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Description近年来,中国内地FOF业务发展迅速,但在业务发展初期的实践中,FOF管理人在遴选基金资产和预测其未来收益等方面遇到诸多困难,传统的FOF组合构建技术往往不理想。本文借鉴海外因子配置相关理论,尝试通过归因分析基金的收益来源,寻找能深度刻画基金经理管理能力的特质因子,创新性地提出了基于权益类基金的特质因子构建FOF组合的新方法。本文选择100家权益类私募基金,通过因子拆解剥离了市场、行业、风格等共同影响因素,遴选出特质因子表现更优的基金经理,而不是仅仅选择过往业绩好的基金经理,并基于特质因子构建一组FOF组合,与此同时,运用传统方法构建基于基金资产的另一组FOF组合,对比两种组合方法的组合绩效,实证结果显示基于特质因子的FOF组合绩效更优。本文进一步运用转移概率矩阵和相关性分析,找到了基于特质因子的FOF组合绩效更优的证据,即特质因子延续性更好和相关性更低。与基于基金资产的FOF组合配置传统方法相比,由于基金的特质因子延续性更好,运用历史数据预测未来收益的确定性相对更好;基金的特质因子之间的相关性低,大幅增强了FOF组合配置的稳定性和分散性。总体来讲,基于特质因子的FOF组合配置方法为FOF管理人提供了一个更量化、更有效、更稳健的组合配置新路径,能有效提升FOF组合配置的绩效。

关键词: FOF、因子投资、组合配置、特质因子
ContributorsLi, Jie (Author) / Zhu, Hongquan (Thesis advisor) / Yan, Hong (Thesis advisor) / Liang, Bing (Committee member) / Arizona State University (Publisher)
Created2020
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Description
Although margin trading has significant impacts on the stock market, extant research has mainly focused on its effect on stock price volatility and has rarely examined its influence on the rate of returns. In addition, little systematic research has examined the differential effects of margin trading under different circumstances. This

Although margin trading has significant impacts on the stock market, extant research has mainly focused on its effect on stock price volatility and has rarely examined its influence on the rate of returns. In addition, little systematic research has examined the differential effects of margin trading under different circumstances. This thesis examines the effects of margin trading in bull market, bear market, balanced market and among stocks included in main board, SMEs(small and medium-sized enterprises) board, GEM(growth enterprises board), as well as large-cap and small-cap in China. I further studied the long-, medium-, and short-term influences of margin trading on the volatility of stock price, return rate, and liquidity of the market by both using the SVAR model and conducting panel data analyses.

The findings show that: a)Volatility. Margin trading can effectively curtail the medium- and short-term volatility of the share price under any market condition but has no prominent influence on long-term volatility. b)Profitability. Margin trading enhances profitability in the bull market with an apparent leverage effect while having no significant effects on short-term profitability in the balanced market and the bear market. c) Individual shares with different attributes. The influences of margin trading on the large-cap and small-cap shares, shares with high vs. low PE ratio, shares included in the main board and SMEs stocks vary in different types of market. d) Liquidity. The influences of margin trading on the fluidity of market are significantly different in the bull, bear, and balanced markets.

Finally, I set up a new trading strategy based on the above conclusions. The result from hypothetical trading demonstrates that the newly-created trading strategy works better than the long-term holding strategy, highlighting the practical implications of this thesis in addition to its implications for research
ContributorsShi, Wenqing (Author) / Zhu, Hongquan (Thesis advisor) / Yan, Hong (Thesis advisor) / Ju, Nengjiu (Committee member) / Arizona State University (Publisher)
Created2018