【作者】 胡剑；

【导师】 戴志敏；

【作者基本信息】 浙江大学 ， 政治经济学， 2003， 硕士

【摘要】 目前，证券投资基金业正以野火燎原之势蓬勃发展。作为最重要的机构投资者，证券投资基金的投资策略日益受到人们的关注。在竞争激烈的投资市场中，基金的投资业绩关系到基金生存与发展，而基金管理公司的投资策略则是决定证券投资基金业绩的关键因素。 本文对证券投资基金的投资策略以及各种策略的投资业绩进行了研究和评价，并分析了中国证券投资基金近年来的策略演变过程及今后的发展方向。首先，文章分别就证券投资基金在资产配置、股票组合管理和债券组合管理中所采取的策略进行了介绍，并对各种策略的适用性进行了评价。其次，按照基金对市场有效性的认识和投资目标的不同对基金的投资策略和风格进行了分类，并说明了策略和风格对于基金投资业绩具有相当重要的影响。第三，结合我国证券投资基金的发展史，对我国证券投资基金的投资策略和理念的变迁进行了考察，并从定性的角度对我国基金的投资策略和理念进行了评价。分析表明，经过2001年下半年以来的大调整，基金原先采用的积极进取型的投资策略受到市场的严重打击，注重公司基本面分析的价值型投资策略逐渐受到重视。最后，在对不同策略基金进行分类的基础上，从定量的角度，采用数据包络分析方法(Data Envelopment Analysis，DEA)对不同策略基金在2002年的投资业绩进行了评价。研究发现，价值型基金和优化指数型基金的表现较好，而成长型基金的表现较差。充分说明了稳健、理性投资策略的回归。更多还原

【Abstract】 In our country, security investment funds (SIFs) sprout up in recent years. As the most important institutional investors, Investment strategies of SIFs increasingly receive people’s attention. In the intensely competitive investment market, the performance of SIFs concerns funds’ survival and development, and the investment strategies of fund management companies are the decisive factor to the fund performance.Investment strategies of SIFs and performance of funds with various strategies are studied and valuated in this paper. The evolvement of strategies of SIFs in recent years and their future development trend is also analyzed. Introduction of strategies of SIFs applied in assets allocation, stock portfolio management and bond portfolio management is presented firstly and the feasibility of each kind of strategy is evaluated. Secondly, the strategies and styles of investment of SIFs are classified according to the difference of investment goal and understanding of the validity of market. The influence of these strategies and styles on the performance of funds is highlighted. Thirdly, based on the developing history of SIFs in China, the change of strategies and ideas of investment of SIFs is investigated. And the strategies and ideas of investment are evaluated from a qualitative angle. The analysis indicates that positive and aggressive investment strategy formerly adopted by funds received a serious hit from market from the large-scale adjustment in the second half year of 2001. Value investment that emphasizes analysis of companies’ basic situation is gradually valued. Lastly, based on the classification of funds adopting different strategies, the performance of funds with different strategies in 2002 is evaluated by Data Envelopment Analysis (DEA) from a quantitative angle. The study shows that value funds and optimized index funds perform better, while growth fund perform worse, which fully explains the return of steady and rational investment strategy.更多还原