工大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

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