摘要
随着我国金融市场的成熟,投资者逐渐认识到大类资产配置的重要性。本文梳理了海内外资产配置策略的研究历程和基于因子的资产配置理论,对基于宏观因子的资产配置策略进行了实践,构造了有良好绩效表现的策略组合。研究发现:首先,在中国金融市场,影响股票、债券、商品等大类资产收益的宏观因子为经济增长、利率、通货膨胀、汇率、信用,使用这五个宏观因子可有效解释大类资产收益。其次,基于宏观因子的资产配置策略在中国金融市场也是有效的,在因子层面进行风险配置的效果优于在资产层面的风险分散。本文的研究成果可为金融研究机构和市场投资机构提供借鉴参考。
With the maturity of China′s financial market,investors have gradually realized the importance of large-scale asset allocation.This article combs the research history of asset allocation strategies in both domestic and foreign market,focuses on factor-based asset allocation theory,and practices asset allocation strategies based on macro factors,and constructs a combination of strategies with good performance.Through the study,it is found that:First of all,in China′s financial market,the macro factors that affect the returns of stocks,bonds,commodities and other major types of assets are economic growth,interest rates,inflation,exchange rates,and credit.The use of these five macro factors can effectively explain the returns of major types of assets.Secondly,the factor-based asset allocation strategy is also effective in the Chinese financial market.The effect of risk allocation at the factor level is better than the risk diversification at the asset level.The research results of this article can provide reference for financial research institutions and market investment institutions.
作者
牛晓健
章画意
NIU Xiaojian;ZHANG Huayi(School of Economics,Fudan University,Shanghai 200433)
出处
《贵州商学院学报》
2021年第3期22-37,共16页
Journal of Guizhou University Of Commerce
基金
国家自然科学基金面上项目“流动性压力、信息交互与价格联动——基于中国股票和债券市场多层复杂网络的风险交叉传播机制与控制修复策略研究”(71873039,71573051)。
关键词
资产配置
宏观风险
因子模型
量化投资
asset allocation
macro risk
factor model
quantitative investment
作者简介
牛晓健(1971-),男,复旦大学经济学院教授,博士,博士生导师。研究方向:量化投资;章画意(1996-),女,复旦大学经济学院硕士研究生。研究方向:量化投资。
