保本基金投资策略创新研究
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摘要
所谓保本基金,是指在一定的投资期限内,对于投资者所投资的本金提供一定比例保证的基金。保本基金在运作过程中通常采用投资组合保险策略来达到保本的目的。投资组合保险策略产生于80年代的美国,主要包括两种类型：基于期权的组合保险策略(OBPI)和动态调整策略,其中固定比例投资组合保险策略(CPPI)由于具有灵活、实用等特点而受到高度关注,并在实践中被广泛应用。
本文首先介绍了保本基金在国内外的发展情况；接下来从保本基金投资策略的理论基础——组合保险策略出发,对各种组合保险策略的原理进行详细的阐述,并对各种组合保险策略的特点进行了归纳与比较；然后应用历史数据,对保本基金应用最广的CPPI策略进行实证模拟,在此基础上,结合国内市场的实际情况,对其进行优化创新；最后,对本文的研究结论进行了阐述,并对保本基金在我国的未来发展做了展望。
本文的创新之处有三：第一,组合保险策略的比较研究屡见不鲜,但CPPI策略的应用研究却比较少,而且已有的CPPI策略的研究文献的视角主要集中在CPPI策略的实证效果。而本文把CPPI策略的参数选择作为研究的出发点,力求做到全面和细化；第二,已有的对CPPI策略的实证研究大都选取一个完整保本周期内的历史数据作为研究样本,忽略了极端的市场状态。而本文对CPPI策略进行了压力测试,力求更加全面的模拟CPPI策略的效果；第三,已有的对CPPI策略的实证研究基本局限于传统CPPI策略的框架内,本文对传统CPPI策略进行了全面的优化创新,从三个维度给出了具有极强可操作性的优化创新方案,并对优化后的CPPI策略进行了实证模拟。
Principal Guaranteed Fund is a kind of fund that provides proportional guarantee in terms of the principal investor has entrusted in a scheduled investment period. Principal Guaranteed Fund achieves investment objectives based on the Portfolio Insurance Strategy. Portfolio Insurance Strategy was introduced in US in 1980s, it can be classified into two categories:Option Based Portfolio Insurance(OBPI, for short)and Dynamic Adjustment Strategy. Among all the strategies, CPPI(Constant Proportion Portfolio Insurance)strategy attracted more attention and well applied in many fields due to its advantages as flexibility and practicality.
This paper introduces the development condition of Principal Guaranteed Fund in China and in overseas, describes the theoretical basis of Principal Guaranteed Fund——Portfolio Insurance Strategy. Then the paper does empirical research on Constant Proportion Portfolio Insurance strategy with historical data and optimizes the traditional CPPI strategy, taking the actual situation of the domestic market into account. Finally, the paper concludes the research, and looks ahead of the development of Principal Guaranteed Fund in China.
There are three innovations of this paper:First, there are much comparative study on CPPI strategy and little applied research on CPPI strategy.This paper concentrates on parameter selection and takes it as starting point of research; Second, previous research neglects the extreme condition of market. This paper carries stress test on CPPI strategy; Third, previous research is limited with the traditional CPPI strategy.This paper optimizes the traditional CPPI strategy, taking the actual situation of the domestic market into account, and simulates the optimized CPPI strategy.
本文首先介绍了保本基金在国内外的发展情况；接下来从保本基金投资策略的理论基础——组合保险策略出发,对各种组合保险策略的原理进行详细的阐述,并对各种组合保险策略的特点进行了归纳与比较；然后应用历史数据,对保本基金应用最广的CPPI策略进行实证模拟,在此基础上,结合国内市场的实际情况,对其进行优化创新；最后,对本文的研究结论进行了阐述,并对保本基金在我国的未来发展做了展望。
本文的创新之处有三：第一,组合保险策略的比较研究屡见不鲜,但CPPI策略的应用研究却比较少,而且已有的CPPI策略的研究文献的视角主要集中在CPPI策略的实证效果。而本文把CPPI策略的参数选择作为研究的出发点,力求做到全面和细化；第二,已有的对CPPI策略的实证研究大都选取一个完整保本周期内的历史数据作为研究样本,忽略了极端的市场状态。而本文对CPPI策略进行了压力测试,力求更加全面的模拟CPPI策略的效果；第三,已有的对CPPI策略的实证研究基本局限于传统CPPI策略的框架内,本文对传统CPPI策略进行了全面的优化创新,从三个维度给出了具有极强可操作性的优化创新方案,并对优化后的CPPI策略进行了实证模拟。
Principal Guaranteed Fund is a kind of fund that provides proportional guarantee in terms of the principal investor has entrusted in a scheduled investment period. Principal Guaranteed Fund achieves investment objectives based on the Portfolio Insurance Strategy. Portfolio Insurance Strategy was introduced in US in 1980s, it can be classified into two categories:Option Based Portfolio Insurance(OBPI, for short)and Dynamic Adjustment Strategy. Among all the strategies, CPPI(Constant Proportion Portfolio Insurance)strategy attracted more attention and well applied in many fields due to its advantages as flexibility and practicality.
This paper introduces the development condition of Principal Guaranteed Fund in China and in overseas, describes the theoretical basis of Principal Guaranteed Fund——Portfolio Insurance Strategy. Then the paper does empirical research on Constant Proportion Portfolio Insurance strategy with historical data and optimizes the traditional CPPI strategy, taking the actual situation of the domestic market into account. Finally, the paper concludes the research, and looks ahead of the development of Principal Guaranteed Fund in China.
There are three innovations of this paper:First, there are much comparative study on CPPI strategy and little applied research on CPPI strategy.This paper concentrates on parameter selection and takes it as starting point of research; Second, previous research neglects the extreme condition of market. This paper carries stress test on CPPI strategy; Third, previous research is limited with the traditional CPPI strategy.This paper optimizes the traditional CPPI strategy, taking the actual situation of the domestic market into account, and simulates the optimized CPPI strategy.
引文
①Garcia C. B. and Gould F J. A Note on the Measurement of Risk in a Portfolio[J].Financial Analysts Journal, March-April 1987, P 61-69.
②杨戈.国内外保本产品现状与研究[R].华泰联合证券.2010.3-7.
③邱小平.保本型投资策略研究：在风险可控的前提下追求收益的最大化[R].浙商证券.2009.9-10.
④杨戈.保本技术的归纳、对比与分析[R].华泰联合证券.2010.4-8.
⑤孙浩中.固定比例组合保险策略研究[D].复旦大学.2007.14-15.
⑥苏昌景.CPPI保本技术的运作机制及优化技术简介[R].国都证券.2009.6-8.
⑦谭智平.保本基金设计原理和实证分析[R].申银万国证券研究所.2003.3-7.
⑧海富通收益增长证券投资基金更新招募说明书.海富通基金管理有限公司,2010(1):67-85
⑨彭艳.蒋瑛琨.吴天宇.借鉴海外市场探讨我国基金业参与金融衍生品的投资模式——股指期货系列报告之四[R].国泰君安证券.2006.6-18.
⑩王红兵.股指期货全攻略(第2版)——套利、套保与产品设计[R].华泰联合证券.2010.4-5.
11李祖景.投资组合保险理论以及CPPI策略的数值分析[D].厦门大学.2008.26-27.
[1]Bertrand, P. and J. L. Prigent. Portfolio Insurance:the extreme value approach to the CPPI method[J]. Finance 23(2).69-86.
[2]Perold, Andre. William F. Shatpe. Dynamic Strategies for Asset Allocation[J]. Financial Analysts Journal. Jan-Feb 1988.16-26.
[3]Rubinstein. Mark. Hayne E. Leland. Replicating Options with Positions in Stock and Cash[J]. Financial Analysts Journal. July-August 1981.3-7.
[4]Black F.. M. Scholes(1973). The Pricing of Options and Corporate Liabilities. The Journal of Political Economy.81(3):3-5.
[5]Black. Fischer. Robert Jones. Simplifying Portfolio Insurance. Journal of Portfolio Management.1987.4-12.
[6]Philippe BERTRAND. Jean-luc PRIGENT. Portfolio Insurance Strategies:OBPI versus CPPI. GREQAMet Universite Montpellierl. THEMA. Universite de Cergy.
[7]Estep, Tony and Mark Kritzman. TIPP:Insurance Without Complexity[J]. Journal of
Portfolio Management,Summer 1988, p38-42.
[8]Clarke. Roger G. Robert D. Arnott. The Cost of Portfolio Insurance:Tradeoffs and Choices. Financial Analysts Journal.1987.3-7.
[9]Merton. R. C.. The Relationship Between Put and Call Option Prices:Comment. Journal of Finance.1973(28):13-18.
[10]Bookstaber, R. and R. Clarke(1985). Problems in Evaluating the Performance of Portfolios with Options. Financial Analysts Journal 41(1):48-62.
[11]Leland. Who should Buy Portfolio Insurance[J]. Journal of Finance, Vol.35, No.2.
[12]Zhu, Yu and Robert C.Kavee. Performance of Portfolios Insurance Strategies[J]. Journal of Portfolio Management. Spring 1988. P 48-54.
[13]Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica 50(4):987-1007.
[14]Choie. Kenneth S. and Eric J. Seff. TIPP:Insurance Without Complexity:Comment[J].
Journal of Portfolio Management, Fall 1989, P 107-108.
[15]Garcia C. B. and Gould F J. A Note on the Measurement of Risk in a Portfolio[J]. Financial Analysts Journal, March-April 1987, P 61-69.
[16]刘懋楠.组合保险策略之整合——台湾股票市场之实证研究[D].台湾大学商学研究所.
[17]彭永江.投资组合保险理论数值分析和实证检验[D].北京：清华大学.2005
[18]陈晔.保本基金的投资策略及中国市场应用可行性初探[D].复旦大学.2004.7-9.
[19]孙浩中.固定比例组合保险策略研究[D].复旦大学.2007.14-15.
[20]李祖景.投资组合保险理论以及CPPI策略的数值分析[D].厦门大学.2008.26-27.
[21]赵翠.中国保本基金运行机制研究[D].中国海洋大学.2008.8-26.
[22]苏昌景.CPPI保本技术的运作机制及优化技术简介[R].国都证券.2009.6-8.
[23]邱小平.保本型投资策略研究：在风险可控的前提下追求收益的最大化[R].浙商证券.2009.9-10.
[24]谭智平.保本基金设计原理和实证分析[R].中银万国证券研究所.2003.3-7.
[25]彭艳.蒋瑛琨.吴天宇.借鉴海外市场探讨我国基金业参与金融衍生品的投资模
式——股指期货系列报告之四[R].国泰君安证券.2006.6-18.
[26]王红兵.股指期货全攻略(第2版)——套利、套保与产品设计[R].华泰联合证券.2010.4-5.
[27]赵华楠.保本基金的资产配置研究[D].大连理工大学.2004.3-16.
[28]夏保强.细说保本基金[J].大众理财.2010(9)：1-14.
[29]王涛.新规后再看保本基金[J].大众理财.2011(1)：1-2.
[30]杨戈.保本技术的归纳、对比与分析[R].华泰联合证券.2010.4-8.
[31]杨戈.国内外保本产品现状与研究[R].华泰联合证券.2010.3-7.
[32]许溪南.赖弥焕.权变投资组合保险在台湾股市之应用[N].风险管理学报.2000(11)： 8-11,
[33]张光.周金涛.马静如.张小强.保本基金——海外市场成熟品种[N].中国证券报.2003.8-9.
[34]约翰赫尔.期权、期货和其他衍生金融工具(第三版)[M].北京：华夏出版社.1999.264-325.
[35]巴曙松.寻求保本基金发展的中国道路[N].中国经济时报.2003.4-5.
②杨戈.国内外保本产品现状与研究[R].华泰联合证券.2010.3-7.
③邱小平.保本型投资策略研究：在风险可控的前提下追求收益的最大化[R].浙商证券.2009.9-10.
④杨戈.保本技术的归纳、对比与分析[R].华泰联合证券.2010.4-8.
⑤孙浩中.固定比例组合保险策略研究[D].复旦大学.2007.14-15.
⑥苏昌景.CPPI保本技术的运作机制及优化技术简介[R].国都证券.2009.6-8.
⑦谭智平.保本基金设计原理和实证分析[R].申银万国证券研究所.2003.3-7.
⑧海富通收益增长证券投资基金更新招募说明书.海富通基金管理有限公司,2010(1):67-85
⑨彭艳.蒋瑛琨.吴天宇.借鉴海外市场探讨我国基金业参与金融衍生品的投资模式——股指期货系列报告之四[R].国泰君安证券.2006.6-18.
⑩王红兵.股指期货全攻略(第2版)——套利、套保与产品设计[R].华泰联合证券.2010.4-5.
11李祖景.投资组合保险理论以及CPPI策略的数值分析[D].厦门大学.2008.26-27.
[1]Bertrand, P. and J. L. Prigent. Portfolio Insurance:the extreme value approach to the CPPI method[J]. Finance 23(2).69-86.
[2]Perold, Andre. William F. Shatpe. Dynamic Strategies for Asset Allocation[J]. Financial Analysts Journal. Jan-Feb 1988.16-26.
[3]Rubinstein. Mark. Hayne E. Leland. Replicating Options with Positions in Stock and Cash[J]. Financial Analysts Journal. July-August 1981.3-7.
[4]Black F.. M. Scholes(1973). The Pricing of Options and Corporate Liabilities. The Journal of Political Economy.81(3):3-5.
[5]Black. Fischer. Robert Jones. Simplifying Portfolio Insurance. Journal of Portfolio Management.1987.4-12.
[6]Philippe BERTRAND. Jean-luc PRIGENT. Portfolio Insurance Strategies:OBPI versus CPPI. GREQAMet Universite Montpellierl. THEMA. Universite de Cergy.
[7]Estep, Tony and Mark Kritzman. TIPP:Insurance Without Complexity[J]. Journal of
Portfolio Management,Summer 1988, p38-42.
[8]Clarke. Roger G. Robert D. Arnott. The Cost of Portfolio Insurance:Tradeoffs and Choices. Financial Analysts Journal.1987.3-7.
[9]Merton. R. C.. The Relationship Between Put and Call Option Prices:Comment. Journal of Finance.1973(28):13-18.
[10]Bookstaber, R. and R. Clarke(1985). Problems in Evaluating the Performance of Portfolios with Options. Financial Analysts Journal 41(1):48-62.
[11]Leland. Who should Buy Portfolio Insurance[J]. Journal of Finance, Vol.35, No.2.
[12]Zhu, Yu and Robert C.Kavee. Performance of Portfolios Insurance Strategies[J]. Journal of Portfolio Management. Spring 1988. P 48-54.
[13]Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica 50(4):987-1007.
[14]Choie. Kenneth S. and Eric J. Seff. TIPP:Insurance Without Complexity:Comment[J].
Journal of Portfolio Management, Fall 1989, P 107-108.
[15]Garcia C. B. and Gould F J. A Note on the Measurement of Risk in a Portfolio[J]. Financial Analysts Journal, March-April 1987, P 61-69.
[16]刘懋楠.组合保险策略之整合——台湾股票市场之实证研究[D].台湾大学商学研究所.
[17]彭永江.投资组合保险理论数值分析和实证检验[D].北京：清华大学.2005
[18]陈晔.保本基金的投资策略及中国市场应用可行性初探[D].复旦大学.2004.7-9.
[19]孙浩中.固定比例组合保险策略研究[D].复旦大学.2007.14-15.
[20]李祖景.投资组合保险理论以及CPPI策略的数值分析[D].厦门大学.2008.26-27.
[21]赵翠.中国保本基金运行机制研究[D].中国海洋大学.2008.8-26.
[22]苏昌景.CPPI保本技术的运作机制及优化技术简介[R].国都证券.2009.6-8.
[23]邱小平.保本型投资策略研究：在风险可控的前提下追求收益的最大化[R].浙商证券.2009.9-10.
[24]谭智平.保本基金设计原理和实证分析[R].中银万国证券研究所.2003.3-7.
[25]彭艳.蒋瑛琨.吴天宇.借鉴海外市场探讨我国基金业参与金融衍生品的投资模
式——股指期货系列报告之四[R].国泰君安证券.2006.6-18.
[26]王红兵.股指期货全攻略(第2版)——套利、套保与产品设计[R].华泰联合证券.2010.4-5.
[27]赵华楠.保本基金的资产配置研究[D].大连理工大学.2004.3-16.
[28]夏保强.细说保本基金[J].大众理财.2010(9)：1-14.
[29]王涛.新规后再看保本基金[J].大众理财.2011(1)：1-2.
[30]杨戈.保本技术的归纳、对比与分析[R].华泰联合证券.2010.4-8.
[31]杨戈.国内外保本产品现状与研究[R].华泰联合证券.2010.3-7.
[32]许溪南.赖弥焕.权变投资组合保险在台湾股市之应用[N].风险管理学报.2000(11)： 8-11,
[33]张光.周金涛.马静如.张小强.保本基金——海外市场成熟品种[N].中国证券报.2003.8-9.
[34]约翰赫尔.期权、期货和其他衍生金融工具(第三版)[M].北京：华夏出版社.1999.264-325.
[35]巴曙松.寻求保本基金发展的中国道路[N].中国经济时报.2003.4-5.