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  本文選題：業(yè)績歸因 + 投資組合　； 參考：《南京大學(xué)》2012年碩士論文

【摘要】：業(yè)績歸因方法是科學(xué)度量投資經(jīng)理投資決策效果并幫助其改善投資業(yè)績最有效的方法之一,它是投資組合績效評價體系中的重要環(huán)節(jié)。業(yè)績歸因方法本質(zhì)上是將投資組合(Portfolio)的實際績效與一個市場基準(zhǔn)(Benchmark)的收益進(jìn)行比較,同時,將兩者之間的差額即超額收益分解成與投資經(jīng)理決策過程對應(yīng)的幾種效應(yīng)(Effect),以解釋超額收益的來源。 本文以債券定價公式為切入點,應(yīng)用微積分方法分解債券收益率從數(shù)學(xué)角度證明了債券的收益主要來自三個方面,分別是持有收益、利率曲線收益和利差收益,由于債券組合是眾多債券的集合,本文進(jìn)一步用數(shù)學(xué)公式分解了債券投資組合收益率。在這一基礎(chǔ)上本文從理論以及實務(wù)角度探討了債券組合的投資經(jīng)理為獲取相對基準(zhǔn)組合的超額收益可以采取的投資決策過程即實務(wù)中常用的“自上而下”投資決策過程,根據(jù)不同投資策略所要捕捉的不同超額收益將整個投資決策過程分解成五大投資決策過程因子并且與分解出的債券組合超額收益一一對應(yīng)最終得到構(gòu)成債券組合超額收益的五大歸因效應(yīng),分別為持有效應(yīng)、久期效應(yīng)、期限結(jié)構(gòu)配置效應(yīng)、債券品種配置效應(yīng)以及個券選擇效應(yīng)。 最后本文為了驗證模型得出的五大歸因效應(yīng)是否能夠完整解釋債券投資組合的超額收益還運(yùn)用國內(nèi)某投資公司的真實數(shù)據(jù)進(jìn)行了實證研究,實證結(jié)果表明：本文所提出的模型在期間較短如一個交易日的情況下比較有效,上述五大歸因效應(yīng)能解釋90%多的超額收益的來源,但是當(dāng)考察期間較長如一個月時誤差則較大,誤差較大的原因來源于諸多方面,首先當(dāng)考察期間較大時,本文通過求微分得到的近似公式不再有效,其次,由于跨度較大,外部現(xiàn)金流的干擾較大,導(dǎo)致Dietz近似收益率計算方式誤差較大,這一結(jié)果進(jìn)一步證明有必要采用跨期處理手段以更精確的得出較長期間下的歸因結(jié)果。
[Abstract]:Performance attribution method is one of the most effective methods to measure the investment decision effect of investment managers and help them to improve their investment performance. It is an important link in the portfolio performance evaluation system. The performance attribution approach essentially compares the actual performance of portfolio with that of Benchmark, a market benchmark, while, The difference between the two is decomposed into several effects corresponding to the decision process of the investment manager to explain the origin of the excess return. In this paper, the bond pricing formula is used to decompose the bond yield. From the mathematical point of view, the paper proves that the bond yield mainly comes from three aspects, namely, holding income, interest rate curve income and interest difference income. Since bond portfolio is a collection of many bonds, this paper further decomposes the yield of bond portfolio by mathematical formula. On this basis, this paper discusses the investment decision-making process that the investment manager of bond portfolio can take in order to obtain the excess return of the relative benchmark portfolio from the perspective of theory and practice, that is, the "top-down" investment decision-making process commonly used in practice. According to the different excess returns to be captured by different investment strategies, the whole investment decision-making process is decomposed into five major investment decision process factors, and corresponding to the decomposed bond portfolio, the excess returns can eventually be obtained to form the bond portfolio. The five attributional effects of excess returns, They are the holding effect, the duration effect, the term structure allocation effect, the bond variety allocation effect and the security selection effect. Finally, in order to verify whether the five attributional effects obtained by the model can fully explain the excess returns of the bond portfolio, this paper also makes an empirical study using the real data of a domestic investment company. The empirical results show that the proposed model is more effective when the period is as short as one trading day. The above five attributional effects can explain the origin of more than 90% of the excess returns, but the errors are larger when the period of investigation is longer, such as one month. The reasons for the larger error come from many aspects. Firstly, when the period of investigation is large, the approximate formula obtained by differential is no longer valid. Secondly, because of the large span, the interference of external cash flow is greater. As a result, the error of Dietz approximate rate of return is large. This result further proves that it is necessary to use the method of intertemporal processing to obtain more accurate attribution results in the longer term.
【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前1條

1 王慶芳;固定收益組合的業(yè)績歸因分析模型構(gòu)想[J];經(jīng)濟(jì)師;2005年05期

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本文編號：2034596