本文選題：私募FOHF + 組合優(yōu)化��； 參考：《深圳大學》2017年碩士論文

【摘要】：國內量化對沖私募正處于高速發(fā)展階段,隨著2017年4月中國證券基金業(yè)協(xié)會私募產品備案新系統(tǒng)的上線,私募FOHF產品正式被納入監(jiān)管,同時,協(xié)會正致力于培育百家左右大型私募FOHF;FOHF是通過配置充分分散化的量化對沖子基金,實現(xiàn)大類資產配置;當前國內市場金融資產波動大,風險高,而量化對沖基金回撤可控,收益穩(wěn)定,是未來高凈值客戶、銀行、保險資金的配置首選;組合基金要求管理機構有很強的投后管理能力,體現(xiàn)在風險管理、業(yè)績歸因和組合優(yōu)化等方面;但國內FOHF管理機構尚缺乏投后管理的相應經驗和理論支持,缺乏系統(tǒng)的投后管理方案;對于FOHF管理機構而言,做好投后管理是其實現(xiàn)大類資產配置、平滑收益以及復利增長的前提;國內量化對沖基金起步晚,但發(fā)展迅猛,專門針對私募FOHF的投后管理研究較少。本文研究的內容:通過采用定性定量分析法、數(shù)學模型法與案例分析法等研究方法,研究投后的風險管理機制、FOHF母子基金的業(yè)績歸因分析原理、組合基金的配比原理等,探討設計FOHF的投后風險管理機制,業(yè)績分析機制,同時結合實證,將Black-Litterman模型實證應用于量化對沖類FOF的動態(tài)配比研究,以及利用Brinson模型用于FOHF母基金的業(yè)績歸因分析,并且通過分析實踐過程中FOHF機構的投后管理經驗,結合當前國內的量化對沖市場以及私募FOHF的發(fā)展現(xiàn)狀,探討設計私募FOHF的投后管理方案。本文結合實證與分析得出的結論:通過有效的投后管理可以一定程度上管控風險和優(yōu)化組合的收益;使用Black-Litterman模型優(yōu)化組合配比效果較優(yōu);通過Brinson模型用于業(yè)績歸因便于FOHF管理機構充分了解組合業(yè)績來源,有效分析組合的收益貢獻;依據模型決策時,其數(shù)據不宜多短,模型結論可供參考做相關決策;投后管理同時需要注重定性的風險管理和其他的定性管理。
[Abstract]:Domestic quantitative hedge private placement is in a high development stage. With the launch of the new private equity product filing system of the China Securities Fund Association in April 2017, private equity FOHF products were formally brought into the regulation, and at the same time, The Association is working to foster a hundred or so large private equity FOHFFHF funds to achieve a large class of asset allocation through the allocation of fully decentralized quantitative hedge funds; financial assets are volatile and risky in the domestic market, and the withdrawal of quantitative hedge funds is manageable. Income stability is the first choice for the allocation of high net worth clients, banks and insurance funds in the future; portfolio funds require management institutions to have strong post-investment management capabilities, which are reflected in risk management, performance attribution and portfolio optimization. However, the domestic FOHF management organization still lacks the corresponding experience and theoretical support of post-investment management, and lacks the systematic post-investment management scheme. The premise of smooth earnings and compound interest growth; domestic quantitative hedge funds started late, but rapid development, focusing on private FOHF post-investment management research. The content of this paper: by using qualitative and quantitative analysis method, mathematical model method and case analysis method, the risk management mechanism after investment is studied, such as the performance attribution analysis principle of FOHF mother-child fund, the matching principle of portfolio fund and so on. This paper discusses the design of post-investment risk management mechanism and performance analysis mechanism of FOHF. At the same time, it applies Black-Litterman model to the dynamic matching research of quantitative hedge-like FOF, and applies Brinson model to the performance attribution analysis of FOHF mother fund. By analyzing the experience of post-investment management of FOHF institutions in practice, combining with the current domestic quantitative hedging market and the development of private FOHF, this paper discusses how to design the post-investment management scheme of private FOHF. The conclusions of this paper are as follows: through effective post-investment management, the risk and income can be controlled to a certain extent, and the Black-Litterman model can be used to optimize the combination ratio. It is convenient for FOHF management organization to fully understand the source of portfolio performance by using Brinson model for attribution of performance, and to effectively analyze the contribution of income of portfolio, and the conclusion of the model can be used as a reference for decision making, and its data should not be short when making decision according to the model. Post-investment management needs to focus on qualitative risk management and other qualitative management.
【學位授予單位】：深圳大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51

【參考文獻】

相關期刊論文 前9條

1 馬強;孫佃亮;;美國對沖基金發(fā)展和監(jiān)管狀況及中國的借鑒[J];改革與戰(zhàn)略;2016年08期

2 肖星池;冉博文;呂斕琪;齊宇馨;高上;;中美FOF發(fā)展對比分析及對中國的啟示[J];現(xiàn)代經濟信息;2016年07期

3 薛嘉盛;;日漸繁榮的中國FOF基金[J];中國信用卡;2016年03期

4 ;最牛FOF投基策略解碼[J];理財;2015年03期

5 馬婧;;券商FOF基金管理現(xiàn)狀及其優(yōu)化思路[J];企業(yè)改革與管理;2014年24期

6 劉建和;武鑫;曹建鋼;;A股私募基金績效評價方法選擇比較研究[J];企業(yè)經濟;2013年05期

7 汪浩;;中國私募證券基金風險價值測度——基于可變均值的VaR計算[J];科技與企業(yè);2013年09期

8 李秋實;;明星基金擇時能力、選股能力及其經理人個人資質的影響研究[J];北方經濟;2012年14期

9 徐穎;劉海龍;;基金的投資績效歸因分析及實證研究[J];系統(tǒng)工程;2006年01期

相關碩士學位論文 前4條

1 樂嘉慶;國內對沖策略FOF基金實證研究及創(chuàng)設[D];上海交通大學;2013年

2 葉冰芬;市場中性策略在我國的應用現(xiàn)狀及效果研究[D];暨南大學;2013年

3 余婧;均值—方差—近似偏度投資組合模型與實證分析[D];復旦大學;2010年

4 嚴月洪;證券投資基金業(yè)績評價中基準選擇及其影響的實證分析[D];中南大學;2004年

，

本文編號：2110317