【正文】 ... 錯(cuò)誤 !未定義書(shū)簽。 Investment strategy。 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。t 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 borrowing makes some in bear markets can also be profitable strategy can not. Based on the current situation, this article will first 15 quantitative fund accumulative total value of yield with citric ashare index parison between returns and market returns, in order to study the current performance of quant funds using quantitative investment strategies。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。 關(guān) 鍵 詞 ： 量化經(jīng)濟(jì)；投資策略；實(shí)施效果；績(jī)效評(píng)估 論文類(lèi)型 ： 理論研究和模型設(shè)定 ABSTRACT III ABSTRACT With the development of our economy, for domestic, quantitative investment in our country is in start level, and 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 performance 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 public39。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)）。因而 ,任何國(guó)家都不可避免地或主動(dòng)、或被動(dòng)地卷入到經(jīng)濟(jì)全球化的浪潮當(dāng)中 ,只是參與的程度有所一些的差別。 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。 II 盡管許多數(shù)據(jù)提供商及基金評(píng)級(jí)機(jī)構(gòu)公開(kāi)了各自的基金業(yè)績(jī)?cè)u(píng)價(jià)指標(biāo)或評(píng)級(jí)公式，甚至有些賣(mài)方研究所也開(kāi)發(fā)了量化擇基模型，但是眾多的擇基方法不論是在數(shù)據(jù)獲取成本、客觀性、易行性等方面都存在或多或少的 問(wèn)題。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。 而從實(shí)際的狀態(tài)來(lái)看，通過(guò)觀察國(guó)內(nèi)量化基金的投資策略，對(duì)于投資標(biāo)的的同質(zhì)化的現(xiàn)象顯得頗為嚴(yán)重。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。 中國(guó)從 2020年 8月 27日的第一只量化基金產(chǎn)品出現(xiàn)以來(lái)，到 2020年以來(lái)，一共有且只有 60只量化基金出現(xiàn)，這其中的總規(guī)模就已經(jīng)達(dá)到約為 500億元。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。國(guó)內(nèi)眾多的學(xué)者對(duì)于量化投資策略運(yùn)用效果的研究還不是很多，因此，本文通過(guò)研究量化基金的績(jī)效及管理能力來(lái)研究量化投資策略在實(shí)際過(guò)程中的應(yīng)用效果，這也是本文主要的研究意義所在，旨在提高大眾對(duì)量化投資的理解和認(rèn)識(shí)。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(jiàn)的量化基金這類(lèi)產(chǎn)品研究也如雨后春筍般地多了起來(lái)。而且量化投資有著自己獨(dú)特的優(yōu)勢(shì)，這是因?yàn)榱炕顿Y和定性投資相比，更能克 服人性上的弱點(diǎn)，對(duì)于在獲取信息和進(jìn)行投資決策時(shí)能夠體現(xiàn)更多的紀(jì)律性，比起其他的投資方式，量化投資的策略會(huì)顯得更加科學(xué)和完善。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。著也就導(dǎo)致了同樣的情況也出現(xiàn)在融資融券中，融資費(fèi)率和融券數(shù)量的限制使得一些在熊市中也可獲利的策略無(wú)法大展身手。為了克服這些難題，本文致力于建立一個(gè)取數(shù)于公開(kāi)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。隨著國(guó)家間經(jīng)濟(jì)聯(lián)系與交往的日益緊密 ,從商品、服務(wù)、勞動(dòng)力的相互補(bǔ)充 ,到科技、信息的互通有無(wú) ,以及資本國(guó)際流動(dòng)規(guī)模的擴(kuò)大 ,國(guó)家間的利益已經(jīng)休戚相關(guān) ,實(shí)行完全封閉的對(duì)外經(jīng)濟(jì)政策在當(dāng)今世界已不再可能。 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。最后本文總結(jié)了研究結(jié)論，并提出了一些決策性的建議。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。 lack of financial knowledge, unlike western capitalist market, and can39。 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 detai