A Study On Investment Strategy Of Ship Fund Based On Portfolio Theory

At present, ship building industry forms the following funding cycle chain: shipping companies'own capital-bank loans-ship building companies'credit-mortgage money back. 60%~80% of the total financing is from commercial bank loans, which will bring a serious financial risk. The international financial crisis happened from September 2008 exposed a financing problem in Chinese ship building industry. Establishing multi-channel financing system has become a bottleneck in the development of ship building industry. In this context, developing ship fund in China has great practical significance. Most of Chinese ship fund constitute investment strategies base on qualitative analysis, occasionally use cash flow evaluation methodology. In this way, the relationship between two projects will not be taken into account, and this will influence the validity of the strategy.This thesis based on Markowitz portfolio theory, did a systematic study on portfolio strategy of ship fund, combined the qualitative analysis and quantitative analysis, and put forward a set of top-down approach on optimal portfolio strategy. Firstly, it set a useful industry analysis method, which could be used to choose the appropriate investment objectives in the market segments of the ship industry. Secondly, based on Markowitz's mean - variance model, by changing the constraints of the model, this thesis established an asset allocation model for Chinese ship fund's investment portfolio which suits investment objectives and investment constraints of the fund. Thirdly, using required freight rates principle and the J curve theory to build the risks and benefits forecasting model of ship asset investment and non-listed companies equity investment respectively, to make convenience for using the history data to calculate a useful proportion of asset allocation, and then make the limited funding invest in one or several suitable sub-sectors. Finally, set a simple evaluation system to help investors choose the optimum investment projects efficiently.At the end of this thesis, to use the model to calculate a portfolio correlation among bulk assets, tank assets, ship-breaking company equity, bulk company equity, tank company equity, special ship company equity, and ship building company equity. And comparing it with the planning strategy of the ship fund, the comparative results demonstrate that the portfolio strategy is effective in the case.This study has reference value for ship fund to do portfolio optimization and asset adjustment.