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Research On Asset Allocation Management Of Securities Investment Fund In China

Posted on:2011-09-03Degree:DoctorType:Dissertation
Country:ChinaCandidate:Y GeFull Text:PDF
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Since 1980s, countries abroad have been doing research on asset allocation. However, China didn't start the study until 2003, and hasn't systematic and comprehensive performance till now. This paper has implemented theoretic and practical research on asset allocation management of securities investment fund in China in the view of investment according to the order "asset allocation at first-dynamic strategy change thereinto-fund performance evaluation at last".At first, this paper summarises the source of fund industry and the actuality of asset allocation of fund at home and abroad, and expounds the theretic basis and allocation principle of fund'asset allocation management.Second, detailedly exposing the elements, process and influencing factors of first-kind, second-kind and third-kind asset allocation of securities investment fund in order to establish original fund portfolio, and doing some corresponding empirical research at the same time.When having a research on the first-kind asset allocation of securities invenst fund, the paper has built panel-data model with 39 mixed-style fund and 13 terms. The result shows that strategic asset allocation factor accounts for 79.75% in the whole fund yield, therefore, strategic asset allocation factor is the most important to the performance of fund; When researching on the influencing factors of stock index, this paper has constituted AR(5) time-series model with Shanghai Composite Index from Jan 1997 to Aug 2009. The result indicates Shanghai Composite Index has a positive relation with AR(1) and AR(2), and a negative relation with AR(4) and AR(5). At the same time, this paper has also constituted across-sector date model with Shanghai Composite Index, PE etc from Jan 1997 to June 2009. The result indicates Shanghai Composite Index has a positive relation with PE, CPI, M1, HSI; When studying on the influencing factors of stock, this paper has founded dynamic panel-data model using 858 data. The result proves stock has a positive relation with AR(1), EPS, PE and Shanghai Composite Index, and a negative relation with Size.Third, fund manager has to do some adjustments because of the changeability of market. "Buy and hold, Constant mix and Portfolio insuarance" are three general dynamic asset allocation strategies. Through the empirical research on these strategies with the data from Jan 1997 to Jun 2001 and from Jun 2005 to Oct 2007, result signifys that it's suitable for "Buy and hold " strategy in mild bull market, for "Constant mix " strategy in vibratile bull market and for "Portfolio insuarance" strategy in strong-trend bull market.Fourth, performance of securities investment fund has been researched from various aspects in these ways of "whole performance, decomposition of performance and timing-security selection" with 31 stock-style funds by using Fama-French, T-M and J-K model. Results tell that the ability of whole management of fund isn't satisfying, the ability of stock selection is bad, but fund managers have certain timing selection ability.Finally, this paper has put forward some advice on the basis of collecting the reseach results.
Keywords/Search Tags:Asset Allocation Classification, Dynamic Allocation Strategy, Fund Performance, Timing and Security Selection
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