本文關(guān)鍵詞：指數(shù)投資與跟蹤復(fù)制的實(shí)證研究　出處：《南京大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 指數(shù)化投資 指數(shù)抽樣復(fù)制 跟蹤組合 跟蹤誤差

【摘要】：指數(shù)投資是被動(dòng)投資的主要形式之一,是指以某一市場指數(shù)為標(biāo)的進(jìn)行復(fù)制跟蹤的投資行為,以期獲得與標(biāo)的指數(shù)相近的投資收益,具有風(fēng)險(xiǎn)小、費(fèi)用低、流動(dòng)性高的優(yōu)點(diǎn)。隨著2015年A股市場股災(zāi)的爆發(fā),大量主動(dòng)管理型產(chǎn)品產(chǎn)生巨幅回撤,使投資者們愈發(fā)意識(shí)到以指數(shù)投資為首的被動(dòng)投資方式的重要性。越來越多的私募基金開始涉足指數(shù)跟蹤、指數(shù)增強(qiáng)與絕對(duì)收益類產(chǎn)品,但受限于信息、規(guī)模與操作成本約束,需要面對(duì)指數(shù)精確權(quán)重?cái)?shù)據(jù)費(fèi)用偏高、成分股中零散股比例偏高、實(shí)盤交易操作成本偏高等現(xiàn)實(shí)約束,很難以較低的操作復(fù)雜度與交易成本實(shí)現(xiàn)精確的全樣本指數(shù)復(fù)制。本文應(yīng)此背景產(chǎn)生,目的是找到一種以公開數(shù)據(jù)為基礎(chǔ)、以較低的交易頻率與較少的持倉股票數(shù)量實(shí)現(xiàn)較低跟蹤偏離度的指數(shù)抽樣復(fù)制方法,為中小型指數(shù)化產(chǎn)品提供具有實(shí)盤指導(dǎo)價(jià)值的指數(shù)投資策略。研究過程中,綜合運(yùn)用了理論分析法和實(shí)證分析法。首先,通過文獻(xiàn)綜述法歸納分析現(xiàn)有研究成果,確定指數(shù)投資的理論基礎(chǔ)和實(shí)證方法。隨后,選擇與市場中實(shí)際投資行為一致的指數(shù)作為標(biāo)的,通過蒙特卡洛模擬法指出經(jīng)典跟蹤偏離度算法的問題并得出改進(jìn)方案。最后,基于實(shí)踐中具備可行性的投資行為假設(shè),對(duì)指數(shù)跟蹤復(fù)制組合的跟蹤偏離度進(jìn)行實(shí)證測試。使用控制變量法建立實(shí)驗(yàn)對(duì)照組,對(duì)不同指數(shù)抽樣復(fù)制方法的實(shí)證效果進(jìn)行排序,以便分析不同抽樣復(fù)制方法的優(yōu)劣。在實(shí)證方面,選擇國內(nèi)股票市場中最具影響力的滬深300指數(shù)與中證500指數(shù)作為研究對(duì)象,基于2006年至2016年共計(jì)11年的數(shù)據(jù)進(jìn)行實(shí)證檢驗(yàn)。根據(jù)邏輯順序,首先對(duì)基于指數(shù)月末公開權(quán)重?cái)?shù)據(jù)進(jìn)行調(diào)倉的全樣本復(fù)制法進(jìn)行實(shí)證檢查,證明僅以公開數(shù)據(jù)與較低的交易頻率進(jìn)行指數(shù)復(fù)制是可行的。隨后,引入持倉股票數(shù)量約束,通過對(duì)分別簡單隨機(jī)抽樣復(fù)制法、最大權(quán)重抽樣復(fù)制法、最小權(quán)重抽樣復(fù)制法、行業(yè)分層抽樣復(fù)制法及其組合的實(shí)證對(duì)比分析,并針對(duì)每種抽樣方法計(jì)算在各種抽樣比例下的跟蹤偏離度。最后,匯總實(shí)證數(shù)據(jù),繪制以抽樣復(fù)制比例為橫坐標(biāo)、以跟蹤偏離度為縱坐標(biāo)并將多種抽樣復(fù)制方法結(jié)果同列的圖表,直觀地得到了不同抽樣復(fù)制方法之間的優(yōu)劣關(guān)系,以及抽樣復(fù)制比例與跟蹤偏離度之間的非線性關(guān)系。最終,本文得出使用最大權(quán)重復(fù)制法疊加行業(yè)分層抽樣的指數(shù)跟蹤復(fù)制效果最好的結(jié)論,并進(jìn)一步發(fā)現(xiàn)了滬深300跟蹤復(fù)制組合中更依賴大權(quán)重成份股的特征。在成果轉(zhuǎn)化方面,本文的實(shí)證結(jié)果可為指數(shù)投資提供具體建議。首先,本文通過對(duì)月末全樣本復(fù)制的實(shí)證檢驗(yàn),證明以公開數(shù)據(jù)與低頻調(diào)倉,通過全樣本復(fù)制即可實(shí)現(xiàn)較好的跟蹤復(fù)制效果,為受信息獲取與交易操作約束但不受規(guī)模約束的指數(shù)化產(chǎn)品提供了簡單可行的指數(shù)復(fù)制方案。其次,針對(duì)更一般的情況,將規(guī)模約束納入考慮后,當(dāng)必須對(duì)指數(shù)進(jìn)行抽樣復(fù)制之時(shí),則最大權(quán)重復(fù)制法疊加行業(yè)分層抽樣的跟蹤復(fù)制效果最好,并且可以基于抽樣復(fù)制比例與跟蹤偏離度之間的增量關(guān)系,確定最經(jīng)濟(jì)的抽樣復(fù)制比例。
[Abstract]:Index investment is one of the main forms of passive investment, refers to a market index as the underlying replicated investment behavior tracking, in order to obtain the similar index of investment income, has low risk, low cost, the advantages of the high mobility of A stock market crash of 2015. With the outbreak of a large number of active management type of products produced huge retracement, so that investors are increasingly aware of the importance of passive index investment investment led. More and more private equity funds began to get involved in index tracking, enhanced index products and absolute income, but limited information, scale and operation cost constraints, need to face the index weight data accurate cost is high, stocks in the high proportion of scattered shares, trading operation of high cost and other practical constraints, it is difficult to lower operation complexity and transaction costs to achieve full sample index accurately reproduced. This should be the The background, the purpose is to find an open data base, to the number of trading frequency and lower stock positions to achieve low tracking deviation index method of sampling replication, provide the index investment strategy has a guiding value for small and medium sized index product. In the course of the study, the integrated use of the theoretical analysis and empirical analysis. Firstly, through the literature review summarized the existing research results, the theoretical basis and empirical method of index investment. Then, select the market and the actual investment behavior consistent index as a subject, it is pointed out that the classical tracking deviation algorithm and obtains the improvement scheme by Monte Carlo simulation method. Finally, with the assumption that the feasibility of investment behavior in practice based on the index tracking portfolio replication tracking deviation of the empirical test. The establishment of the experimental group used as control variable method, To sort the positive effect of different index sampling replication method, in order to analyze the different sampling replication methods. In the empirical analysis, select the Shanghai and Shenzhen's most influential domestic stock market in 300 index and the CSI 500 index as the object of study, an empirical test was conducted from 2006 to 2016 a total of 11 years. Based on the data according to the logical order, first of all at the end of the index weight based on the full sample data open copy method to adjust positions of empirical examination, that is only based on the public data and transaction frequency is low the index replication is feasible. Then, the number of constraints on stock positions, respectively by simple random sampling replication method, maximum weighted sampling replication method, the minimum weight of sample copy the empirical analysis method, comparative method and stratified sampling replication industry portfolio, and for each sampling method in the calculation of various sampling rate tracking deviation . at last, summarize the empirical data, to draw a sample copy of the proportion as the abscissa and ordinate to track deviation degree and a variety of sampling replication method results with the column chart, obtained the advantages and disadvantages between different sampling methods, sampling and replication ratio and the relationship between the degree of deviation from the nonlinear tracking. Finally, we use maximum weight stratified sampling replication method of superposition industry index tracking copy the best effect, and further found that the Shanghai and Shenzhen 300 tracking copy feature more dependent on weight stocks portfolio. In the transformation, the empirical results of this paper can provide specific suggestions for the investment index. First of all, based on the empirical test at the end of the whole sample copy, proof by the public data and low frequency transfer positions, through the whole sample copy can achieve better tracking effect for replication, access to information and trading The operating constraints, but not by index product scale constraints provides a simple and feasible index replication scheme. Secondly, according to the more general case, the scale constraints into consideration, when the copy must be sampled on the index, the maximum weight of copy copy effect tracking method overlay industry stratified sampling, and sampling the proportion of copying and tracking based on the relationship between the degree of deviation increment, determine the proportion sample copy of the most economic.

【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51

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