【作者】 苏民；

【导师】 逯宇铎；

【作者基本信息】 大连理工大学 ， 经济系统分析与管理， 2012， 博士

【摘要】 资产配置是证券投资基金面临的重要问题,也是一个复杂过程和系统工程。在面对复杂多变的金融市场和品种繁多的金融资产时,杰出的资产配置能力对于基金取得优异业绩至关重要。本文在借鉴国内外最新资产配置研究成果的基础上,以中国股市和债场作为基金的主要资产投资对象,从战略和战术两个层次,对我国证券投资基金的大类资产配置、股票行业配置、股票风格配置和固定收益类证券配置进行了理论和实证研究。对战略性资产配置的研究,本文从经济周期的大背景和框架下来进行。宏观经济分析是资产配置的一个首要环节,是判断整个证券市场投资价值的基础,资产配置必须置于经济周期的大背景和框架下,才能从中长期的角度,获得战略性收益。本文在对以往从经济周期角度配置资产的理论和文献梳理和研究的基础上,提出了一个新的配置资产方式,即对经济周期进一步细化,将资产配置分为经典经济周期配置和非经典经济周期配置两种方式。本文尝试从非经典周期资产配置的角度,在方式上对传统资产配置方式做出修正和补充,将经典周期阶段做了重新安排,把滞胀剔除出第四阶段,而又建立一个新的非典型的经济周期配置模型把滞胀纳入。这样,扩展了其应用范围,使之更完整和适用。对战术性资产配置策略的研究,本文从股票的行业配置和风格配置以及固定收益证券配置策略的层面进一步展开。(1)风格投资是现代投资组合理论研究的一个重要分支。本文在对既有文献研究的基础上,提出一个清晰的风格管理体系。该体系不仅理论逻辑层次清晰,而且可以量化操作。从定性的角度,本文按照投资者积极度分为消极风格管理、静态风格管理和动态风格管理。静态风格策略是一种相对稳定的策略,其收益和风险都相对较低,而动态是比静态更为积极的风格管理方式,虽然可能带来种更高的收益率,但也伴随更高的风险——择时和选股(选择不同风格)风险。从实证的角度,本文选择价值股和成长股、大盘股和小盘股进行比较,发现价值股和成长股之间没有明显差距,但大小盘在样本期间存在明显的收益差距。进一步,针对我国股市近几年大小盘收益差距这一热点现象,本文从静态与动态的角度出发来进行,设计了一个超越指数SI,通过计算SI的取值和分布情况,来设定大小盘不同的风格管理策略。当SI=0,不必进行风格管理；当SI为同号,执行静态风格管理,即风格固定策略；当SI为异号,且取正负值的频率比较接近、期望值较小、方差较大、连续性较强的情况下,执行动态策略,即大小盘风格轮动策略。(2)行业配置是资产配置的一个重要环节,并且行业效应大于风格效应。行业分析方法很多,可以从行业的基本面分析,也可以从市场面分析的。本文从组合的角度来测度了申万22个行业的收益率、风险和行业间的相关性。行业轮动是一种积极策略,也是近几年国内外研究的一个热点。本文从经济周期和货币周期两个角度探讨了行业轮动的规律,认为在经济扩张期,可以超配有色、能源、化工板块；在紧缩时期,可以超配食品饮料、医药板块。同时认为所有的行业轮动现象只是特定经济环境下的一种现象,而不能认为是不变的。国内许多机构和学者得出的行业轮动规律,只是经验性的结论,这些结论依赖于他们划分经济周期的不同方式,当依据不同标准,极有可能会划出不同的周期阶段。某个行业轮动规律只是特定历史时期的规律。从长期来看,行业的兴衰、替代是必然现象。所以,对行业轮动规律的接受,必须要有阶段性,并注意相关条件是否改变。(3)固定收益类证券是基金可选资产中的一个重要类别,具有股票等资产不可替代的优势。配置好固定收益证券对于提高基金的安全性、流动性和收益性具有重要意义。本文认为固定收益类证券资产配置策略主要分为消极型、半积极型和积极型三大类型。消极型战略认为证券市场价格已经反映所有的信息,因此任何积极的投资活动无助于投资绩效的提高,主要策略有买入持有策略、指数化策略、现金流匹配策略等。积极型债券资产配置策略则是通过准确的分析和判断,进行积极管理,其目的是为了获取超额利润,主要有利率预期、收益率曲线、信用分析、估价分析和债券互换策略。半积极型资产配置策略则是介于积极和消极两者之间,是在有效防范风险的前提下,确保债券投资组合获取一定的投资收益,或有免疫是一种兼有积极型与保守型的综合策略。目前,国际基金业方兴未艾,许多机构和研究者对这个领域不断探索,相关科研成果不断涌现。国内外对资产配置理论和模型的重视,是源于投资实践的需要。因为资产配置的优劣,直接决定了投资收益的高低,而没有投资者不愿意多赢利。将来,随着我国资本市场的不断完善和金融工具的不断创新,一定会有更多、更高水平的有关基金资产配置的理论和技术出现。更多还原

【Abstract】 Asset allocation is a very complex process and systematic project for securities investment funds. In the face of volatile financial markets and many varieties of financial assets, the ability to allocate assets is very critical to achieve excellent performance. From two levels of strategy and tactics, this paper conducted a theoretical and empirical research on the major categories of asset allocation, stock-industry allocation, stock-style configuration and fixed income securities configuration. All these studies based on the latest international and domestic asset allocation research and this paper chose Chinese stock and bond market as the main assets of the Fund’s investment targets.This paper studies the strategic asset allocation in the framework of the business cycle. Macroeconomic analysis is the first step in asset allocation, and it is basic to judge the value of the stock market. Investors should allocate assets on the background of the business cycle, and then they can gain strategic benefits on the long run. Based on sorting out the previous literature, this paper presented a new way of asset allocation from the perspective of the business cycle. The way is to divide the business cycle into sub-types. From the non-classic business cycle point of view, this paper attempts to do a re-arrangement to amend and enlarge the classical cycle stages. This process is to remove stagflation from the fourth stage of business cycle, and then to establish a new non-classic model to include it. In this way, this paper expands its range of applications, making it perfect and applicable.This paper studies the tactical asset allocation from the ways of sector allocation, style allocation and fixed income securities strategy.Style investing is an important branch of modern portfolio theory. This paper put forward a clear style management framework, which had a clear logic and can quantify to operate. According to investors’active degree, this paper divides style strategies into three kinds: passive, static and dynamic. Static style strategy is a relatively stable strategy and its benefits and risks are relatively low. This paper first chose value and growth stocks to compare, then chose large and small cap stocks. From the empirical point of view, this compare found no significant difference between the value and growth stocks, but there is a clear yield gap in large and small cap stocks. In recent years, there is a yield gap in the size of China’s stock market, Further, this paper designs a super index SI from the static and dynamic point of view, and by calculating the value and distribution of SI, and investors can set the different strategies to manage styles. When SI=0, we do not have to carry out style of management. When the SI is the same sign, negative or positive, we should excute the static style of management, namely, style fixed strategy. When the SI is the different sign, the frequency of positive and negative values are very close, less expectations, larger variance and stronger continuity, we should implement the dynamic strategies.Sectors allocation is an important part of asset allocation and industry effect is greater than style effect according to some researchs. There are many ways to analyze industries, including fundamental and market analysis, but this study chose a portfolio perspective to measures the SW22industries rate of return, risk and inter-industry correlatioa Sector rotation strategy is a positive strategy and is a hot spot for domestic and international research in recent years. This paper analyzed the reasons of sector rotation and studied the laws of sector rotation from the two perspectives of business and monetary cycles. Investors should overweight energy, chemical sectors in the period of expansion, but should overweight food and beverage, medical sectors in the period of decession. This paper concludes that the phenomenon of sector rotation is only the law of a particular period, and the industry’s substitution is inevitable in the end. Many domestic institutions and scholars draw some conclusions about sector rotation. These conclusions are only empirical and dependent on their different ways to divide the stages of economic cycle. According to different standards, it is possible to divide different stages of business cycle. Therefore, the law of sector rotation is only the law of a particular historical period and investors should observe whether the relevant conditions change.Fixed-income securities have irreplaceable advantages and are an important optional category in assets allocation. It is very significant to have some percentage of fixed income securities for improving a portfolio’s the safety, liquidity and profitability. This paper divided asset allocation strategy of fixed-income securities into three types:passive, semi-active and active. Passive-type strategy believe stock price already reflects all information, so any positive activities do not help improve investment performance. Such a strategy mainly includs buy and holding strategy, the index strategy and cash flow matching strategies. Positive-type strategy use accurate analysis and judgments to manage assets, mainly including interest rate expectations, the yield curve, credit analysis, valuation analysis and bond swap strategies. Semi-active type is a strategy between the positive and negative and in such one investors want to get certain income under the premise of effective risk aversion. Contingent immunization is an integrated strategy.At present, the international fund industry is in a boom period, and many institutions and researchers continues to explore in this field. With the increasingly sophistication of China’s capital markets and continuous innovation of financial instruments, more and more high-level asset allocation theory and techniques will appear in the future,.更多还原