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Research On Asset Allocation Strategy Of Mixed Fund In China

Posted on:2014-08-19Degree:MasterType:Thesis
Country:ChinaCandidate:Q Q LiFull Text:PDF
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As one of important institutional investors in Chinese capital market, securities investment funds’ investment behavior and performance are usually influenced by international and domestic macroeconomic conditions, the stock market, the bond market and so on. Thus, its asset allocation requires higher "timing" capacity of grasping the time point to build effective investment portfolio. However, a large number of empirical studies have shown that, asset allocation in the performance attribution analysis is often invalid for most hybrid funds in China. Therefore, based on the research on the risk spillover and dynamic correlation among the stock, bond and fund market, this paper has tried to explore categories of assets allocation strategies of hybrid funds.First of all, this paper have described the historical data trend of the stock market, bond market and fund market index, and presented a outlook of stock-bond market rotation in the recent decade by statistical analysis. The main findings are:the trend of the fund market index and the stock market index have shown a higher consistency on the whole, corresponding to each other with high and low points in many periods; while the bond market trend shows different characteristics during different time periods, and the frequency of stock-bond market rotation does not exceed50%calculated by month from year2002to year2013.Secondly, based on indicators including the CSI300Index, the CITIC and S&P Bond Index and the Chinese Fund Index from October16,2007to26February2013, this paper have used Vector Autoregressive (VAR) model and Dynamic Conditional Correlation Multivariate GARCH (DCC-MVGARCH) model to study the volatility spillover effect and the dynamic correlation among three types of markets respectively in the bear market, the bull market, and the concussion market, and finally calculated the dynamic correlation coefficient among them.The results are as follows:(1) there is bidirectional volatility spillover effects among the stock market, bond market and fund market under three types of stock market conditions on the whole, differed only in the extent, duration and the direction of mutual influence. Among them, the daily yield fluctuations of the stock market and the bond market index are mainly from its systemic risk, but the fund market yields is mostly influenced by volatility of the stock market with the positive impact (above90%), followed by its own market fluctuations with positive influence (approximately5%), and last is the minimal impact from the bond market with different directions under different stock market conditions.(2) dynamic correlation coefficients among three markets are time-varying. The yield fluctuations of the stock market and the bond market are positively correlated in the bear market, while negatively correlated in the bull market. The yield fluctuations of the bond market and the fund market are positively correlated in the bull or bear market, while negatively correlated in the concussion market. However, the yield fluctuations of the stock market and the bond market have shown highly positive correlation under all three stock market conditions, which reflects their high similarity in yield fluctuations, and the stock position has a significant impact on the returns and risks of fund investment portfolio.Finally, the paper has combined the correlation of stock-bond with hybrid fund asset allocation, constructed the dynamic asset allocation model based on the principle of portfolio with taking the position limits, the business cycle and other factors into account, thus obtained the referential proportions of categories of assets in different short-term business cycles by using historical data simulation and nonlinear solver method, and further put forward periodic suggestions on the industries allocation of stock assets.
Keywords/Search Tags:Dynamic Correlation, Business Cycle, Hybrid Funds, Asset Allocation
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