我国证券投资基金投资策略研究
摘要
证券投资基金是指集合大众的资金由专家投资理财,利益共享、风险共担的资金集体。开放式基金是一种为世界基金业实践所检验的先进的基金形式,其运作机制能较好保障基金投资者的利益,能较好激励基金管理人勤勉理财,有较高的透明度,因而成为国际成熟资本市场的主导产品。股票型开放式基金主要投资于各种股票,从长期来看,股票投资的收益高于债券投资和货币市场工具投资,由于其具有专业化的管理,成熟股票投资经验等特点,越来越受到广大投资者的欢迎。我国基金业已经在风雨中经过十几年的成长之路,与国外百年的基金发展历史相比,这样一段“超常规的发展”令人感慨万千。1998年证券投资基金成立之初,基金管理公司仅有5家,管理基金资产107亿。至2008年6月30日,中国大陆基金市场已成立证券投资基金总数达到379只,发行在外的基金总份额为21509亿份。59家基金管理公司中有28家合资基金管理公司,内资公司、合资公司和QFII形成机构投资者间有效竞争的格局。
虽然关于投资基金的著述较多,但大都集中于投资基金的渊源、种类、功能以及如何进行投资等方面,而对于投资基金投资管理过程中的核心环节——投资策略方面的研究却缺乏全面性和系统性。本文将直面此方面的薄弱环节,选择股票型开放式基金作为研究对象,对股票型开放式基金的投资策略以及各种策略的投资业绩进行研究分析,探讨股票型开放式基金的策略演变过程以及今后的发展方向。文章从界定投资哲学、投资理念、投资策略、投资风格相关概念开始,结合证券投资理论的发展脉络,综合运用规范、实证、比较等研究方法,展开对投资策略的理论基础和实施方法的系统性研究。对金融异象进行了较为全面梳理和阐释,以期为投资策略的选用带来启发。对四大分析流派进行对比,探讨出在我国是否适用的问题。应用T-M模型,对样本基金的选股能力、择时能力进行评价分析,透过持股仓位变化、持股集中度的实证分析来管窥投资策略的选择和实施。基金业投资策略所呈现的趋同性和阶段性特征进行归因分析,并给出政策建议与展望。
第一章:通过对研究背景的叙述引出本文的研究方向,在分析国内外研究现状的基础上确立本文的研究主题。对证券投资基金的基本概况进行了阐述,为下文进行更为深入的研究做了铺垫。
第二章:对投资哲学、投资理念、投资策略、投资风格相关概念做出了界定,并对四者间的逻辑关系进行了形象描述,给出了简明逻辑关系图。对投资策略在收益-风险视角、分散-集中视角、积极-消极投资态度、长期-短期投资期限四种分析维度上进行分解,并在市场、类别和个股三个层次上,结合积极-消极投资态度对主要的几种投资策略进行了详细刻画。阐述了投资风格的兴起与定义,列举了数量众多的市场异象现象所演化出的几种主要的投资风格。科学化的投资流程是基金管理公司多部门间通力合作达成投资效果的有力保障,本章2.4节以易方达基金管理公司的投资决策流程为例,说明了证券投资基金的投资决策流程。
第三章:沿着证券投资理论的发展脉络,逐步阐释证券组合理论、资本资产定价理论、有效市场假说和行为金融理论及其对投资策略的影响。对各类金融异象进行了较为全面梳理和阐释,以期为基金经理人的投资决策带来启发。
第四章:对比研究四大投资分析流派,探讨出各自的适用空间以及赖以生存的环境。在“新兴加转轨”证券市场环境中,大多数基金经理人都采用积极的投资态度,频繁的进行波段操作,各种投资理念都沦为了“趋势投资的辅助工具”。
第五章:梳理了我国证券投资基金的投资策略的发展脉络。在详细分析了2008年年中信息披露信息之后,我们可以观测到基金的投资思路和策略取向。一是投资偏向于能够抵抗通胀及抵御经济回落风险的品种,强化了对系统风险的防御能力。目前的防御性企业包括民用刚性消费品如医药、食品、商业、媒体、机场和符合国家固定资产投资方向的农业投资、铁路投资、医药投资、通信等。二是“自下而上”挑选“白马股”并提高集中度,抱团过冬。通过对样本基金的选股能力、择时能力、仓位变化以及持股集中度的实证分析,发现证券投资基金的投资风格呈现趋同化和阶段性特征。针对该特征进行了归因分析,给出政策建议与展望。
第六章:全文总结
可能存在的创新:
(1)对投资哲学、投资理念、投资策略、投资风格相关概念做出了界定,绘制出了四者间的逻辑关系简明图。
(2)对投资策略和投资风格的分类进行了四分维度刻画,给出分色图
(3)对我国证券基金投资策略特别是2008年以来的持仓变化、换手率、行业配置等方面所进行的实证分析
(4)探讨了股权分置改革、大小非减持对我国投资策略选择的影响
Security capital fund refers to the capital which is pooled by the experts on investing from the massive investors for the common interests, and all the investors bear the risks. In the worldwide fund industry, open-end fund has proved its superiority in practice. Because it can guarantee the investors’interests, spirit the fund keeper, and secure the transparency, it turns out to be the leading product in the developed capital market. Stock-oriented open-end fund is mainly invested in the stock market. Generally speaking, in the long run stocks investment will yield more than the bond investment and the investment in monetary market. It is popular among the investors because the specialized management and experience in investing.
China’s capital funds have a very short history of more than ten years. Comparing with the more than 100-year-history of the developed countries’capital funds, the“extraordinary development”of china’s capital funds will shock everyone. Security capital fund were introduced to china in 1998 and there were five fund administration companies then operating RMB 10.7 billion. By the mid of 2008, the amount of capital funds increased to 349 with 2,150.9 billion fund shares. And the administration companies increased to 59. In a competitive market, the performance of the capital funds will play an important role in the development of the funds, whereas the investment strategies are the key factors that will affect the performance of the funds.
While there are so many papers about capital fund, most of them are focused on the origin, species of fund, and how to invest, few of them focused on investment strategy. The thesis studies on the stock-oriented open-end fund, its investment strategies, its evolution and where it heads for. Why does the stock-oriented open-end fund capture the eye of the writer? Because it is a mature product in capital market, and it can mirror the fund industry.
I’ll starts with the definition of investment philosophy, investment philosophy, investment strategy, investment style, and along with the road of investment theory development, hold the research on investment strategy with comparative, evidence, standardized, methods. Financial anomalies were more comprehensive, but bring the inspiration of investment strategy choice .On the sample of stock- oriented open-end funds, I’ll applicant the T-M model to evaluate the ability of open-end fund managers. Finally a conclusion of the thesis, some suggestions, references, and postscript are presented.
Chapter I: The research described in the context of this article leads to the research, analysis of research at home and abroad on the basis of this paper is to establish the theme of the study. Securities investment funds on the basic profiles are described, below, for more in-depth study to do.
Chapter II: Try to definite of the concept of investment philosophy, investment strategy, investment style and script the relationships. To analysis the investment strategy through four-dimension: return- risk, decentralization–centralization, positive - negative attitude, long term–short term.
Chapter III: Along the development of the theory of context, gradually explain the Portfolio Theory, Capital Asset Pricing Theory, the Efficient Market Hypothesis and Behavioral Finance Theory and its impact on the investment strategy. Various types of financial anomaly are more comprehensive, but bring the inspiration of investment decision-making
Chapter IV: A Comparative Study of the four major schools of investment analysis to explore the application of space, as well as their living environment. As the securities market environment is changing, the majority of fund managers have adopted a positive attitude toward investment, a variety of investment ideas have become a "trend of investment aid."
Chapter V: In a detailed analysis of the mid-2008 after the disclosure of information, we can observe the fund's investment strategy and direction of thinking.
Chapter VI: The summary of this paper is presented.
虽然关于投资基金的著述较多,但大都集中于投资基金的渊源、种类、功能以及如何进行投资等方面,而对于投资基金投资管理过程中的核心环节——投资策略方面的研究却缺乏全面性和系统性。本文将直面此方面的薄弱环节,选择股票型开放式基金作为研究对象,对股票型开放式基金的投资策略以及各种策略的投资业绩进行研究分析,探讨股票型开放式基金的策略演变过程以及今后的发展方向。文章从界定投资哲学、投资理念、投资策略、投资风格相关概念开始,结合证券投资理论的发展脉络,综合运用规范、实证、比较等研究方法,展开对投资策略的理论基础和实施方法的系统性研究。对金融异象进行了较为全面梳理和阐释,以期为投资策略的选用带来启发。对四大分析流派进行对比,探讨出在我国是否适用的问题。应用T-M模型,对样本基金的选股能力、择时能力进行评价分析,透过持股仓位变化、持股集中度的实证分析来管窥投资策略的选择和实施。基金业投资策略所呈现的趋同性和阶段性特征进行归因分析,并给出政策建议与展望。
第一章:通过对研究背景的叙述引出本文的研究方向,在分析国内外研究现状的基础上确立本文的研究主题。对证券投资基金的基本概况进行了阐述,为下文进行更为深入的研究做了铺垫。
第二章:对投资哲学、投资理念、投资策略、投资风格相关概念做出了界定,并对四者间的逻辑关系进行了形象描述,给出了简明逻辑关系图。对投资策略在收益-风险视角、分散-集中视角、积极-消极投资态度、长期-短期投资期限四种分析维度上进行分解,并在市场、类别和个股三个层次上,结合积极-消极投资态度对主要的几种投资策略进行了详细刻画。阐述了投资风格的兴起与定义,列举了数量众多的市场异象现象所演化出的几种主要的投资风格。科学化的投资流程是基金管理公司多部门间通力合作达成投资效果的有力保障,本章2.4节以易方达基金管理公司的投资决策流程为例,说明了证券投资基金的投资决策流程。
第三章:沿着证券投资理论的发展脉络,逐步阐释证券组合理论、资本资产定价理论、有效市场假说和行为金融理论及其对投资策略的影响。对各类金融异象进行了较为全面梳理和阐释,以期为基金经理人的投资决策带来启发。
第四章:对比研究四大投资分析流派,探讨出各自的适用空间以及赖以生存的环境。在“新兴加转轨”证券市场环境中,大多数基金经理人都采用积极的投资态度,频繁的进行波段操作,各种投资理念都沦为了“趋势投资的辅助工具”。
第五章:梳理了我国证券投资基金的投资策略的发展脉络。在详细分析了2008年年中信息披露信息之后,我们可以观测到基金的投资思路和策略取向。一是投资偏向于能够抵抗通胀及抵御经济回落风险的品种,强化了对系统风险的防御能力。目前的防御性企业包括民用刚性消费品如医药、食品、商业、媒体、机场和符合国家固定资产投资方向的农业投资、铁路投资、医药投资、通信等。二是“自下而上”挑选“白马股”并提高集中度,抱团过冬。通过对样本基金的选股能力、择时能力、仓位变化以及持股集中度的实证分析,发现证券投资基金的投资风格呈现趋同化和阶段性特征。针对该特征进行了归因分析,给出政策建议与展望。
第六章:全文总结
可能存在的创新:
(1)对投资哲学、投资理念、投资策略、投资风格相关概念做出了界定,绘制出了四者间的逻辑关系简明图。
(2)对投资策略和投资风格的分类进行了四分维度刻画,给出分色图
(3)对我国证券基金投资策略特别是2008年以来的持仓变化、换手率、行业配置等方面所进行的实证分析
(4)探讨了股权分置改革、大小非减持对我国投资策略选择的影响
Security capital fund refers to the capital which is pooled by the experts on investing from the massive investors for the common interests, and all the investors bear the risks. In the worldwide fund industry, open-end fund has proved its superiority in practice. Because it can guarantee the investors’interests, spirit the fund keeper, and secure the transparency, it turns out to be the leading product in the developed capital market. Stock-oriented open-end fund is mainly invested in the stock market. Generally speaking, in the long run stocks investment will yield more than the bond investment and the investment in monetary market. It is popular among the investors because the specialized management and experience in investing.
China’s capital funds have a very short history of more than ten years. Comparing with the more than 100-year-history of the developed countries’capital funds, the“extraordinary development”of china’s capital funds will shock everyone. Security capital fund were introduced to china in 1998 and there were five fund administration companies then operating RMB 10.7 billion. By the mid of 2008, the amount of capital funds increased to 349 with 2,150.9 billion fund shares. And the administration companies increased to 59. In a competitive market, the performance of the capital funds will play an important role in the development of the funds, whereas the investment strategies are the key factors that will affect the performance of the funds.
While there are so many papers about capital fund, most of them are focused on the origin, species of fund, and how to invest, few of them focused on investment strategy. The thesis studies on the stock-oriented open-end fund, its investment strategies, its evolution and where it heads for. Why does the stock-oriented open-end fund capture the eye of the writer? Because it is a mature product in capital market, and it can mirror the fund industry.
I’ll starts with the definition of investment philosophy, investment philosophy, investment strategy, investment style, and along with the road of investment theory development, hold the research on investment strategy with comparative, evidence, standardized, methods. Financial anomalies were more comprehensive, but bring the inspiration of investment strategy choice .On the sample of stock- oriented open-end funds, I’ll applicant the T-M model to evaluate the ability of open-end fund managers. Finally a conclusion of the thesis, some suggestions, references, and postscript are presented.
Chapter I: The research described in the context of this article leads to the research, analysis of research at home and abroad on the basis of this paper is to establish the theme of the study. Securities investment funds on the basic profiles are described, below, for more in-depth study to do.
Chapter II: Try to definite of the concept of investment philosophy, investment strategy, investment style and script the relationships. To analysis the investment strategy through four-dimension: return- risk, decentralization–centralization, positive - negative attitude, long term–short term.
Chapter III: Along the development of the theory of context, gradually explain the Portfolio Theory, Capital Asset Pricing Theory, the Efficient Market Hypothesis and Behavioral Finance Theory and its impact on the investment strategy. Various types of financial anomaly are more comprehensive, but bring the inspiration of investment decision-making
Chapter IV: A Comparative Study of the four major schools of investment analysis to explore the application of space, as well as their living environment. As the securities market environment is changing, the majority of fund managers have adopted a positive attitude toward investment, a variety of investment ideas have become a "trend of investment aid."
Chapter V: In a detailed analysis of the mid-2008 after the disclosure of information, we can observe the fund's investment strategy and direction of thinking.
Chapter VI: The summary of this paper is presented.
引文
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[67]杨朝军,蔡明超和徐慧泉.中国证券基金投资风格分类研究[J].上海交通大学学报,2004(3):359-36
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[70]王敬,刘阳.国内外关于基金投资风格的研究及启示[J],证券经纬,2006,(8):49-50
[71]陈印.市场有效牲的检验问题[J],学术研究,2003,(8).
[72]张亦春,周颖刚.中国股市弱式有效研究综述[J],当代财经,2001,(8).
[73]汪光成.基金的市场时机把握能力研究[J],经济研究,2002(1)
[74]于文海.金融发展理论模式研究的应用价值[J],经济前沿,2001(10)
[75]王永宏.中国股市“惯性策略”和“反转策略”的实证分析[J],经济研究,2001,(6)
[76]赵凯.基金组合投资策略—自上而下还是自下而上? [J],国际贸易问题,2002(9)62
[77]吴世农,我国证券市场效率的分析[[J],经济研究,1996年第4期
[78]吴世农,李培标.中国投资基金证券选择能力和时机选择能力的实证研究[J],经济管理,2002(4):65-70
[79]施东晖,证券投资基金交易行为与市场影响实证分析[J],世界经济,2001(10)
[80]中国资本市场发展报告2008 [R],北京:中国财政出版社,2008
[81]天相投顾数据库、wind数据库和因特网下载资料
1李曜,《证券投资基金学(第二版)》,清华大学出版社,2004
2参考《证券投资基金》,中国财政经济出版社,2007年,P7
3参考《证券投资基金》,中国财政经济出版社,2007年,P20-29
4杨朝军,金融投资风格与策略,中国金融出版社,2005年,P25
5参考:于文海,我国证券投资基金的投资策略与投资风格分析,首都经济贸易大学,2003
6波涛,证券投资理论与证券投资战略适用性分析,经济管理出版社,1999年,P20
7杨朝军,金融投资风格与策略,中国金融出版社,2005年,P25
9参见:杨朝军,金融投资风格与策略,中国金融出版社,2005年,P76-103
10波涛,证券投资理论与证券投资战略适用性分析,经济管理出版社,1999年,P6
11中国证券业协会编,证券投资基金,中国财政经济出版社,2007年,P281-290
12参考:杨朝军,金融投资风格与策略,中国金融出版社,2005年,P20-22
13中国证券业协会编,证券投资基金,中国财政经济出版社,2007年,P281-290
14邵宇、秦培景主编.证券投资分析,复旦大学出版社, 2005,P10-15
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[66]熊胜君,杨朝军.中国证券投资基金投资风格变化原因分析[J],哈尔滨商业大学学报(自然科学版),2005(12):801-805
[67]杨朝军,蔡明超和徐慧泉.中国证券基金投资风格分类研究[J].上海交通大学学报,2004(3):359-36
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[69]刘俊,贾祖国.投资基金投资策略趋同性的成因和影响[J],新金融,2001(12):33-34
[70]王敬,刘阳.国内外关于基金投资风格的研究及启示[J],证券经纬,2006,(8):49-50
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[72]张亦春,周颖刚.中国股市弱式有效研究综述[J],当代财经,2001,(8).
[73]汪光成.基金的市场时机把握能力研究[J],经济研究,2002(1)
[74]于文海.金融发展理论模式研究的应用价值[J],经济前沿,2001(10)
[75]王永宏.中国股市“惯性策略”和“反转策略”的实证分析[J],经济研究,2001,(6)
[76]赵凯.基金组合投资策略—自上而下还是自下而上? [J],国际贸易问题,2002(9)62
[77]吴世农,我国证券市场效率的分析[[J],经济研究,1996年第4期
[78]吴世农,李培标.中国投资基金证券选择能力和时机选择能力的实证研究[J],经济管理,2002(4):65-70
[79]施东晖,证券投资基金交易行为与市场影响实证分析[J],世界经济,2001(10)
[80]中国资本市场发展报告2008 [R],北京:中国财政出版社,2008
[81]天相投顾数据库、wind数据库和因特网下载资料
1李曜,《证券投资基金学(第二版)》,清华大学出版社,2004
2参考《证券投资基金》,中国财政经济出版社,2007年,P7
3参考《证券投资基金》,中国财政经济出版社,2007年,P20-29
4杨朝军,金融投资风格与策略,中国金融出版社,2005年,P25
5参考:于文海,我国证券投资基金的投资策略与投资风格分析,首都经济贸易大学,2003
6波涛,证券投资理论与证券投资战略适用性分析,经济管理出版社,1999年,P20
7杨朝军,金融投资风格与策略,中国金融出版社,2005年,P25
9参见:杨朝军,金融投资风格与策略,中国金融出版社,2005年,P76-103
10波涛,证券投资理论与证券投资战略适用性分析,经济管理出版社,1999年,P6
11中国证券业协会编,证券投资基金,中国财政经济出版社,2007年,P281-290
12参考:杨朝军,金融投资风格与策略,中国金融出版社,2005年,P20-22
13中国证券业协会编,证券投资基金,中国财政经济出版社,2007年,P281-290
14邵宇、秦培景主编.证券投资分析,复旦大学出版社, 2005,P10-15