本文選題：組合基金　切入點：權(quán)益型　出處：《中國社會科學院研究生院》2014年博士論文

【摘要】：組合基金在二十世紀九十年代出現(xiàn)以來，在全球獲得了快速的發(fā)展，尤其是在美國等地，成為一種較為流行的投資方式。目前，中國也正放開政策，允許公募基金發(fā)行組合基金。本文的目的就是結(jié)合資產(chǎn)組合選擇理論和資本資產(chǎn)定價模型，對組合基金，特別是權(quán)益型組合基金的構(gòu)建方法、風險水平及業(yè)績進行深入、系統(tǒng)的研究。 首先，在對作為本文重要理論基礎的資產(chǎn)組合選擇理論和資本資產(chǎn)定價模型進行介紹以后，對權(quán)益型組合基金在降低波動性的意義進行了探討。基金在某個時間段的收益率有著巨大的差異，而單只基金的時間序列波動性也很大。同類型基金在進行組合后，對時間序列波動性的降低效果有限，但能夠在不影響收益的情況下大幅降低基金收益的橫截面波動性，這也是權(quán)益型組合基金在風險上的主要意義。 其次，本文對不同的組合基金構(gòu)建方法對組合基金的波動性和收益所帶來的影響進行了探討，包括不同的子基金的選擇、子基金的組成個數(shù)和權(quán)重配置等。基金的凈值增長率從整體上來說并不具備延續(xù)性，但是對基金按業(yè)績進行分層后，那些以往長期業(yè)績好的基金在下一年度表現(xiàn)好的概率更高，而基金凈值增長率的波動性從整體上來說是有著良好的延續(xù)性的，所以子基金的選擇標準可以是長期的凈值業(yè)績及波動性。就子基金個數(shù)來說，需要從基金個數(shù)所帶來的最佳組合收益、風險、偏度和峰度以及收益置信度等方面來進行權(quán)衡。結(jié)果表明，隨著組合中子基金數(shù)量的增加，有利的方面包括風險減小，收益置信度變大，且存在邊際效應遞減現(xiàn)象；不利的方面包括組合收益偏度變小等，根據(jù)中國數(shù)據(jù)得出的同類基金組合中子基金數(shù)量在20只左右比較恰當。在權(quán)重配置上，盡管通過M-V模型可以得出“最佳”配置，但是由于歷史數(shù)據(jù)不能代替未來數(shù)據(jù)，特別是由于組合中往往包含過少的基金，因此該種方法往往失效。從現(xiàn)實性角度說，等權(quán)或者按凈值加權(quán)是比較合適的方法。 第三，，本文對組合基金的業(yè)績評價方法和權(quán)益型組合基金的業(yè)績進行了探討。關(guān)于組合基金的業(yè)績標準，根據(jù)包括回歸R2、β系數(shù)和跟蹤誤差在內(nèi)等在內(nèi)的標準，本文提出應當以基金指數(shù)而不是股票指數(shù)作為組合基金的業(yè)績基準。本文接著提出了組合基金的子基金收益正偏模型，從而在理論上解釋了權(quán)益型組合基金對同類型基金平均水平有著較穩(wěn)定超額收益的原因。并以自建的兩個基金組合為例進行了實證檢驗，結(jié)果表明權(quán)益型組合基金確實能取得超過同類平均的業(yè)績。 此外，本文還對組合基金的雙重收費、內(nèi)部投資行為及投顧機構(gòu)的發(fā)展進行了探討。 本文最后對照海外組合基金的發(fā)展經(jīng)驗，結(jié)合中國組合基金的過往狀況，對組合基金未來在中國的發(fā)展進行剖析和展望。
[Abstract]:The portfolio of the fund in 1990s has gained rapid development in the world, especially in the United States, has become a popular investment. At present, Chinese is allowed to release policy, issuance of public fund fund. The purpose of this paper is to combine asset portfolio theory and capital asset pricing model, the the portfolio of the fund, especially the construction method of equity fund, in-depth risk level and the performance of system research.
First of all, after on as the important theoretical basis of the asset portfolio theory and capital asset pricing model is introduced, the equity portfolio in the reduced volatility of the significance of the fund. There is a huge difference in the rate of return for a period of time, while the single fund fluctuation is also great the same type of fund. In combination, the time series volatility reducing effect is limited, but the cross-sectional volatility can significantly reduce the income of the fund does not affect the income of the case, which is the main meaning of Equity Fund in risk.
Secondly, the construction method of combined effects of fund volatility and return of funds brought by different are discussed, including the different sub fund selection, sub fund number and weight allocation. The fund's net growth rate as a whole does not have continuity, but to the fund stratified according to the results, the previous long-term funds with good performance in the next year the good performance of the higher probability, and the volatility of the fund net growth rate of the overall is a good continuity, so the choice of standard sub funds can be a net performance and volatility in the long term. A number of the sub fund, optimal portfolio returns, arising from a number of fund risk, skewness and kurtosis and gains confidence and other aspects of balance. The results show that with the increase of the number of combinations of neutron fund, advantage Including risk reduction, gain confidence increases, and there the phenomenon of diminishing marginal effect; the downside skewness includes a combination of smaller, more appropriate according to the number of similar fund portfolio fund China neutron data obtained in about 20. In weight configuration, although the M-V model can be obtained through the "best" configuration, but because the historical data is not a substitute for future data, especially due to the combination often contains too few funds, so this kind of methods are often ineffective. From the practical point of view, right or on a net weighting is a more appropriate method.
Third, this paper evaluates the performance of the fund's portfolio method and equity portfolio performance are discussed. On the combination of the performance of the fund according to the standard, including R2 regression, beta coefficient and the tracking error, including standard, proposed should be based on the fund index instead of stock index as a combination of fund performance benchmark. Then the combination of fund sub fund income is partial model, so as to theoretically explain the equity portfolio has a relatively stable excess return of the reasons for the same type of fund average. And the two group of fund built an empirical test as an example, results show that the equity portfolio can obtain more than performance similar average.
In addition, this paper also double charge on the fund's portfolio, the development of internal investment behavior and investment consulting agencies are discussed.
Finally, we compare the development experience of overseas portfolio funds and the past situation of China's mutual funds, and analyze the future development of combined funds in China.

【學位授予單位】：中國社會科學院研究生院
【學位級別】：博士
【學位授予年份】：2014
【分類號】：F832.51

【參考文獻】

相關(guān)期刊論文 前4條

1 牛鴻,詹俊義;中國證券投資基金市場擇時能力的非參數(shù)檢驗[J];管理世界;2004年10期

2 杜迎輝;;FOF(基金)發(fā)展及應用研究[J];金融理論與實踐;2008年09期

3 崔澤軍;;在險價值(VAR)分析在FOF產(chǎn)品設計中的應用[J];金融理論與實踐;2009年06期

4 李清芬;組合基金的發(fā)展與運作模式[J];證券市場導報;2003年09期

本文編號：1707365