基于协整的指数追踪及增强策略研究
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引用本文:周 亮.基于协整的指数追踪及增强策略研究[J].经济数学,2017,(3):77-83
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作者单位
周 亮 (湖南财政经济学院 学报编辑部湖南 长沙 410205) 
中文摘要:选取沪深300指数和所有成分股2016年12月初至2017年5月底的所有日线级别数据,利用协整模型和追踪误差等检验指标,考察了不同追踪组合对沪深300指数及增加了10%年化收益的虚拟指数序列的追踪效果.结果发现:低PE组合、高价组合、低换手率组合在两个指数的追踪过程中均表现较好,高价组合和低换手率组合更是可以获得正的超额收益;在选择追踪组合时,单一标准优于组合标准.总的来说,协整模型能够较好实现对指数的追踪,也能够通过虚拟指数的设置,获得较为显著的alpha收益.
中文关键词:金融工程  指数增强策略  协整分析  量化投资  指数追踪
 
Research on Index Tracking and Enhancement Strategy Based onCointegration
Abstract:Based on all the daily data of the Shanghai and Shenzhen 300 Index and all constituent stocks from the beginning of December 2016 to the end of May 2017,this paper used the co-integration model and the validity test index to investigate the effects of different tracking combinations on the Shanghai and Shenzhen 300 Index and the increase index.The results show that the low PE combination,the high price combination and the low turnover ratio combination are better in the tracking process of the two indices,and the combination of the high price combination and the low turnover ratio combination can obtain positive excess returns; in the choice of tracking combination,the single standard is better than the combination standard.Generally speaking,the cointegration model can achieve the tracking of the index,and Alpha income can also be obtained through the setting of the virtual index.
keywords:financial engineering  index enhancement strategy  co-integration  quantitative investment  index tracing
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