证券投资基金不同资产配置方式及其对基金收益的影响

本文以我国35只股票型开放式基金为研究样本,从战略性资产配置、战术性资产配置以及战术性资产配置中的资产调整和证券调整等四个角度,分别考察资产配置对基金收益的影响。研究发现,我国证券投资基金的战略性资产配置对基金收益的影响占主要地位,战术性资产配置中的证券调整的影响也相对较大。进一步的研究表明,基金的规模、成立时间以及投资风格对资产配置作用于基金收益具有重要且不同的影响。据此,本文提出了相关的启示与政策建议。     

开放式基金的资产配置能力研究

本文从战略性和战术性两方面,考察了开放式基金的资产配置能力,对我国30只开放式基金的资产配置能力进行实证检验发现,中国的开放式基金在2004年底至2007年底,尽管取得了骄人业绩,但是其资产配置能力并不很高;研究同时发现,我国证券投资基金主要通过投资组合中证券的调整进行资产配置,而较少依靠对组合中资产的调整来满足资产配置的原则要求。     

我国证券投资基金的资产配置能力研究——基于风险与收益相匹配的视角

本文从风险与收益相匹配的视角，给出了基金经理进行资产配置的原则和理论模型，并据此设计出判断基金资产配置能力高低的标准。对我国54只封闭式基金的资产配置能力进行实证检验发现，中国的封闭式基金大部分具有较高的资产配置能力；研究同时发现，我国证券投资基金主要通过投资组合中证券的调整进行资产配置，而较少依靠对组合中资产的调整来满足资产配置的原则要求。     

资产配置策略与基金系QDII收益分析

本文从前十大重仓股占比、股票集中度、行业集中度、投资区域集中度、夏普指数等指标研究基金系QDII资产配置策略与其收益的关系。统计数据结果表明,过于集中的资产配置对QDII基金收益产生了负效应。同时,QDII基金在成立时机选择、资产配置和外汇投资战略上都欠妥当。由此可见,对于QDII产品而言,资产组合的构建需要符合分散国内系统性风险的原则,否则不会使QDII这种外汇投资基金具有特殊的优势。     

别让“基金资产配置”概念入歧途

如果你偏好投资基金,且有资产组合观念,诸如股债均衡配置,或者核心、卫星配置,那么想提醒你——基金分散风险未必有效。这是何意?波段操作是获利之道     

我国个人账户养老保险基金的资产配置

我国采取的是社会统筹与个人账户相结合的部分积累制养老保险模式，在强化个人账户的收缴和管理工作的同时，建立了社会保障基金，作为国家的长期战略储备，以应付将来可能出现的养老金支付危机。     

投资风格类别及持续性对基金业绩的影响

投资风格是指投资经理一贯遵循的一种特定的资产配置策略。研究表明，许多基金并没有系统性地执行价值型／成长型或大市值／小市值的投资策略，而是倾向于经常性地在各种风格策略之间转换，或采取一种混合投资策略。本文将实证分析研究基金投资风格的持续性及不同投资风格对基金业绩的影响。……     

基金收益开门不顺——银河证券基金月评

6类以股市为主要投资对象的基金,包括银河基金分类中的指数型、股票型、偏股型、平衡型、特殊策略型和封闭式基金,平均净值损失幅度分别为9.06%、5.42%、5.65%、4.41%、5.11%和5.17%,几乎全军覆灭。     

中国证券投资基金资产配置效率实证研究

随着经济的发展,证券投资越来越被大家所接受,所以资产配置就成为了证券投资中不可或缺的组成部分,尤其是在风险投资中,资产配置就更能起到避免风险的作用。本文介绍了资产配置中一些简单的基本模型,包括:传统模型、最新模型等,运用大量的数据对研究结果进行分析,例如投资基金的资产配置对于收益率资金的贡献如何。并且针对这一分析结果对资产配置提出了诸多建议,以便于在证券投资中更好的权衡资产配置。     

中国证券投资基金资产配置效率实证研究

随着经济的发展,证券投资越来越被大家所接受,所以资产配置就成为了证券投资中不可或缺的组成部分,尤其是在风险投资中,资产配置就更能起到避免风险的作用。本文介绍了资产配置中一些简单的基本模型,包括:传统模型、最新模型等,运用大量的数据对研究结果进行分析,例如投资基金的资产配置对于收益率资金的贡献如何。并且针对这一分析结果对资产配置提出了诸多建议,以便于在证券投资中更好的权衡资产配置。     

夹层融资——企业融资方式创新

我国的企业融资体系是典型的以银行融资为主导的体系,企业特别是中小企业融资困难,融资渠道单一.夹层融资是在国际市场蓬勃发展的企业融资方式,进行夹层融资创新是解决企业融资困难的有效途径之一.本文对夹层融资产品和市场进行了研究,结合国际市场发展趋势和我国企业融资现状,指出了我国发展夹层融资的途径和意义,从理论和实践方面,对我国企业融资和商业银行的业务创新提出了新的思路.     

Asset Allocation and Selectivity of Asian Mutual Funds During Financial Crisis

This paper evaluates the ability of US-based Asian mutual fund managers in coping with the 1997 Asian financial crisis. We find that the actively managed mutual funds under-perform with respect to the market portfolio by 1.71% in average monthly return. Such poor performance is caused by fund managers' relative weakness in country selection as well as in stock picking. Fund managers are also found to be more skillful in picking the correct market when the market is going up than going down. Our results are consistent with the literature that asset allocation in Asian mutual funds is a dominating factor relative to selectivity in explaining fund returns during the financial crisis. In addition, there exists a negative relation between asset allocation ability and selectivity of fund managers.     

Running From a Bear: How Poor Stock Market Performance Affects the Determinants of Mutual Fund Flows

Abstract:  Using a proprietary data set to study how past performance affects the determinants of mutual fund flows for a sample of load fund investors, I provide evidence that the determinants of fund flow depend on market conditions for both redemptions and purchases. Specifically, I show that, for redemptions, relative performance and risk adjusted performance are important determinants during a period of record flows into mutual funds. Conversely, during a period of poor performance, absolute performance becomes much more important and relative performance and risk adjusted performance become less important. For purchases, absolute performance, risk adjusted performance, and most relative performance measures become more important during the bear market.     

Equity Fund Performance Persistence with Investment Style: Evidence from Korea

Using a comprehensive database on equity funds in Korea, we investigate the performance and performance persistence with investment style employing the Fama and French three-factor model and the Carhart four-factor model. The paper finds that most investment styles in Korea noticeably outperform the passive benchmarks. In addition, positive performance persistence is observed among funds investing in large-cap stocks and stocks of high past performance. Finally, outperformance and positive performance persistence of equity funds are still present in various ranking and postranking horizons. These empirical findings are in sharp contrast with results from earlier studies on markets in developed countries, such as the United States.     

Jumps and Dynamic Asset Allocation

This paper analyzes the optimal dynamic asset allocation problem in economies with infrequent events and where the investment opportunities are stochastic and predictable. Analytical approximations are obtained, with which a thorough comparative study is performed on the impacts of jumps upon the dynamic decision. The model is then calibrated to the U.S. equity market. The comparative analysis and the calibration exercise both show that jump risk not only makes the investor's allocation more conservative overall but also makes her dynamic portfolio rebalancing less dramatic over time.     

市场竞争的基金治理效应:理论假说与实证检验

论文首先提出了"市场竞争的基金治理效应假说",在此基础上论文以开放式基金为例对我国基金层面的市场竞争结构进行了考察,发现我国基金业存在大基金垄断和一定程度的过度竞争并存的问题;进一步,论文首次给出了衡量基金治理效率的指标体系,并通过实证检验证实了治理效应假说存在,即市场竞争结构对基金治理具有显著影响。     

《金融工具确认和计量》准则对基金投资的影响

现行会计准则体系中《金融工具确认和计量》准则首次对金融工具的确认和计量做出了相关规定。本文分析了该准则对基金投资可能产生的影响，认为一方面公允价值计量模式将引起基金估值的变化，另一方面公允价值变动可能引起基金分红规模的扩大，这对基金投资者的影响是显而易见的。本文结合这两方面的影响对基金投资提出了相关建议。     

投资基金的虚拟资本性质研究

虚拟资本的概念源自于马克思，它有动员储蓄、优化资源配置、实施企业监管、便于风险管理以及促进商品和服务贸易的功能，有助于研究金融市场。本文探讨投资基金的虚拟资本的性质。投资基金自产生时就有乘数效应。投资基金的操作、定价、风险配置机制具有全部的虚拟资本的特点。本文指出投资基金市场的一些缺陷。     

公共养老储备基金资产配置比较研究与启示——基于挪威、法国、爱尔兰、新西兰四国公共养老储备基金比较分析

公共养老储备基金的资产配置策略是以储备基金的营运目标为导向制定的。设定基准投资组合、分散化的全球资产配置、重视新兴市场与社会责任投资、再平衡策略与动态资产配置策略并重等成为近年来各国共公告养老储备基金资产配置的主要特征。基于全国社会保障基金的投资实践,文章提出了制定差异化的资产配置策略以实现不同阶段目标,投资监管模式和资产配置策略同步创新以实现投资监管与投资实践良性互动,加快资产配置策略的全球布局以实现区域经济套利和人口红利套利,注重储备基金的责任投资导向、凸显养老金绿色投资功能的改革建议。     

The Performance,Asset Allocation,and Investment Style of International Equity Managers

This paper evaluates the performance of 114 international equity managers over the January 1988–December 1997 period. Performance tests are conducted using Sharpe (1966) and Jensen (1968) performance methodologies. The managers are divided into mutual fund (n=54) and separately managed fund (n=60) investment management categories. Each management category is further divided by foreign and world (global) investment objectives. Three major findings are reported. First, international equity managers, on average, were unable to outperform the MSCI World market proxy during the sample period. However, world managers did perform better than their foreign counterparts. Second, geographic asset allocation and equity style allocation decisions enhanced the performance of international managers during the sample period. Third, separately managed funds outperformed mutual funds during the period studied when mutual fund returns are measured net of management fees. The apparent managed performance advantage abates, however, when mutual fund returns are adjusted to include management fees. Thus, we find no significant difference in the performance of the management categories when returns are measured gross of fees.