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  本文關(guān)鍵詞：我國(guó)開(kāi)放式基金行業(yè)配置策略及其績(jī)效研究　出處：《華南理工大學(xué)》2012年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 開(kāi)放式基金 行業(yè)配置策略 績(jī)效

【摘要】：進(jìn)入二十一世紀(jì)以來(lái)，世界資本市場(chǎng)普遍呈現(xiàn)出震蕩調(diào)整的整體格局，由于經(jīng)濟(jì)周期的波動(dòng)對(duì)不同行業(yè)產(chǎn)生的影響各不相同，各個(gè)行業(yè)在不同的經(jīng)濟(jì)周期中表現(xiàn)出的景氣程度也相差懸殊，行業(yè)景氣程度與經(jīng)濟(jì)周期之間的相關(guān)關(guān)系，為積極行業(yè)配置策略獲取超額收益提供了可能。此外，伴隨著我國(guó)股市自2008年結(jié)束熊市進(jìn)入震蕩調(diào)整的整體格局，股票市場(chǎng)的行業(yè)輪動(dòng)現(xiàn)象日漸顯著，，我國(guó)證券投資基金也日漸重視行業(yè)配置策略對(duì)基金業(yè)績(jī)的重要性，并在此環(huán)境下催生出一種全新的基金品種以積極行業(yè)配置策略為特征的行業(yè)輪動(dòng)型基金，這反映出我國(guó)基金管理者對(duì)行業(yè)配置策略的日益重視，行業(yè)配置策略已成為提高基金業(yè)績(jī)的重要手段之一。 證券投資基金行業(yè)配置策略是指投資者運(yùn)用不同行業(yè)景氣程度與經(jīng)濟(jì)周期之間的關(guān)系，在經(jīng)濟(jì)周期的不同階段選擇與之匹配的景氣行業(yè)，提高景氣行業(yè)的配置權(quán)重，降低不景氣行業(yè)的配置權(quán)重，從而提高獲得戰(zhàn)勝市場(chǎng)平均收益水平的超額收益的一種資產(chǎn)配置策略，它是“自上而下”投資策略中的核心步驟和關(guān)鍵環(huán)節(jié)。在中國(guó)牛熊交替、震蕩調(diào)整、行業(yè)同構(gòu)的特殊資本市場(chǎng)環(huán)境下，基金行業(yè)配置策略及其績(jī)效研究有助于基金管理者意識(shí)到行業(yè)配置的重要性，有利于投資者根據(jù)自身的需求選擇適合的基金品種，具有很強(qiáng)的理論意義和現(xiàn)實(shí)價(jià)值。 本文以我國(guó)開(kāi)放式基金的行業(yè)配置策略為研究對(duì)象，采用理論研究和實(shí)證研究相結(jié)合的研究方法，在閱讀大量國(guó)內(nèi)外文獻(xiàn)資料的基礎(chǔ)上，選取2006年以前成立并發(fā)行的40只開(kāi)放式股票型基金為研究樣本，以2006年1月1日至2011年12月31日為全樣本研究期間，并進(jìn)一步將該全樣本研究期間劃分為牛市、熊市和震蕩調(diào)整三個(gè)子區(qū)間，通過(guò)采用列聯(lián)表法、分組迭代法和多元回歸法，全面系統(tǒng)的揭示出不同的資本市場(chǎng)環(huán)境下行業(yè)配置策略的影響因素、行業(yè)配置策略對(duì)基金業(yè)績(jī)的影響方式及深層次原因，并在此基礎(chǔ)上結(jié)合我國(guó)資本市場(chǎng)的實(shí)際情況，為投資者、基金經(jīng)理和基金公司提供改善基金業(yè)績(jī)的可行性建議。
[Abstract]:Since twenty-first Century, the world's capital markets are showing the overall pattern of shock adjustment, due to the impact of the economic cycle fluctuations in different industries vary, prosperity showed different industries in different economic cycles are also very different, the relationship between industry boom degree and economic cycle, provides the possibility for positive industry allocation strategy to obtain excess returns. In addition, with the overall pattern of China's stock market since the end of 2008 bear market into the shock adjustment, the stock market industry wheeled phenomenon increasingly prominent, China's securities investment fund also attaches great importance to the importance of the industry allocation strategy on fund performance, and in this environment spawned a new industry the variety of funds in a positive industry allocation strategy characterized by wheeled funds, which reflects China's fund managers on the industry allocation strategy increasingly Attention, the industry allocation strategy has become one of the important means to improve the performance of the fund.
The securities investment fund industry allocation strategy refers to the investors by the relationship between different level of industry boom and the economic cycle, at different stages of the economic cycle selection and matching industry boom, boom industry to improve the allocation weight, reduce the weight allocation industry downturn, so as to improve an asset allocation strategy for beating the market average income excess returns, it is the core step and a key link in the top-down investment strategy. In the China CBBC alternating shock adjustment, industry isomorphism, special capital market environment, research fund industry allocation strategy and performance to help fund managers realize the importance of industry configuration, is conducive to investors according to their own needs choose the suitable varieties of funds, it has great theoretical significance and practical value.
In this paper, China's open-end fund industry allocation strategy as the research object, using the research methods of combination of theoretical research and empirical research, based on reading a large number of domestic and foreign literature, were established before 2006 and issued 40 Open-end Equity Funds as the research sample, from January 1, 2006 to December 31, 2011 for the full sample period study on the whole sample, and further study period is divided into a bull market, bear market and the shock adjustment of three sub interval table by using the method of column group iterative method and multiple regression method, the comprehensive system reveals the influence factors of industry allocation strategy under different capital market environment, and the deep reasons which influence the way the industry allocation strategy the performance of the fund, and on this basis, combined with the actual situation of China's capital market for investors, fund managers and fund companies to provide improved Jin Yeji base The feasibility proposal.

【學(xué)位授予單位】：華南理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F832.51;F224

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