证券投资基金资产配置及其绩效研究

华中科技大学博士学位论文证券投资基金资产配置及其绩效研究姓名：蒋晓全申请学位级别：博士专业：西方经济学指导教师：张宗成20060507I20032004——“”“”“”“————”IIB-SCPPI6998TIPPTIPP(290%),1802172.85IIIAbstractTheassetallocationofsecurityinvestmentfundistheprocessthatthefundmanagersdecideonhowtoallocatefundamongvariousassetclass.Foreignexpertsmadesuchconclusionthatassetallocationplaysacriticalimportantroletothefundperformance.Oursecurityinvestmentfunddidnotpaymoreattentiontoassetallocationuntil2003.Ouropen-endfundshaveoftenbeensubjectedtothestormofredemption,itisveryurgentandimportanttocontrolliquidityriskthroughassetallocation.Themostimportant,thereisagreatdisagreementamongourfundsthatthesourceoffundperformanceissecurityselectionortiming,thatistosay,whetheritisnecessarytocarryoutassetallocation.Thereforethisarticlefocusonthestudyaboutassetallocationofsecurityinvestmentfund,whichishelpfulforfundstorealizetheimportanceofassetallocationtoperformance,whichishelpfulforfundstoadoptvariousassetallocationstrategiesinordertocontrolriskandimproveperformance.Thisarticleisbasedonthecombinationoftheoreticalstudyandempiricalstudy,thesynthesisofqualitativeanalysisandquantitativeanalysis.Theauthorreferstoagreatdealofliteratureaboutassetallocationtheoryandstrategy,andputthemintopracticeinourfundmarket.Themaininnovationsarelistedasfollows:firstofall,thestudyonhowtogetsolutionandestablishtheoptimalcash-allocationproportionandtheoptimalassetallocationproportioninordertocontrolliquidityrisk.Secondly,thepositivestudyonthedynamicassetallocationstrategytoourfund.Third,thestudyontheimportanceofassetallocationtofundperformanceonthebasisoftimeseries,sectionalseriesandpaneldata.Abriefintroductionofthemainassetallocationstrategiesofsecurityinvestmentfund,includingstrategicandtacticalassetallocation,insuranceassetallocation,dynamicandstaticassetallocation,investmentstyleassetallocation,economycycleassetallocationetal.Ouropen-endfundscantakeadvantageofcashtodealwithsmallredemptionshockonthebasisoftherandommanagementmodelaboutoptimalcashallocation.Ontheotherhand,Ouropen-endfundsalsocanmakeuseofwellliquidbondsandstockstodealwithgreatredemptionshockonthebasisofthemostoptimalassetallocationproportionbetweenriskyassetandrisk-freeassetaccordingtomutualfundinvestorstructure,theproportioninvestedintherisk-freeassetisequaltotheexpectednon-withdrawproportionofinvestorwithless-liquiditydemand.Themostfeatureoffixed-incomesecurityassetallocationliesonitsstablecashflow.IVThebondassetallocationcomplieswiththeprinciplefromtotalassetallocationtoassetclassallocation,thentobondselection.Wecanmakeuseofvariousbondassetallocationtorisk-freearbitration.Intermsofconservativeinvestor,therisk-freeassetisinflation-indexedbondinsteadofcashorlong-termminimalbond.Theinsuranceassetallocationisclassifiedintotwokindoftypes,oneistheoption-basedportfolioinsuranceassetallocation,includingprotectiveput,protectivecall,collaroptionandsyntheticputoption,theotheristhedynamicinsuranceassetallocation,includingbuyandholding,constantmix,constantproportionportfolioinsurance,time-invarianceportfolioprotection,stop-loss,modifiedstop-lossandconstantproportionportfolioinsuranceforfixed-incomeinvestment.Thisarticlefocusonempiricalstudyaboutthreekindsofdynamicinsuranceassetallocationwithmarketmovemethod,andconcludethatTIPPisdominanttoCPPIandCM,TIPP(2,90%)isthemostoptimalstrategytoguaranteeportfoliosafetyandgrowthaccordingtoperformance,yieldratedistribution,upsidecapture,sortinoandinformationratio.Itprovidesthefoundationoffinancialinnovationonthenewsafetyproductforoursecurityinvestmentfundandinsurancecompany.Thestudyontheperformanceofassetallocationreferstotheexplanationdegreeofassetallocationtoperformance.Weusefund-datatomakeempiricalstudybasedontheliteratureofforeignfundperformanceanalysismethodsandmakeconclusionasfollowing,(1)policyassetallocationcanexplainabout80percentofthevariabilityinreturnsofatypicalfundsacrosstime,whichshowsthatassetallocationismoreimportantthanactivemanagement.(2)Policyassetallocationcanexplainabout17percentofthevariationofreturnsamongclose-endfundsandonly2.85percentamongopen-endfundsrespectively,whichisinferiortoAmericanmutualfundandpensionfund.Therefore,thevariationofreturnsamongfundsisattributetotheirsecurityselectioninsteadofthevariationoftheirpolicyassetallocation.Keywords:SecurityInvestmentFundAssetAllocationFundPerformanceTime-InvariancePortfolioProtectionStrategyPanelData111.11.1.11“”“”“”“”2123490563122——343535701001.1.219921997“”1987199211——199381998“”19971997“”755845.8“”“”(199820018)“10”199711199820“”“”“”“”“”3201998100107.4199965“”2001933576(200192005)200010820019“”200282003320035——200312——20043120130“”“”“11”“”QFII2005123121851645453834“QFII”1“”2006—“”21.1.319991999“5.19”200162245“”20%80%“”2001“”20016200261“”2001620025“”257555201“”2003“”“”1002003“”“”2003“”“”——“”“”“”A.B.50C.“”“”19199920017“”200460“”“”20042004“”CPPITIPPCPPITIPPOBPIOBPI——“8”20042005“”1.1.42080201984Brinson,HoodBeebower1986“”93.6;Brinson,SigerBeebower1991Ibboston,Roger,Kaplan20004090100200391.21.2.12050——19581997“”CampellViceria(1999,20