封闭式基金的类别配置研究
摘要
众所周知,当投资组合分散于几个不同类别的资产时,风险将会降低。投资组合中的资产如何分配问题,也即资产配置理论研究的内容。随着证券市场的高速发展和投资者投资意识的逐渐增强,资产配置在现代投资决策中发挥着十分重要的作用。它不仅决定了证券投资的安全性,同时也是决定投资者收益性的根本因素。面对品种繁多的金融资产,如何从中挑选出具有投资价值的资产、如何在各类资产之间进行合理的分配,是投资者取得丰厚投资回报的关键。
资产配置理论在金融市场的应用已经取得了骄人的成绩。在现有的研究中,利用资产配置的思想进行宏观层面的研究居多,如在股票、债券、货币之间进行配置。也有一部分研究立足于微观层面,如对开放式基金进行类别配置研究。本文在此启发下,将资产配置思想引入到封闭式基金类别配置中来,这在研究领域中是一次创新。
尽管封闭式基金存在折价率偏高现象,但根据银河证券统计数据显示,封闭式基金业绩增长要好于市场指数,颇有投资价值。值得关注的是,2007年9月,国内两只创新型封闭式基金“工银瑞信基金”和“大成优选基金”的上市,受到了投资者的热烈追捧。随之而来,创新型封闭式基金的火热发行,为封闭式基金市场注入了新鲜的血液,唤醒了沉睡五年之久的封闭式基金发行市场,同时也打开了我国封闭式基金发展的新局面。创新型封闭式基金,尤其是分级基金的出现,丰富了封闭式基金的风险收益特征,使得资产配置理论应用到封闭式基金的类别配置上来成为可能。本研究意在运用资产配置的思想,为封闭式基金投资者提供一种可以分散风险、提高收益的投资策略。
本文的研究思路是,从封闭式基金的风险收益特征出发,将其划分为三类：杠杆型封基、类债券型封基、非结构型封基。将单因素模型与时间序列模型相结合,建立影响因素的月收益率预测模型,进而间接地预测出各类基金2010年前6个月的月收益率,然后根据马科维茨的均值-方差模型对三类基金进行配置,配置效果检验证明对封闭式基金进行类别配置,可以有效地降低风险、提高收益。最后,本文给出在封闭式基金各类中进行二次配置的方法。
As is known to all, the risk of portfolio will be reduced when investing in different types of assets. How to allocate assets is the key problem in asset allocation area. With the rapid development of the securities market and awareness of investment, asset allocation theory is playing a very important role in the modern investment decision. It is not only for the safety of securities investment decision; but also the basic factor for rentability. Face with a great variety of financial assets, the key point of earning lucrative profits is to pick out the real value investment and to allocate reasonably in all kinds of assets.
Asset allocation theory in financial market application has made proud achievements. In recent studies, it is normal to see the theory is applied into macro aspect, for example stocks, bonds and currency. There are still a few papers standing in microscopic aspect, for example studying the application into open-funds. Based on this inspiration, this theory is applied into closed-end fund in this paper, which is an innovation in this field.
Although the phenomenon of high discount rate of closed-end fund exists, according to statistic data by Galaxy Securities, closed-end fund have been a better performance compared with market return. It is notable that two innovative funds were warmly pursued in sep.,2007. From then on, innovative funds are fiery issuing in the native market. It has aroused the sleeping closed-end fund circulation market, and also opened new era for closed-end fund development. The appearance of innovative closed-end fund especially the grade structure fund makes the theory applied into closed-end fund possible. Using the theory of asset allocation, this study intends to provide an investment strategy which can spread risk and increase profit for investors.
The guideline of this study is that basing on fund risk characteristic, closed-end fund were divided into three types:leveraged fund, bond fund and non grade structure fund. Then, basing on the time series characteristic of three type funds, the forecast model was simulated and the predicted value in the first half year of 2010 were got. Mean-variance model was built to calculate the optimal allocation ratio. The result proved that it can effectively reduce risk and increase profit. Finally, this paper presented an approach in second allocation in closed-end fund type.
资产配置理论在金融市场的应用已经取得了骄人的成绩。在现有的研究中,利用资产配置的思想进行宏观层面的研究居多,如在股票、债券、货币之间进行配置。也有一部分研究立足于微观层面,如对开放式基金进行类别配置研究。本文在此启发下,将资产配置思想引入到封闭式基金类别配置中来,这在研究领域中是一次创新。
尽管封闭式基金存在折价率偏高现象,但根据银河证券统计数据显示,封闭式基金业绩增长要好于市场指数,颇有投资价值。值得关注的是,2007年9月,国内两只创新型封闭式基金“工银瑞信基金”和“大成优选基金”的上市,受到了投资者的热烈追捧。随之而来,创新型封闭式基金的火热发行,为封闭式基金市场注入了新鲜的血液,唤醒了沉睡五年之久的封闭式基金发行市场,同时也打开了我国封闭式基金发展的新局面。创新型封闭式基金,尤其是分级基金的出现,丰富了封闭式基金的风险收益特征,使得资产配置理论应用到封闭式基金的类别配置上来成为可能。本研究意在运用资产配置的思想,为封闭式基金投资者提供一种可以分散风险、提高收益的投资策略。
本文的研究思路是,从封闭式基金的风险收益特征出发,将其划分为三类：杠杆型封基、类债券型封基、非结构型封基。将单因素模型与时间序列模型相结合,建立影响因素的月收益率预测模型,进而间接地预测出各类基金2010年前6个月的月收益率,然后根据马科维茨的均值-方差模型对三类基金进行配置,配置效果检验证明对封闭式基金进行类别配置,可以有效地降低风险、提高收益。最后,本文给出在封闭式基金各类中进行二次配置的方法。
As is known to all, the risk of portfolio will be reduced when investing in different types of assets. How to allocate assets is the key problem in asset allocation area. With the rapid development of the securities market and awareness of investment, asset allocation theory is playing a very important role in the modern investment decision. It is not only for the safety of securities investment decision; but also the basic factor for rentability. Face with a great variety of financial assets, the key point of earning lucrative profits is to pick out the real value investment and to allocate reasonably in all kinds of assets.
Asset allocation theory in financial market application has made proud achievements. In recent studies, it is normal to see the theory is applied into macro aspect, for example stocks, bonds and currency. There are still a few papers standing in microscopic aspect, for example studying the application into open-funds. Based on this inspiration, this theory is applied into closed-end fund in this paper, which is an innovation in this field.
Although the phenomenon of high discount rate of closed-end fund exists, according to statistic data by Galaxy Securities, closed-end fund have been a better performance compared with market return. It is notable that two innovative funds were warmly pursued in sep.,2007. From then on, innovative funds are fiery issuing in the native market. It has aroused the sleeping closed-end fund circulation market, and also opened new era for closed-end fund development. The appearance of innovative closed-end fund especially the grade structure fund makes the theory applied into closed-end fund possible. Using the theory of asset allocation, this study intends to provide an investment strategy which can spread risk and increase profit for investors.
The guideline of this study is that basing on fund risk characteristic, closed-end fund were divided into three types:leveraged fund, bond fund and non grade structure fund. Then, basing on the time series characteristic of three type funds, the forecast model was simulated and the predicted value in the first half year of 2010 were got. Mean-variance model was built to calculate the optimal allocation ratio. The result proved that it can effectively reduce risk and increase profit. Finally, this paper presented an approach in second allocation in closed-end fund type.
引文
[1]Markowitz H. Portfolio selection [J].Journal of Finance,1952(7):77-91
[2]Sharpe W F. A Simplified model for portfolio analysis [J]. Management Science, 1963(9):277-293
[3]Sharpe W F. Capital Asset process:A theory of capital Market Equilibrium under condition of risk [J]. Journal of Finance,1964(19):425-442
[4]Ross, S. A The arbitrage theory of capital asset pricing, Journal of Economic theory, 1976,13:341-360
[5]John M. Mulvey, Hercules Vladimirou. Focused Issue on Financial Modeling [J]. Management Science,Vol.38, No.11, (Nov.,1992), pp.1642-1664
[6]Konno H, Piecewise linear risk functions and portfolio optimization. Journal of the Operations Research Society of Japan,1990,33:139-156
[7]Konno H, Yamazaki H. Mean-absolute Deviation Portfolio Optimization model and its applications to Tokyo stock market. Management Science,1991,37(5):519-531
[8]Alexander G J, Sharpe W F. Fundamentals of Investments. New Jersey: Prentice-Hall.1998
[9]Alexander G J. Short Selling and Efficient Sets. Journal of Finance, 1993(4):1497-1506
[10]Anita Jean Brogan. Mutual fund and security selection through an operations research lens. Ph. D thesis university of North Carolina,2003
[11]荣喜民,武丹丹.基于收益及收益偏差平方和多期组合投资[J].经济数学,第23卷第2期.
[12]Shouyang Wang, Yusen Xia Portfolio Selection and Asset Price. Springer-Verlag Berlin Heidelerg 2002
[13]W. Ogryczak,A. Ruszczynski. Onstochastic dominanc and mean-semideriation models, Interim Report IR-97-043[R]. International Institute for Applied Systems Analysis, Laxenbourg
[14]Mao, J. C. T., Models of capital budgeting, EN vs. FS [J]. Journal of Financial and Quantitative Analysis,1970,5:657-675
[15]Swalm, R.O. Utility theory-insights into risk taking [J]. Harvard Business Review, 1966,44:123-136
[16]Mansini, R. and Speranza, M. G., Heuristic algorithms for the portfolio selection problem with minimum transaction lots [J]. European Journal of Operational Research,1999,114:219-233
[17]M. G. Speranza. Linear programming models for portfolio optimization [J]. Finance 1993,14:107-123
[18]C. D. Feinstein, M. N. Thapa. Notes:A reformation of a mean-absolute deviation portfolio optimization [J].Manage. Sci.,1993,39:1552-1558
[19]徐绪松,杨小青,陈彦斌.半绝对离差证券组合投资模型[J].武汉大学学报(理学版),2002(3)：297-300.
[20]Basak, S. and A.Shapiro. A Model of Credit Risk, Optimal Policies, and Asset Prices[D]. Stern School, New York University,2000
[21]Ton Vorst. Optimal Portfolios under a Value at Risk Constraint Department of Finance[D]. Erasmus University Rotterda,1999
[22]吴世农,陈斌.风险度量方法与金融资产配置模型的理论和实证研究[J].经济研究1999年第9期
[23]Rockafellar R T, Uryasev S. Conditional Value-at-Risk for general loss distributions [J]. Journal of Banking and Finance,2002(26):1443-1471
[24]Karl Frauendorf er, Michael Schurle. Term Structure Models in Multistage Stochastic Programming:Estimation and Approximation. Annals of Operations Research [J]. Volume 100, Numbers 1-4,189-209,2000
[25]Boender etc. Modeling and management of assets and liabilities of pension plans in the Netherlands. In:W. T. Ziemba and J. M. Mulvey, Editors, Worldwide Asset and Liability Modeling, Cambridge University Press, Cambridge, UK (1998), pp. 561-580.
[26]国投瑞银瑞福分级证券投资基金招募说明书[N].上海证券报,2007,07,5.
[27]长盛同庆可分离交易股票型证券投资基金招募说明书[N].上海证券报,2009,04,30.
[28]国投瑞银瑞和沪深300指数分级证券投资基金招募说明书[N].上海证券报,2009,09,14.
[29]国泰估值优势可分离股票型证券投资基金招募说明书[N].2010,01,14.
[30]Walter Enders.杜江译.应用计量经济学一时间序列分析(第2版)[M].北京：高等教育出版社,2006.
[31]威廉.T津巴,约翰.M.马尔维.全球资产负债管理建模[M].北京：经济科学出版社,2003.
[32]张晓桐.计量经济学软件Eviews使用指南(第二版)[M].天津：南开大学出版社,2003.
[33]段新生.MATLAB财务建模与分析[M].北京：高等教育出版社,2007.
[2]Sharpe W F. A Simplified model for portfolio analysis [J]. Management Science, 1963(9):277-293
[3]Sharpe W F. Capital Asset process:A theory of capital Market Equilibrium under condition of risk [J]. Journal of Finance,1964(19):425-442
[4]Ross, S. A The arbitrage theory of capital asset pricing, Journal of Economic theory, 1976,13:341-360
[5]John M. Mulvey, Hercules Vladimirou. Focused Issue on Financial Modeling [J]. Management Science,Vol.38, No.11, (Nov.,1992), pp.1642-1664
[6]Konno H, Piecewise linear risk functions and portfolio optimization. Journal of the Operations Research Society of Japan,1990,33:139-156
[7]Konno H, Yamazaki H. Mean-absolute Deviation Portfolio Optimization model and its applications to Tokyo stock market. Management Science,1991,37(5):519-531
[8]Alexander G J, Sharpe W F. Fundamentals of Investments. New Jersey: Prentice-Hall.1998
[9]Alexander G J. Short Selling and Efficient Sets. Journal of Finance, 1993(4):1497-1506
[10]Anita Jean Brogan. Mutual fund and security selection through an operations research lens. Ph. D thesis university of North Carolina,2003
[11]荣喜民,武丹丹.基于收益及收益偏差平方和多期组合投资[J].经济数学,第23卷第2期.
[12]Shouyang Wang, Yusen Xia Portfolio Selection and Asset Price. Springer-Verlag Berlin Heidelerg 2002
[13]W. Ogryczak,A. Ruszczynski. Onstochastic dominanc and mean-semideriation models, Interim Report IR-97-043[R]. International Institute for Applied Systems Analysis, Laxenbourg
[14]Mao, J. C. T., Models of capital budgeting, EN vs. FS [J]. Journal of Financial and Quantitative Analysis,1970,5:657-675
[15]Swalm, R.O. Utility theory-insights into risk taking [J]. Harvard Business Review, 1966,44:123-136
[16]Mansini, R. and Speranza, M. G., Heuristic algorithms for the portfolio selection problem with minimum transaction lots [J]. European Journal of Operational Research,1999,114:219-233
[17]M. G. Speranza. Linear programming models for portfolio optimization [J]. Finance 1993,14:107-123
[18]C. D. Feinstein, M. N. Thapa. Notes:A reformation of a mean-absolute deviation portfolio optimization [J].Manage. Sci.,1993,39:1552-1558
[19]徐绪松,杨小青,陈彦斌.半绝对离差证券组合投资模型[J].武汉大学学报(理学版),2002(3)：297-300.
[20]Basak, S. and A.Shapiro. A Model of Credit Risk, Optimal Policies, and Asset Prices[D]. Stern School, New York University,2000
[21]Ton Vorst. Optimal Portfolios under a Value at Risk Constraint Department of Finance[D]. Erasmus University Rotterda,1999
[22]吴世农,陈斌.风险度量方法与金融资产配置模型的理论和实证研究[J].经济研究1999年第9期
[23]Rockafellar R T, Uryasev S. Conditional Value-at-Risk for general loss distributions [J]. Journal of Banking and Finance,2002(26):1443-1471
[24]Karl Frauendorf er, Michael Schurle. Term Structure Models in Multistage Stochastic Programming:Estimation and Approximation. Annals of Operations Research [J]. Volume 100, Numbers 1-4,189-209,2000
[25]Boender etc. Modeling and management of assets and liabilities of pension plans in the Netherlands. In:W. T. Ziemba and J. M. Mulvey, Editors, Worldwide Asset and Liability Modeling, Cambridge University Press, Cambridge, UK (1998), pp. 561-580.
[26]国投瑞银瑞福分级证券投资基金招募说明书[N].上海证券报,2007,07,5.
[27]长盛同庆可分离交易股票型证券投资基金招募说明书[N].上海证券报,2009,04,30.
[28]国投瑞银瑞和沪深300指数分级证券投资基金招募说明书[N].上海证券报,2009,09,14.
[29]国泰估值优势可分离股票型证券投资基金招募说明书[N].2010,01,14.
[30]Walter Enders.杜江译.应用计量经济学一时间序列分析(第2版)[M].北京：高等教育出版社,2006.
[31]威廉.T津巴,约翰.M.马尔维.全球资产负债管理建模[M].北京：经济科学出版社,2003.
[32]张晓桐.计量经济学软件Eviews使用指南(第二版)[M].天津：南开大学出版社,2003.
[33]段新生.MATLAB财务建模与分析[M].北京：高等教育出版社,2007.