量化投资策略的应用效果研究.doc

量化投资策略的应用效果研究
暨南大学硕士学位论文量化投资策略的应用效果研究
摘要
国内量化投资正处在起步阶段, 量化投资的应用近年来正稳步发展。国内学者对于量
化投资策略运用效果的研究还较少, 本文通过研究量化基金的绩效及管理能力来研究量化
投资策略的应用效果,这是本文的研究意义所在。本文首先将 15 只量化基金累计净值收益率同中信 A 股指数收益率和市场收益率进行
比较, 以研究当前量化基金采用量化投资策略的绩效情况; 之后采用 T-M 模型、H-M 模型
和 C-L 模型对其中 9 只量化基金的管理能力进行了研究, 以评价量化基金使用量化投资策
略的择股效果和择时效果。
研究结果显示, 样本中 60% 的量化基金可以跑赢市场和中信 A 股指数, 说明量化基金
采用量化策略进行投资是有意义的;T-M 模型、H-M 模型和 C-L 模型的研究结果表明几乎
全部量化基金具备正的择股能力( 但在统计上并不显著) , 几乎全部量化基金不具备正的
择时能力(只有 C-L 模型的研究结论在统计上显著) 。最后本文总结了研究结论,并提出了一些建议,也对本研究的局限做了阐述。
关键词: 绩效评估; 管理能力评估; 量化投资策略应用效果I 暨南大学硕士学位论文量化投资策略的应用效果研究
Abstract
The domestic application of quantative investment staregy is now in start-up
application of quantative investment strategy grows steadly in recent scholars
have little research on effect of application of quantative investment ,this
article research on quantitative funds performance and management ability to achieve the effect
of researching on effect of application of quantative investment strategyFor the first,the article contrast the performance result of quantitative funds to the Zhonxin
a-share stock price index to reveal whether or not application of quantitative strategy has any
the second,the article use T-M,H-M and C-L model to evaluate the management
ability of nine quantitative fundsThe research results show that sixty percents quantitative funds can over-run the
market,which means that application of quantitative strategy has realistic research
results of T-M and H-M model and C-L model show that near all quantitative funds have security
selection ability but not significant,and near none quantitative funds have timing ability,.which is
significant in C-L model testAt last,this article first summarizes all conlusion,then makes proposal on it,and describe
limitation of this researchKey words : Performance Evaluation,Management Ability Evaluation, Effect of Application
of Quantative Investment Strategy