本文關鍵詞： 指數(shù)化投資 滬深300 遺傳算法 跟蹤誤差 績效評價　出處：《西北農(nóng)林科技大學》2013年碩士論文　論文類型：學位論文

【摘要】：本世紀初，由于加入世界貿(mào)易組織，我國的經(jīng)濟出現(xiàn)了突飛猛進的發(fā)展。在股票市場中，我國不斷推出新的股票指數(shù)，指數(shù)基金也有了一定的發(fā)展，這是推動本文研究的主要動因。組合投資是現(xiàn)代證券投資的主要策略。傳統(tǒng)的投資策略以股票分析和時機選擇為主，采取積極主動的方式進行投資。近年來，隨著全球經(jīng)濟增長，宏觀經(jīng)濟環(huán)境和微觀經(jīng)濟基礎持續(xù)改善，世界主要國家和地區(qū)的股市持續(xù)上揚。在經(jīng)濟持續(xù)穩(wěn)定增長的背景下，中國股票市場得到了空前的發(fā)展，股市指數(shù)也迅速攀高。然而在指數(shù)上升的過程中，市場上往往會出現(xiàn)多數(shù)個股下跌的現(xiàn)象，市場上稱之為“二八”現(xiàn)象，有時“二八”現(xiàn)象在市場上表現(xiàn)得尤為突出。大量的研究和統(tǒng)計數(shù)據(jù)均顯示出以選股和擇時為主的積極投資策略無法取得優(yōu)于市場的業(yè)績。 隨著近幾年中國股票市場的熊市及全球經(jīng)濟的不景氣，指數(shù)型基金在中國越來越受到投資者的追捧。近年來在其發(fā)行量大幅增加的同時，指數(shù)型基金的品種也日漸豐富。同時隨著股指期貨的推出，指數(shù)衍生產(chǎn)品也日益受到重視。投資者或投資機構就常常需要構建指數(shù)化投資組合。指數(shù)跟蹤模型是構造指數(shù)化投資組合的重要基礎。一個好的指數(shù)跟蹤模型要盡量減小與目標指數(shù)間的跟蹤誤差。本篇論文詳細介紹了指數(shù)化投資的歷史，闡述了指數(shù)化投資的過程以及主要方法。 本研究以滬深300股票指數(shù)為目標指數(shù)，采用優(yōu)化復制法，實現(xiàn)了指數(shù)化投資組合構建的全部過程。 首先，在綜合考慮股票的貝塔值、平均成交額以及公司平均市值這些最重要的因素以后進行選股。 隨后，采用遺傳算法分別計算了當投資組合中的股票數(shù)量為30和60時，，隨著交易費用比率的增加，跟蹤誤差的改變情況。結果表明，隨著交易費用比率的增加，包含相同股票數(shù)量的投資組合的跟蹤誤差不斷減小；同時，當交易費用比率一定時，包含較多股票的投資組合的跟蹤誤差大于包含較少股票的投資組合。 最后，通過計算超額收益率、詹森指數(shù)、夏普指數(shù)和信息比率，評價了本研究所構建的投資組合的績效。 本研究的結果顯示，指數(shù)型投資組合的業(yè)績并不會因為交易成本的改變而受到太大的影響；盡管完全復制法是理論上最有效的指數(shù)跟蹤方法，但在具體操作時，要具體情況具體分析；由于中國的特殊情況，優(yōu)化復制才是最適合中國指數(shù)型投資的方法。
[Abstract]:At the beginning of this century, as a result of China's accession to the World Trade Organization, China's economy has developed by leaps and bounds. In the stock market, our country has continuously introduced new stock indices, and index funds have also developed to a certain extent. This is the main motivation of this paper. Portfolio investment is the main strategy of modern securities investment. Traditional investment strategies mainly focus on stock analysis and timing, and take a proactive approach to investment in recent years. With the growth of the global economy, the macroeconomic environment and the microeconomic base have continued to improve, and the stock markets of major countries and regions in the world have continued to rise. Under the background of sustained and steady economic growth, China's stock market has experienced unprecedented development. The stock index is also rising rapidly. However, in the process of rising the index, there is often a fall in most stocks in the market, which is called the "2 / 8" phenomenon in the market. Sometimes the phenomenon of "2 / 8" is especially prominent in the market. A large number of research and statistics show that the positive investment strategy based on stock selection and timing can not achieve better results than the market. With the bear market in China's stock market and the global economic downturn in recent years, index funds have become increasingly popular among investors in China. The variety of index funds is also increasing. At the same time, with the introduction of stock index futures, Investors or investment institutions often need to build indexed portfolio. Index tracking model is an important basis for the construction of indexed portfolio. A good index tracking model should be. This paper introduces the history of indexed investment in detail. This paper expounds the process and main methods of indexed investment. In this study, the Shanghai and Shenzhen 300 stock index is taken as the target index, and the optimization replication method is adopted to realize the whole process of index portfolio construction. Firstly, the most important factors, such as beta value, average turnover and average market value, are taken into account. Then, when the number of stocks in the portfolio is 30 and 60, the tracking error changes with the increase of the transaction cost ratio, respectively. The results show that, with the increase of the transaction cost ratio, At the same time, when the transaction cost ratio is constant, the tracking error of the portfolio containing more stocks is larger than that of the portfolio with fewer stocks. Finally, the performance of the investment portfolio constructed by this study is evaluated by calculating the excess yield, Jason index, Sharp index and information ratio. The results of this study show that the performance of the indexed portfolio is not greatly affected by the change in transaction costs; although the complete replication method is the most effective exponential tracking method in theory, Due to the special situation in China, optimizing replication is the most suitable method for China's exponential investment.
【學位授予單位】：西北農(nóng)林科技大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51

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