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1、ABSTRACT摘 要随着我国经济的发展，对于国内来说，我国的量化投资正处在起步阶段，而且量化投资的应用近年来伴随着资本市场的波动也正在稳步地发展。国内众多的学者对于量化投资策略运用效果的研究还不是很多，因此，本文通过研究量化基金的绩效及管理能力来研究量化投资策略在实际过程中的应用效果，这也是本文主要的研究意义所在，旨在提高大众对量化投资的理解和认识。中国从2004年8月27日的第一只量化基金产品出现以来，到2004年以来，一共有且只有60只量化基金出现，这其中的总规模就已经达到约为500亿元。从这些一连串的数据可以看出我国的量化投资还是仍然处于初级阶段，在这之后，一些有关量化投资策略使用效果
2、研究以及对国内并不多见的量化基金这类产品研究也如雨后春笋般地多了起来。虽然中国的量化基金市场相对于欧美发达国家在数量和规模上还是会有很大的差距，但随着市场机制的日益完善以及越来越多的创新产品逐步推出，加上交易监管制度的渐趋完善，以及广大投资者对金融知识的储备的日趋丰富，相信中国的量化投资在近些年的发展过程中也一定会迎接快速发展的时期在国内市场应用前景不可估量。而且量化投资有着自己独特的优势，这是因为量化投资和定性投资相比，更能克服人性上的弱点，对于在获取信息和进行投资决策时能够体现更多的纪律性，比起其他的投资方式，量化投资的策略会显得更加科学和完善。而从实际的状态来看，通过观察国内量化基金的投
3、资策略，对于投资标的的同质化的现象显得颇为严重。深入地究其原因，主要是因为大多数的基金经理他们不约而同地参考了多因子选股模型，这样就会导致容易忽略基本面，加上行业的因素和市场风格的转换两者也会毫无疑问地会对投资绩效产生比较突出的影响。当然，在熊市中，基金则是更多地通过减仓的目的来达到减少损失的效果，从2010年，中国相继推出股指期货以来，本来完全可以更多地配合股指期货的操作方式来釆取市场中性策略来增加投资者的收益，然而因为目前交易机制还不够完善，以及投资者的金融知识匮乏，并不能像西方资本主义市场那样自由地使用所有的金融衍生产品来使得投资收益最大化。着也就导致了同样的情况也出现在融资融券中，融资
4、费率和融券数量的限制使得一些在熊市中也可获利的策略无法大展身手。尽管许多数据提供商及基金评级机构公开了各自的基金业绩评价指标或评级公式，甚至有些卖方研究所也开发了量化择基模型，但是众多的择基方法不论是在数据获取成本、客观性、易行性等方面都存在或多或少的问题。为了克服这些难题，本文致力于建立一个取数于公开市场、逻辑结构简单、易实现的量化择基模型，为基金投资者提供可靠的投资建议。更是从宏观的角度来说，在近十年来经济全球化的进程有了突飞猛进的发展。随着国家间经济联系与交往的日益紧密,从商品、服务、劳动力的相互补充,到科技、信息的互通有无,以及资本国际流动规模的扩大,国家间的利益已经休戚相关,实行完全
5、封闭的对外经济政策在当今世界已不再可能。因而,任何国家都不可避免地或主动、或被动地卷入到经济全球化的浪潮当中,只是参与的程度有所一些的差别。因此，我们基于当前的情况，本文首先将 15 只量化基金累计净值收益率同中信 A 股指数收益率和市场收益率三者之间进行比较，以研究当前量化基金采用量化投资策略的绩效情况；再通过采用 T-M 模型、H-M 模型和 C-L 模型对其中的9只量化基金的管理能力进行了详细的研究，进而来评价量化基金在使用量化投资策略的择股效果和择时效果。通过研究结果显示，样本中 60%左右的量化基金可以超过市场的均值和中信 A股指数，这就说明了量化基金所采用的量化策略在进行投资过程中
6、是有意义的；T-M 模型、H-M 模型和 C-L 模型的研究结果也充分表明了几乎全部量化基金具备正的择股能力（在统计上并不是很显著），以及几乎全部量化基金都不具备正的择时能力（只有 C-L 模型的研究结论在统计上呈现显著的趋势）。最后本文总结了研究结论，并提出了一些决策性的建议。关 键 词：量化经济；投资策略；实施效果；绩效评估论文类型：理论研究和模型设定ABSTRACTWith the development of our economy, for domestic, quantitative investment in our country is in start level, and
7、the application of quantitative investment in recent years along with the fluctuations are steadily on the development of capital market. Many domestic scholars for the application of quantitative investment strategies to effect is also not many, therefore, in this paper, through the study of perfor
8、mance and quantitative funds management ability to study quantitative investment strategies in the process of practical application effect, this is the meaning, this article mainly research aimed at improving the publics understanding of quantitative.China from August 27, 2004, the first quantitativ
9、e fund products, since 2004, a total of only 60and quantitative funds, of which total scale has reached about 50 billion Yuan. A series of data can be seen from this quantitative investment or is still in its infancy in our country, after that, some studies quantitative investment strategies use eff
10、ect and the domestic rare quantitative fund this kind of product research and also such as bamboo shoots up more. Although Chinas quantitative fund market relative to the developed countries in the number and size of Europe and North America will still have a large gap, however, as the market mechan
11、ism increasingly perfect and introduced gradually, more and more innovative products and trade supervision system gradually perfect, and the general investors increasingly rich reserves of financial knowledge, believe that the process of the development of quantitative investment in China in recent
12、years are going to meet the rapid development period in the domestic market prospect is immeasurable. And quantitative investment has its own unique advantages, this is because, compared to quantitative and qualitative investment can overcome the weakness of human nature, in the access to informatio
13、n and investment decisions can reflect more discipline, and compared with other forms of investment, quantitative investment strategy would be a more scientific and perfect.And from the perspective of the state of actual, by observing the domestic quant funds investment strategy, the phenomenon of h
14、omogeneity for investment is very serious. Thoroughly investigate its reason, mainly because most fund managers they consulted many to one factor to choose a model, this will lead to easy to overlook the fundamentals, plus the industry factors and market style transformation both will no doubt be a
15、prominent impact on investment performance. , of course, in a bear market, the fund is more through reduced to achieve the purpose of reducing the effect of the loss, since 2010, China successively since the launch of stock index futures, already can more completely with the operation of the stock i
16、ndex futures to the quantitative market neutral strategy to increase the income of the investors, however because of the trading mechanism is not perfect enough, and investors lack of financial knowledge, unlike western capitalist market, and cant free to use all of the financial derivatives to make to maximize investment returns. Also can lead to the same situation also appeared in the margin, financing cost rate and the limit of the number of the
