建立在中国股市的数量化投资模型实证分析

【作者】 汪敏；

【导师】 应坚刚；

【作者基本信息】 复旦大学 ， 金融（专业学位）， 2013， 硕士

【摘要】 继2004年、2005年分别发行光大保德信量化核心基金和上投摩根阿尔法基金后,时隔四年,嘉实量化基金和中海量化策略基金在2009年先后发行,量化基金再次进入人们的视线,这两只基金所采用的国际流行的数量化投资方法,也再次引起市场和投资者的关注。数量化投资在海外已有30多年的发展历史,已成为主流投资策略之一,但是对国内的普通投资者来说,它还是充满着神秘感。数量化投资策略一般都由高学历的数量分析师团队运作,他们使用复杂的理论模型和先进的计算机技术以求超越市场。虽然在理论上数量化模型应该能够获取超额收益,但是实际表现却常常引起很大争议。通常在牛市中数量化策略表现出色,在熊市中却也和其他策略一样面临巨大的风险。虽然在中国的市场上已经出现了很多的量化投资基金,表明已经有不少的人从事着量化投资的事业,但是,对于外界的人来说,量化投资就如同一个暗箱操作,很少有人真正的明白其操作的原理和其盈利的原因。本文为了揭开这层神秘的面纱,利用ATR Channel Breakout Bollinger Breakout、RSI Trend Catcher三个业内经典的模型,在对中国股票市场交易结构的合理假设下,对国内沪深300指数成分股的历史数据进行实证分析,从收益和风险两个方面比较它们的投资效果,并与沪深300指数的表现进行比较,结果发现,在经典的模型合理的修改下,在中国的市场上也能有较好的收益,但也存在着关于风险方面的问题,最后,根据量化模型具体交易的实践,分析了量化模型能够获利的原因,提出了自己的修改意见,为中国市场上数量化投资模型提供比较大的参考意义。更多还原

【Abstract】 Four years has passed since Everbright Pramerica Core QuantFund and Alpha Fund of China International Fund Management were launched respectively in2004and2005. Then Harvest Quant Fund was issued in2009followed by Zhonghai Quantitative Strategy Fund when people’s attention was caught by quant funds again. The world-wide used quantitative way in these two funds also made waves in the market and investors. Quantitative investment, as one of main investment strategies, has developed for over30years abroad, but still remained as mythic for China’s ordinary investors. Quantitative investing strategies are typically used by quantitative analysts who have high education background. They try to manipulate the market with complex theoreticalmodel and advanced computing techniques. Although quantitative model is expected theoretically to help get excessprofits, its actual performance is usually controversial. It could give an excellent performance inabullmarket, but faced the same big risks as other strategies in bear markets.The numerous quantitative funds emerged in China’s market have indicated that many managers are operating them. But to the outsiders, quantitative investment works like a black box and few can truly understand its theories and how it makes money. In order to uncover its mysterious veil, this paper, with reasonable assumption to Chinese stock markets’structure, uses three classic models in the industry, i.e. ATR Channel Breakout, Bollinger Breakout and RSI Trend Catcher to analyze the historical data of stocks in CSI300index. Besides investment effectiveness is measured through benefitsandrisks examination and a comparison is made with performance of CSI300indexes. All these come to a result that China’s market can also give a good performance with the classic models modified properly, but certain risks exist too. At last, this paper, based on transaction instances in quantitative model, analyzes the reasons why it can bring benefits and proposes modifying suggestions which are very instructive for China market’s quantitative investment model.更多还原