摘要
私募基金作为金融市场的重要补充，近十年来发展的极为迅速。截止到2018年末，已备案私募基金74642只，管理基金规模达12.78万亿元。量化私募基金作为其中一员，规模亦飞速扩张，尤其是三大股指期货的先后推出，使量化私募基金的发展达到了一个高峰。但好景不长，2015年中期国内的金融市场发生了剧烈波动，千股跌停频繁发生，股指期货受到十分严苛的政策限制，量化私募基金的发展大为受限。虽然随着中国金融市场的逐渐成熟，中金所已连续三次对股指期货松绑，但限制依然较大。除此之外，私募监管政策的连续颁布对私募基金行业也产生了重大的影响。在当前环境下，量化私募基金的表现究竟如何不得而知，本文便对此进行探究。 本文选取了在2015年12月31日前成立且目前仍然存续的全部61只采用股票策略的量化私募基金作为样本进行分析。单指标分析结果显示量化私募基金在市场下行时并不能帮助投资者取得理想收益；H-M模型和T-M模型的回归结果表明我国大部分量化私募基金经理都不具备选股能力和择时能力，分阶段研究得出量化私募基金在市场上升时比市场下跌时有着更好的选股能力，但在市场下跌时有更好的择时能力；使用横截面回归法进行业绩持续性分析得出我国的量化私募基金的业绩持续性较弱。 为了对不同类型的私募基金做横向对比，本文抽取50只量化私募基金和50只普通私募基金使用因子分析进行打分排序做对比研究。另外，由于私募基金的基数庞大，为避免误差，本文多次随机抽取普通私募基金重复进行因子分析，结果累加。实证表明量化私募基金的表现优于普通私募基金。
关键词：私募基金；量化；选股择时；业绩持续性；因子分析
Abstract
Private funds developed extremely rapidly. By the end of 2018, 74,642 private funds had been filed, and the scale of the fund reached 12.78 trillion yuan. The scale of quantitative private funds has also expanded rapidly. However, in the mid-2015, the domestic financial market experienced violent fluctuations. The stock index futures were subject to very strict policy restrictions, and the development of quantitative private funds was limited. CICC has loosened stock index futures for three times, but the restrictions are still large. In the current situation, it is not known how quantitative the performance of private funds is. This article explores this.
This paper selects all 61 quantitative private funds that were established before December 31, 2015 and are still in existence as a sample for analysis. The results of Individual indicators analysis show that the quantitative private fund can not help investors to achieve the ideal return when the market declines. The regression results of H-M model and T-M model indicate that most of the quantitative private managers in China do not have the ability to select stocks and timing. In stages,The study concluded that the quantitative private fund has a better stock picking ability when the market rises,
and has better timing ability when the market declines. Using cross-sectional regression analysis, it is concluded that China's quantitative private funds have no good performance.
In order to make a horizontal comparison of different types of private funds, this paper draws 50 quantitative private funds and 50 ordinary private funds using factor analysis to score and compare. In addition, in order to avoid errors, the paper randomly selected ordinary private funds to repeat the factor analysis, and the results were cumulative. The results shows that the performance of quantitative private funds is better than ordinary private funds.
Key words: Quantification;Private Fund; Stock Selection and Timing Capacity; Performance Sustainability;Factor Analysis
目录
摘要 ................................................................... I Abstract ............................................................... II 目录 ................................................................ III 图表索引 ............................................................... VI 1 绪论 (1)
1.1选题背景和研究意义 (1)
1.1.1选题背景 (1)
1.1.2 研究意义 (3)
1.2 文献综述 (4)
1.2.1 基金业绩评价文献综述 (4)
1.2.2 基金选股择时能力文献综述 (5)
1.2.3 基金业绩持续性文献综述 (6)
1.2.4 文献述评 (7)
1.3 研究方法 (8)
1.4 研究思路 (8)
1.5 创新与不足 (10)
2 理论基础 (11)
台湾当局
2.1 量化私募基金的概念 (11)
2.1.1 量化投资策略 (11)
2.1.2 量化投资的优势和局限性 (12)
2.2 基金业绩的评价体系 (13)
2.2.1 不考虑风险的业绩评价指标 (14)
2.2.2 考虑风险的业绩评价指标 (15)
2.2.3 基金经理选股能力和择时能力评价 (16)
2.2.4 基金业绩持续性评价 (18)
2.3 基金经理个人特征理论 (19)
3 量化私募基金绩效分析 (21)
3.1 样本与数据说明 (21)
3.1.1 样本选取 (21)
3.1.2 市场收益率与无风险收益率的选择 (22)
3.1.3 数据来源和实证方法 (22)
3.2 实证分析 (22)
3.2.1 单指标计算结果及分析 (22)
3.2.2 选股择时能力实证分析 (24)
3.2.3 基金业绩持续性实证分析 (35)
3.3 本章小结 (37)
4 量化私募基金和普通私募基金对比分析 (38)
4.1 样本、指标与数据选取 (38)
4.1.1 样本选取 (38)
4.1.2 指标及数据来源 (38)
4.1.3 评价期间选取 (38)中国职业经理人认证
4.2 因子分析实证研究 (39)唐家寺的雨伞
4.2.1 数据检验 (39)
4.2.2 因子分析 (39)
4.3 本章小结 (47)
5 对实证结果的解释与验证 (48)
5.1 实证结果的解释 (48)
5.2 验证一：量化私募基金的收益随股市波动 (48)
盈余管理5.3 验证二：量化私募基金业绩和基金经理的关系 (49)
sci数据库5.3.1 模型构建 (49)
5.3.2 数据来源 (50)
5.3.3 结果分析 (50)
6 总结 (52)
6.1 结论 (52)
6.2 政策建议 (52)
参考文献 (54)
横山大刀队
致谢 (57)
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