【正文】 交易操作的基金。投資者對(duì)于各種資產(chǎn)的收益率、標(biāo)準(zhǔn)差、協(xié)方差等具有相同的預(yù)期。量化投資策略作為一種主動(dòng)型投資管理方式，使用的信息集是全部公開信息，因此在市場(chǎng)是強(qiáng)勢(shì)有效的情況下也將失去效力。 半強(qiáng)勢(shì)效率市場(chǎng) 半強(qiáng)勢(shì)效率市場(chǎng)是指證券價(jià)格已經(jīng)充分反映所有的公開信息。 Equation Chapter (Next) Section 1 2 相關(guān)理論綜述 9 2 相關(guān)理論綜述 要研究投資策略的使用效果，那么前提是這種投資策略可以在市場(chǎng)上發(fā)揮作用，由此可以得出，研究量化投資策略使用效果的理論前提就是市場(chǎng)的有效性理論。論文創(chuàng)作后，總結(jié)本文的創(chuàng)新點(diǎn)主要為研究對(duì)象上的創(chuàng)新。簡(jiǎn)單的策略可能就是證券或組合的套利行為，如期現(xiàn)套利組合、市場(chǎng)異象 研究中的差價(jià)組合等。 本文的研究意義在于，國(guó)內(nèi)外學(xué)者對(duì)量化投資策略使用效果的專門研究還較少，供本文可參考的專門研究投資策略使用效果的理論和文獻(xiàn)十分有限，本文在此理論背景和研究基礎(chǔ)上，利用國(guó)內(nèi) A 股市場(chǎng)上現(xiàn)有的采用量化策略的基金數(shù)據(jù)，通過(guò)研究這些基金的績(jī)效、 擇股能力和擇時(shí)能力來(lái)考察分析使用量化投資策略的效果。量化投資策略根據(jù)一些量化的指標(biāo)來(lái)指導(dǎo)投資決策，這些指標(biāo)可以是技術(shù)分析學(xué)派使用的，如價(jià)格、成交量、成交額、移動(dòng)平均線數(shù)據(jù)等，也可以是學(xué)術(shù)分析學(xué)派使用的，如貨幣供應(yīng)量、公司財(cái)務(wù)指標(biāo)等，也可以是心理分析學(xué)派使用的，如投資者情緒指標(biāo)、分析師綜合預(yù)測(cè)等。量化投資策略作為投資策略的一種，在投資過(guò)程中具有重要的實(shí)踐意義。 VI 削弱通貨膨脹 ............................................................................... 錯(cuò)誤 !未定義書簽。 提高人才素質(zhì) ............................................................................... 錯(cuò)誤 !未定義書簽。 .................................................................... 錯(cuò)誤 !未定義書簽。 模型評(píng)價(jià)及改進(jìn) ........................................................................ 錯(cuò)誤 !未定義書簽。 多因子模型建立步驟 ................................................................... 錯(cuò)誤 !未定義書簽。 量化投資能否戰(zhàn)勝市場(chǎng) ................................................................ 錯(cuò)誤 !未定義書簽。 量化投資的現(xiàn)狀 ........................................................................... 錯(cuò)誤 !未定義書簽。 量化投資策略的使用理論支撐 .................................................... 錯(cuò)誤 !未定義書簽。 Performance evaluation TYPE OF THESIS: Theoretical Research and Case Study 目 錄 V 目 錄 1 緒論 ...................................................................................................................................... 7 選題背景和研究意義 ................................................................... 錯(cuò)誤 !未定義書簽。 T M model, H M model and the result of C L model also fully shows that almost all quantitative funds is the stock selection ability not statistically significant), and almost all quantitative funds don39。s 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 mechanism 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 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, pared to quantitative and qualitative investment can overe the weakness of human nature, in the access to information and investment decisions can reflect more discipline, and pared 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 homogeneity 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 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 2020, China successively since the launch of stock index futures, already can more pletely with the operation of the stock index futures to the quantitative market neutral strategy to increase the ine of the investors, however because of the trading mechanism is not perfect enough, and investors39。通過(guò)研究結(jié)果顯示，樣本中 60%左右的量化基金可以超過(guò)市場(chǎng)的均值和中信 A 股指數(shù)，這就說(shuō)明了量化基金所采用的量化策略在進(jìn)行投資過(guò)程中是有意義的； TM 模型、 HM 模型和 CL 模型的研究結(jié)果也充分表 明了幾乎全部量化基金具備正的擇股能力（在統(tǒng)計(jì)上并不是很顯著），以及幾乎全部量化基金都不具備正的擇時(shí)能力（只有 CL 模型的研究結(jié)論在統(tǒng)計(jì)上呈現(xiàn)顯著的趨勢(shì)）。 更是從宏觀的角度來(lái)說(shuō)，在近十年來(lái)經(jīng)濟(jì)全球化的進(jìn)程有了突飛猛進(jìn)的發(fā)展。當(dāng)然，在熊市中，基金則是更多地通過(guò)減倉(cāng)的目的來(lái)達(dá)到減少損失的效果，從 2020年，中國(guó)相繼推出股指期貨以來(lái)，本 來(lái)完全可以更多地配合股指期貨的操作方式來(lái)釆取市場(chǎng)中性策略來(lái)增加投資者的收益，然而因?yàn)槟壳敖灰讬C(jī)制還不夠完善，以及投資者的金融知識(shí)匱乏，并不能像西方資本主義市場(chǎng)那樣自由地使用所有的金融衍生產(chǎn)品來(lái)使得投資收益最大化。雖然中國(guó)的量化基金市場(chǎng)相對(duì)于歐美發(fā)達(dá)國(guó)家在數(shù)量和規(guī)模上還是會(huì)有很大的差距，但隨著市場(chǎng)機(jī)制的日益完善以及越來(lái)越多的創(chuàng)新產(chǎn)品逐步推出，加上交易監(jiān)管制度的漸趨完善，以及廣大投資者對(duì)金融知識(shí)的儲(chǔ)備的日趨豐富，相信中國(guó)的量化投資在近些年的發(fā)展過(guò)程中也一定會(huì)迎接快速發(fā)展的時(shí)期在國(guó)內(nèi)市場(chǎng)應(yīng)用前景不可估量。ABSTRACT I 摘 要 隨著我國(guó)經(jīng)濟(jì)的發(fā)展，對(duì)于國(guó)內(nèi)來(lái)說(shuō)，我國(guó)的量化投資正處在起步階段，而且量化投資的應(yīng)用近年來(lái)伴隨著資本市場(chǎng)的波動(dòng)也正在穩(wěn)步地發(fā)展。從這些一連串的數(shù)據(jù)可 以看出我國(guó)的量化投資還是仍然處于初級(jí)階段，在這之后，一些有關(guān)量化投資策略使用效果研究以及對(duì)國(guó)內(nèi)并不多見的量化基金這類產(chǎn)品研究也如雨后春筍般地多了起來(lái)。深入地究其原因，主要是因?yàn)榇蠖鄶?shù)的基金經(jīng)理他們不約而同地參考了多因子選股模型，這樣就會(huì)導(dǎo)致容易忽略基本面，加上行業(yè)的因素和市場(chǎng)風(fēng)格的轉(zhuǎn)換兩者也會(huì)毫無(wú)疑問(wèn)地會(huì)對(duì)投資績(jī)效產(chǎn)生比較突出的影響。為了克服這些難題，本文致力于建立一個(gè)取數(shù)于公開市場(chǎng)、邏輯結(jié)構(gòu)簡(jiǎn)單、易實(shí)現(xiàn)的量化擇基模型，為基金投資者提供可靠的投資建議。 因此，我們基于當(dāng)前的 情況，本文首先將 15 只量化基金累計(jì)凈值收益率同中信 A 股指數(shù)收益率和市場(chǎng)收益率三者之間進(jìn)行比較，以研究當(dāng)前量化基金采用量化投資策略的績(jī)效情況；再通過(guò)采用 TM 模型、 HM 模型和 CL 模型對(duì)其中的 9只量化基金的管理能力進(jìn)行了詳細(xì)的研究，進(jìn)而來(lái)評(píng)價(jià)量化基金在使用量化投資策略的擇股效果和擇時(shí)效果。s understanding of quantitative. China from August 27, 2020, the first quantitative fund products, since 2020, 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 effect and the domestic rare quantitative fund this kind of product research and also such as bamboo shoots up more. Although China39。 Again through the adoption of T M model, H M model and C L model of 9 quantitative fund management ability to carry on the IV detailed research, and then to evaluate quantitative funds in the use of quantitative investment strategies of stock selection effect and timing effect. Through the research results show that the sample of 60% or so of the quant funds can be more than the market average and citric ashare index, which means the quant quantitative st