基于分级基金a类的量化投资策略实证分析-empirical analysis of quantitative investment strategy based on classified fund a.docxVIP

摘要分级基金由于其创新的杠杆分离机制切合了投资者不同风险偏好的需求，已成为当下基金发行的主流。分级基金A类产品的收益率大多设定为定存利率上浮一定百分比，优于货币性基金收益，同时其上市品种的多样性和流动性也比二级市场的其它固定收益品种可操作空间要大得多，而且这种优势也会随着市场规模的发展而加速改善。围绕分级基金A类，构建收益率赶超现有货币型基金的稳固收益投资策略，已成为金融机构竞相追逐的目标和课题。本文在学习前人对分级基金研究成果的基础上，深入理解其定价及市场运行原理，分析并提取主要的分级基金A类价格影响因子，利用大智慧DTS策略交易平台对其进行定量研究和投资绩效回测，根据相应定量分析模型和回测效果构建出对应的量化投资策略，相信这样的量化投资策略实证研究会为机构投资者在开拓新的投资策略时提供一定的参考意义。关键词：量化投资，投资策略，分级基金AbstractStructuredFundhasbeenthemainstreamoffundissuingnowadays,foritsinnovationofleverageseparationmechanismfitinwiththevariousriskpreferenceneedsofdifferentinvestors.TheyieldsofStructuredFundclassAproductsareoftensettoacertainpercentagehigherthanthedepositinterestrate,whichisbetterthantheearningsofmonetaryfund,atthesametime,thevarietyandliquidityofitskindslistedhavemuchlargeroperationalspacethanthatofotherfixed-incomekindsinthesecondarymarket,furthermore,thedevelopmentofthemarketcanalsoacceleratetheimprovementofthisadvantage.Constructuringastable-earninginvestmentstrategythatcancatchupwithandsurpasstheexistingmonetaryfund’s,centeringonStructuredFundclassAproducts,hasbecomethegoalandtopicforfinancialinstitutionstocompeteandpursue.Basingontheresearchachievementsofpredecessors,thisessaydiscussesitspricingandmarketoperationprinciplesdeeper,analysesandextractsthemainfactorsimpactingthepricesofStructuredFundclassAproducts,usestheGreatWisdomDTSstrategytradingplatformtodoquantitativeresearchandinvestmentperformancebacktesting,thenconstructsthecorrespondingquantitativeinvestmentstrategiesaccordingtotheoutcomementionedabove.Webelievethatsuchquantitativeempiricalresearchwillhavereferentialmeaningforinstitutionalinvestorsinexploringnewinvestmentstrategies.Keywords：QuantitativeInvestment，InvestmentStrategy，StructuredFund目录第1章引言............................................11.1研究的背景、目的和意义........................................11.1.1背景分析：创新与竞争催生新的策略开发需求...........................11.1.2目的和意义.........................................................21.2论文的研究内容和章节安排......................................21.2.1论文的研究内容