证券投资基金投资策略及其评价研究
|
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。
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.
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。
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.
引文
[1]林国正．投资决策分析．第1版．上海：华东理工大学出版社，1998
[2]戴维·得瑞曼．逆向投资策略(中译本)．第1版．广东：海天出版社，2001
[3]涂人猛、彭志刚．股市投资理念．第1版．北京：知识出版社，2000
[4]江波、汪雷．对我国各投资基金经营业绩和投资风格的实证分析．财贸研究．2002；4：104-107
[5]史代敏．我国证券投资基金投资业绩的实证分析．管理现代化．2000；4：52-55
[6]许占涛．投资基金论．第1版．北京：经济科学出版社．1998
[7]Murthi, B.ES, Choi, Y.K, Desai, P.. Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach. European Journal of Operational Research. 1997; 98:408-418
[8]盛昭瀚、朱乔、吴广谋．DEA理论、方法与应用．第1版．北京：科学出版社，1996
[9]Bosso, A., Funari, S.. A data envelopment analysis approach to measure the mutual fund performance. European Journal of Operational Research. 2001; 135: 477-492
[10]Bosso, A., Funari, S.. A generalized performance attribution technique for mutual funds. University of Venice Working Paper. 2001
[11]陈刚、李光金．证券投资基金相对投资绩效评价．四川大学学报(哲学社会科学版)．2001；32-37
[12]马利军、伍建、程希骏．基于DEA方法的投资基金业绩评价．价值工程．2003；4： 63-65
[13]买忆嫒．机构投资者的投资组合管理．中南民族大学学报(人文社会科学版)．2002；22：34-36
[14]Bodie. Z., Kane, A., Marcus, A.J.. 投资学(中译本)．第1版(原书第4版)．北京：机械工业出版社，2000
[15]颜寒松．基金管理公司投资策略．第1版．上海：上海财经大学出版社，2000
[16]刘国光、陈奕标 等．投资基金运作全书．第1版．北京：中国金融出版社，
1996
[17] 李慧军、袁启华．利用红利折现模型分析股票价值及投资时机．技术经济管理与研究．2001；6：53-54
[18] 郝梅瑞 等．基金管理分析模型与实务．第1版．北京：首都经济贸易大学出版社，2003
[19] 刘桂华、吴小蕾．“市盈率”在投资决策中的价值分析．经济师．2002；8：98-99
[20] 邹雨露．如何看待中国证券市场的市盈率．技术经济．2002；5：43-44
[21] 陈良东．托宾的q理论及其经济意义．上海投资．2000；7：19-21
[22] 赵凯．基金组合投资策略——自上而下还是自下而上?．国际贸易问题．2002：9：62
[23] Jaap van der Hart, Slagter,E., Dick van Dijk. Stock selection strategies in emerging markets. Tinbergen Institute Discussion Paper. 2001
[24] 何荣天、毛军．债券基金投资大法．科学投资．2002；7：76-79
[25] 林义相、陈朝阳．基金管理中国债投资组合策略分析．投资与合作．1998；10：10-13
[26] 古学彬、向进．投资基金理论与实务．第1版．广东：暨南大学出版社，1999
[27] 徐志坚、施荣德．投资基金：组织、管理与评估．第1版．江苏：南京大学出版社，1995
[28] Eugene E Fama, Efficeincy capital markets:Ⅱ. The Journal of Finance. 1991; 46: 1575-1617
[29] 刘乃岳、周爱民．证券投资基金与交易．第1版．北京：中国金融出版社，2001
[30] De Bond, Werner EM., Thaler, Richard, Bemstein, Peter L.. Does the stock market overreaetion? The Journal of Finance. 1985; 40: 793-809
[31] De Bond, Wemer EM., Thaler, Richard H.. Further evidence on investor overreaetion and stock market seasonality. The Journal of Finance. 1987; " 42: 557-582
[32] Jegadeesh, Narasimhan.. Evidence of predictable behavior of security returns. The Journal of Finance. 1990; 45: 881-899
[33] Chopra, Navin, Lakonishok, Josef, Ritter, Jay R.. Measuring abnormal performance: Do stocks overreact? Journal of Finance Economics. 1992; 31: 235-269
[34] Lakonishok, Josef, Shleifer, Andrei, Vishny, Robert W.. Contrarian investment, extrapolation, and risk. The Journal of Finance. 1994; 49: 1541-1579
[35] Jegadeesh, N., Titman, S..Return to buying winner and selling losers: Implication for stock market efficiency. The Journal of Finance. 1993; 48: 65-91
[36] Jegadeesh, N., Titman, S.. Profitability of momentum strategies: An evaluation of alternative explanations. The Journal of Finance. 2001; 56: 699-720
[37] 钟小林．比较分析我国指数基金的指数化构造方法．经济师．2003；4：126-127
[38] 王健、方强．封闭式证券投资基金业绩实证分析．武汉理工大学学报(社会科学版)．2002；15：35-39
[39] 王益、刘波．资本市场．第1版．北京：经济科学出版社，2000
[40] 金枝．基金投资与基金管理实务大全．第1版．北京：中国城市出版社，1998
[41] Bruce，C．N．Greenwfld，Paul，D．S，Michael，V．B．．价值投资——从格雷厄姆到巴菲特(中译本)．第1版．北京：机械工业出版社，2002
[42] 王孝德、彭艳．价值投资策略：国际经验与中国实证．国泰君安证券研究所．2002
[43] Eugene F. Fama, Kenneth R. French. Value versus Growth: The International Evidence. University of Chicago Working Paper. 1997
[44] 李颖、陈方正、汤果．风格投资理论研究．经济社会体制比较．2002；5：99-103
[45] 扬朝军．决胜华尔街．第1版．上海：上海人民出版社，2002
[46] Porta, R.L., Lakonishok, J., Shleifer, A., Vishny, R.W.. Good news for value stocks: Further evidence on market efficiency. The Journal of Finance. 1997; 52: 859-874
[47] 朱乔．数据包络分析(DEA)方法综述与展望．系统工程理论方法应用．1994；3(4)：1-9
[48] 魏权龄．评价相对有效性的DEA方法．第1版．北京：中国人们大学出版社．1988
[49] 樊宏．基于DEA模型的我国证券公司评价方法及应用．数量经济技术经济
研究．2002．4：118-121
[50] 王兵、郝炜．DEA资产组合效率指数——DEA方法应用于业绩评估的一个新模型．2003；5月增刊：391—393
[51] 程理民、吴江、张玉林．运筹学模型与方法教程．第1版．北京：清华大学出版社．2000
[52] 丁文桓．冯英浚、康宇虹．基于DEA的投资基金业绩评估．数量经济技术经济研究．2002；3：98-101
[53] 陈刚．证券投资基金业绩评价的非参数方法．统计与信息论坛．2003；2：64-68
[54] 刘月珍、李金昌．中国证券投资基金对股市影响研究．统计研究．2001；11：31-34
[55] 徐涵江．证券投资基金经营业绩评价研究及其实证分析．统计研究．2000；4：28—31
[56] 曹凤岐．关于发展投资基金的战略思考．财贸经济．1999；2：22-27
[2]戴维·得瑞曼．逆向投资策略(中译本)．第1版．广东：海天出版社，2001
[3]涂人猛、彭志刚．股市投资理念．第1版．北京：知识出版社，2000
[4]江波、汪雷．对我国各投资基金经营业绩和投资风格的实证分析．财贸研究．2002；4：104-107
[5]史代敏．我国证券投资基金投资业绩的实证分析．管理现代化．2000；4：52-55
[6]许占涛．投资基金论．第1版．北京：经济科学出版社．1998
[7]Murthi, B.ES, Choi, Y.K, Desai, P.. Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach. European Journal of Operational Research. 1997; 98:408-418
[8]盛昭瀚、朱乔、吴广谋．DEA理论、方法与应用．第1版．北京：科学出版社，1996
[9]Bosso, A., Funari, S.. A data envelopment analysis approach to measure the mutual fund performance. European Journal of Operational Research. 2001; 135: 477-492
[10]Bosso, A., Funari, S.. A generalized performance attribution technique for mutual funds. University of Venice Working Paper. 2001
[11]陈刚、李光金．证券投资基金相对投资绩效评价．四川大学学报(哲学社会科学版)．2001；32-37
[12]马利军、伍建、程希骏．基于DEA方法的投资基金业绩评价．价值工程．2003；4： 63-65
[13]买忆嫒．机构投资者的投资组合管理．中南民族大学学报(人文社会科学版)．2002；22：34-36
[14]Bodie. Z., Kane, A., Marcus, A.J.. 投资学(中译本)．第1版(原书第4版)．北京：机械工业出版社，2000
[15]颜寒松．基金管理公司投资策略．第1版．上海：上海财经大学出版社，2000
[16]刘国光、陈奕标 等．投资基金运作全书．第1版．北京：中国金融出版社，
1996
[17] 李慧军、袁启华．利用红利折现模型分析股票价值及投资时机．技术经济管理与研究．2001；6：53-54
[18] 郝梅瑞 等．基金管理分析模型与实务．第1版．北京：首都经济贸易大学出版社，2003
[19] 刘桂华、吴小蕾．“市盈率”在投资决策中的价值分析．经济师．2002；8：98-99
[20] 邹雨露．如何看待中国证券市场的市盈率．技术经济．2002；5：43-44
[21] 陈良东．托宾的q理论及其经济意义．上海投资．2000；7：19-21
[22] 赵凯．基金组合投资策略——自上而下还是自下而上?．国际贸易问题．2002：9：62
[23] Jaap van der Hart, Slagter,E., Dick van Dijk. Stock selection strategies in emerging markets. Tinbergen Institute Discussion Paper. 2001
[24] 何荣天、毛军．债券基金投资大法．科学投资．2002；7：76-79
[25] 林义相、陈朝阳．基金管理中国债投资组合策略分析．投资与合作．1998；10：10-13
[26] 古学彬、向进．投资基金理论与实务．第1版．广东：暨南大学出版社，1999
[27] 徐志坚、施荣德．投资基金：组织、管理与评估．第1版．江苏：南京大学出版社，1995
[28] Eugene E Fama, Efficeincy capital markets:Ⅱ. The Journal of Finance. 1991; 46: 1575-1617
[29] 刘乃岳、周爱民．证券投资基金与交易．第1版．北京：中国金融出版社，2001
[30] De Bond, Werner EM., Thaler, Richard, Bemstein, Peter L.. Does the stock market overreaetion? The Journal of Finance. 1985; 40: 793-809
[31] De Bond, Wemer EM., Thaler, Richard H.. Further evidence on investor overreaetion and stock market seasonality. The Journal of Finance. 1987; " 42: 557-582
[32] Jegadeesh, Narasimhan.. Evidence of predictable behavior of security returns. The Journal of Finance. 1990; 45: 881-899
[33] Chopra, Navin, Lakonishok, Josef, Ritter, Jay R.. Measuring abnormal performance: Do stocks overreact? Journal of Finance Economics. 1992; 31: 235-269
[34] Lakonishok, Josef, Shleifer, Andrei, Vishny, Robert W.. Contrarian investment, extrapolation, and risk. The Journal of Finance. 1994; 49: 1541-1579
[35] Jegadeesh, N., Titman, S..Return to buying winner and selling losers: Implication for stock market efficiency. The Journal of Finance. 1993; 48: 65-91
[36] Jegadeesh, N., Titman, S.. Profitability of momentum strategies: An evaluation of alternative explanations. The Journal of Finance. 2001; 56: 699-720
[37] 钟小林．比较分析我国指数基金的指数化构造方法．经济师．2003；4：126-127
[38] 王健、方强．封闭式证券投资基金业绩实证分析．武汉理工大学学报(社会科学版)．2002；15：35-39
[39] 王益、刘波．资本市场．第1版．北京：经济科学出版社，2000
[40] 金枝．基金投资与基金管理实务大全．第1版．北京：中国城市出版社，1998
[41] Bruce，C．N．Greenwfld，Paul，D．S，Michael，V．B．．价值投资——从格雷厄姆到巴菲特(中译本)．第1版．北京：机械工业出版社，2002
[42] 王孝德、彭艳．价值投资策略：国际经验与中国实证．国泰君安证券研究所．2002
[43] Eugene F. Fama, Kenneth R. French. Value versus Growth: The International Evidence. University of Chicago Working Paper. 1997
[44] 李颖、陈方正、汤果．风格投资理论研究．经济社会体制比较．2002；5：99-103
[45] 扬朝军．决胜华尔街．第1版．上海：上海人民出版社，2002
[46] Porta, R.L., Lakonishok, J., Shleifer, A., Vishny, R.W.. Good news for value stocks: Further evidence on market efficiency. The Journal of Finance. 1997; 52: 859-874
[47] 朱乔．数据包络分析(DEA)方法综述与展望．系统工程理论方法应用．1994；3(4)：1-9
[48] 魏权龄．评价相对有效性的DEA方法．第1版．北京：中国人们大学出版社．1988
[49] 樊宏．基于DEA模型的我国证券公司评价方法及应用．数量经济技术经济
研究．2002．4：118-121
[50] 王兵、郝炜．DEA资产组合效率指数——DEA方法应用于业绩评估的一个新模型．2003；5月增刊：391—393
[51] 程理民、吴江、张玉林．运筹学模型与方法教程．第1版．北京：清华大学出版社．2000
[52] 丁文桓．冯英浚、康宇虹．基于DEA的投资基金业绩评估．数量经济技术经济研究．2002；3：98-101
[53] 陈刚．证券投资基金业绩评价的非参数方法．统计与信息论坛．2003；2：64-68
[54] 刘月珍、李金昌．中国证券投资基金对股市影响研究．统计研究．2001；11：31-34
[55] 徐涵江．证券投资基金经营业绩评价研究及其实证分析．统计研究．2000；4：28—31
[56] 曹凤岐．关于发展投资基金的战略思考．财贸经济．1999；2：22-27