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【天风金工吴先兴团队】专题报告二十三

来源: 南方日报网络版     时间: 2019年10月14日 14:54:45
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(通)(常)(,组)(合)(优)(化)(模)(型)(中)(的)(预)(期)(收)(益)(是)(以)(因)(子)(收)(益)(率)(的)(历)(史)(平)(均)(值)(来)(估)(计)(的)(,这)(实)(际)(上)(给)(近)(期)(和)(远)(期)(的)(因)(子)(收)(益)(赋)(予)(了)(相)(同)(的)(权)(重)(。在)(因)(子)(收)(益)(较)(为)(平)(稳)(的)(市)(场)(环)(境)(里)(,这)(样)(处)(理)(是)(合)(理)(的)(。但)(是)(当)(因)(子)(收)(益)(发)(生)(明)(显)(变)(化)(时)(,仍)(然)(对)(滞)(后)(的)(因)(子)(收)(益)(赋)(予)(较)(高)(的)(权)(重)(就)(会)(使)(得)(对)(预)(期)(因)(子)(收)(益)(的)(估)(计)(明)(显)(滞)(后)(于)(市)(场)(,从)(而)(影)(响)(组)(合)(优)(化)(结)(果)(。
以)(规)(模)(因)(子)(为)(例)(。图)(1为)(月)(度)(的)(规)(模)(因)(子)(收)(益)(序)(列)(。可)(以)(看)(出)(2016年)(年)(末)(以)(来)(,规)(模)(因)(子)(收)(益)(持)(续)(呈)(现)(正)(向)(,而)(之)(前)(在)(大)(多)(时)(候)(,规)(模)(因)(子)(的)(收)(益)(为)(负)(向)(。因)(此)(,在)(规)(模)(因)(子)(收)(益)(方)(向)(发)(生)(改)(变)(时)(,以)(历)(史)(平)(均)(值)(估)(计)(预)(期)(因)(子)(收)(益)(,就)(会)(出)(现)(较)(大)(的)(偏)(差)(,这)(样)(会)(严)(重)(影)(响)(组)(合)(的)(表)(现)(。但)(是)(,如)(果)(给)(予)(近)(期)(因)(子)(收)(益)(较)(大)(的)(权)(重)(,就)(能)(够)(更)(加)(及)(时)(地)(根)(据)(市)(场)(变)(化)(调)(整)(预)(期)(因)(子)(收)(益)(的)(大)(小)(与)(方)(向)(,从)(而)(提)(高)(收)(益)(预)(测)(的)(准)(确)(性)(。
图)(1:规)(模)(因)(子)(收)(益)(序)(列)(
资)(料)(来)(源)(:Wind资)(讯)(,天)(风)(证)(券)(研)(究)(所)(
因)(此)(,为)(了)(更)(加)(灵)(敏)(地)(反)(应)(市)(场)(环)(境)(的)(变)(化)(,可)(以)(在)(每)(一)(期)(进)(行)(组)(合)(优)(化)(之)(前)(,先)(判)(断)(哪)(些)(因)(子)(近)(期)(发)(生)(了)(较)(为)(剧)(烈)(的)(波)(动)(。其)(次)(,对)(于)(短)(期)(内)(发)(生)(剧)(烈)(波)(动)(的)(因)(子)(使)(用)(半)(衰)(加)(权)(的)(方)(法)(计)(算)(预)(期)(因)(子)(收)(益)(,给)(近)(期)(的)(因)(子)(收)(益)(更)(大)(的)(权)(重)(;而)(对)(于)(较)(为)(稳)(定)(的)(因)(子)(仍)(然)(使)(用)(简)(单)(平)(均)(计)(算)(预)(期)(因)(子)(收)(益)(。
可)(以)(通)(过)(因)(子)(短)(期)(偏)(离)(的)(大)(小)(以)(及)(方)(向)(衡)(量)(因)(子)(收)(益)(在)(近)(期)(是)(否)(较)(大)(波)(动)(。因)(子)(短)(期)(偏)(离)(计)(算)(如)(下)(:
其)(中)(,fs为)(日)(度)(因)(子)(收)(益)(的)(20日)(均)(值)(,fl为)(日)(度)(因)(子)(收)(益)(的)(240日)(均)(值)(,σl为)(日)(度)(因)(子)(收)(益)(的)(240日)(标)(准)(差)(。
通)(过)(24个)(月)(的)(月)(度)(因)(子)(收)(益)(均)(值)(确)(定)(因)(子)(的)(长)(期)(方)(向)(。当)(因)(子)(短)(期)(偏)(离)(的)(绝)(对)(值)(大)(于)(一)(定)(阈)(值)(,并)(且)(因)(子)(短)(期)(偏)(离)(的)(方)(向)(与)(因)(子)(长)(期)(方)(向)(相)(反)(时)(,则)(认)(为)(该)(因)(子)(在)(近)(期)(发)(生)(了)(较)(大)(的)(波)(动)(,应)(当)(给)(予)(其)(近)(期)(因)(子)(收)(益)(更)(大)(的)(权)(重)(。具)(体)(地)(,以)(3个)(月)(半)(衰)(期)(计)(算)(权)(重)(,对)(过)(去)(12个)(月)(的)(月)(度)(因)(子)(收)(益)(率)(加)(权)(平)(均)(,作)(为)(预)(期)(收)(益)(率)(。
同)(样)(地)(,以)(规)(模)(因)(子)(为)(例)(对)(此)(加)(以)(说)(明)(。如)(图)(2所)(示)(,在)(大)(部)(分)(时)(候)(,规)(模)(因)(子)(长)(期)(方)(向)(为)(负)(向)(。当)(其)(短)(期)(偏)(离)(超)(过)(一)(定)(阈)(值)(时)(,则)(认)(为)(规)(模)(因)(子)(的)(方)(向)(发)(生)(了)(变)(化)(,在)(计)(算)(规)(模)(因)(子)(预)(期)(收)(益)(时)(应)(当)(更)(多)(关)(注)(其)(近)(期)(表)(现)(,而)(不)(是)(简)(单)(对)(历)(史)(因)(子)(收)(益)(取)(平)(均)(值)(。
图)(2:规)(模)(因)(子)(的)(长)(期)(方)(向)(与)(短)(期)(偏)(离)(
资)(料)(来)(源)(:Wind资)(讯)(,天)(风)(证)(券)(研)(究)(所)(
风)(格)(约)(束)(的)(选)(择)(
组)(合)(优)(化)(模)(型)(中)(通)(常)(会)(对)(组)(合)(相)(对)(于)(基)(准)(的)(风)(格)(因)(子)(暴)(露)(加)(以)(约)(束)(,并)(且)(会)(对)(所)(有)(因)(子)(进)(行)(约)(束)(。但)(是)(,每)(一)(次)(都)(约)(束)(所)(有)(因)(子)(往)(往)(是)(没)(有)(必)(要)(的)(。例)(如)(在)(一)(段)(时)(间)(里)(,某)(个)(风)(格)(因)(子)(的)(波)(动)(较)(小)(,则)(对)(该)(因)(子)(的)(约)(束)(对)(于)(控)(制)(组)(合)(风)(险)(的)(效)(果)(并)(不)(大)(,反)(而)(可)(能)(降)(低)(组)(合)(的)(收)(益)(。因)(此)(,在)(设)(置)(约)(束)(条)(件)(时)(,应)(当)(考)(虑)(对)(组)(合)(在)(哪)(些)(风)(格)(因)(子)(上)(的)(暴)(露)(进)(行)(约)(束)(。
对)(风)(格)(因)(子)(的)(约)(束)(主)(要)(希)(望)(控)(制)(组)(合)(相)(对)(于)(基)(准)(的)(因)(子)(暴)(露)(,从)(而)(控)(制)(组)(合)(的)(风)(险)(。因)(而)(,最)(应)(当)(约)(束)(的)(是)(最)(可)(能)(带)(来)(较)(大)(风)(险)(的)(因)(子)(。由)(于)(因)(子)(的)(风)(险)(具)(有)(一)(定)(的)(稳)(定)(性)(,近)(期)(的)(因)(子)(波)(动)(能)(够)(一)(定)(程)(度)(上)(反)(映)(其)(将)(来)(的)(风)(险)(。因)(此)(,可)(以)(选)(取)(历)(史)(波)(动)(较)(大)(的)(因)(子)(加)(以)(约)(束)(。
具)(体)(地)(,在)(每)(一)(期)(计)(算)(各)(因)(子)(在)(过)(去)(120个)(交)(易)(日)(的)(波)(动)(率)(,选)(取)(波)(动)(率)(最)(高)(的)(两)(个)(风)(格)(因)(子)(作)(为)(约)(束)(对)(象)(。此)(外)(,由)(于)(规)(模)(因)(子)(在)(A股)(市)(场)(上)(非)(常)(重)(要)(,因)(此)(当)(波)(动)(率)(最)(高)(的)(两)(个)(因)(子)(不)(包)(括)(规)(模)(因)(子)(时)(,会)(将)(规)(模)(因)(子)(加)(入)(其)(中)(。
图)(3:风)(格)(约)(束)(选)(择)(
资)(料)(来)(源)(:天)(风)(证)(券)(研)(究)(所)(
以)(图)(3为)(例)(。在)(第)(1期)(,近)(期)(波)(动)(最)(大)(的)(两)(个)(风)(格)(因)(子)(是)(ResidualVolatility和)(Liquidity,那)(么)(除)(了)(对)(这)(两)(个)(风)(格)(因)(子)(进)(行)(约)(束)(外)(,还)(会)(对)(规)(模)(因)(子)(Size加)(以)(约)(束)(。而)(在)(第)(2期)(,近)(期)(波)(动)(最)(大)(的)(两)(个)(风)(格)(因)(子)(是)(Size和)(Momentum,那)(么)(就)(会)(对)(这)(两)(个)(风)(格)(因)(子)(进)(行)(约)(束)(。
根)(据)(以)(上)(选)(择)(风)(格)(约)(束)(的)(方)(式)(,通)(过)(组)(合)(优)(化)(构)(建)(的)(组)(合)(是)(行)(业)(、规)(模)(中)(性)(的)(,并)(且)(根)(据)(因)(子)(的)(近)(期)(波)(动)(情)(况)(,选)(择)(性)(地)(对)(部)(分)(风)(格)(因)(子)(保)(持)(中)(性)(。
3
改)(进)(的)(组)(合)(优)(化)(模)(型)(实)(证)(
下)(面)(就)(上)(文)(所)(述)(关)(于)(预)(期)(收)(益)(以)(及)(风)(格)(约)(束)(的)(改)(进)(方)(法)(进)(行)(了)(实)(证)(。
组)(合)(优)(化)(实)(证)(参)(数)(
回)(测)(参)(数)(如)(下)(:
(1)回)(测)(时)(间)(:2010年)(1月)(-2017年)(6月)(
(2)调)(仓)(频)(率)(:每)(月)(末)(
(3)样)(本)(空)(间)(:每)(月)(末)(满)(足)(以)(下)(条)(件)(的)(所)(有)(A股)(
上)(市)(时)(间)(6个)(月)(以)(上)(;
非)(ST股)(及)(ST摘)(帽)(后)(3个)(月)(以)(上)(;
调)(仓)(当)(天)(收)(盘)(非)(涨)(跌)(停)(且)(非)(停)(牌)(。
(4)组)(合)(权)(重)(:以)(组)(合)(优)(化)(结)(果)(为)(预)(期)(权)(重)(,将)(不)(可)(交)(易)(的)(股)(票)(权)(重)(分)(配)(给)(组)(合)(其)(他)(股)(票)(。
(5)交)(易)(成)(本)(:双)(边)(0.3%(买)(0.1%卖)(0.2%)。
组)(合)(优)(化)(模)(型)(参)(数)(如)(下)(:
(1)风)(险)(厌)(恶)(系)(数)(λ=1;
(2)行)(业)(因)(子)(相)(对)(暴)(露)(阈)(值)(:[基)(准)(行)(业)(暴)(露)(×0.95,基)(准)(行)(业)(暴)(露)(×1.05];
(3)个)(股)(权)(重)(上)(限)(:1.5%。
每)(一)(期)(根)(据)(因)(子)(的)(短)(期)(偏)(离)(,确)(定)(计)(算)(预)(期)(收)(益)(的)(加)(权)(方)(式)(。从)(图)(2可)(以)(看)(到)(因)(子)(的)(短)(期)(偏)(离)(变)(化)(较)(为)(迅)(速)(。这)(就)(使)(得)(短)(期)(偏)(离)(的)(判)(断)(对)(阈)(值)(较)(为)(敏)(感)(。为)(了)(降)(低)(投)(资)(组)(合)(对)(阈)(值)(的)(敏)(感)(性)(,在)(每)(一)(次)(调)(仓)(时)(,本)(报)(告)(将)(所)(有)(资)(金)(分)(为)(5道)(,分)(别)(给)(定)(不)(同)(的)(阈)(值)((0.1,0.2,0.3,0.4,0.5),对)(每)(一)(道)(资)(金)(分)(别)(进)(行)(优)(化)(求)(解)(,然)(后)(将)(5道)(资)(金)(复)(合)(得)(到)(最)(终)(的)(投)(资)(组)(合)(。
组)(合)(优)(化)(实)(证)(结)(果)(
图)(4为)(复)(合)(组)(合)(的)(日)(度)(净)(值)(曲)(线)(与)(相)(对)(强)(弱)(曲)(线)(。
图)(4:复)(合)(组)(合)(净)(值)(与)(相)(对)(强)(弱)((2010年)(1月)(-2017年)(6月)()
资)(料)(来)(源)(:Wind资)(讯)(,天)(风)(证)(券)(研)(究)(所)(
下)(表)(统)(计)(了)(复)(合)(组)(合)(各)(年)(度)(的)(收)(益)(以)(及)(回)(撤)(情)(况)(。
表)(3:复)(合)(组)(合)(分)(年)(度)(收)(益)(统)(计)((2010年)(1月)(-2017年)(6月)()
资)(料)(来)(源)(:Wind资)(讯)(,天)(风)(证)(券)(研)(究)(所)(
可)(以)(看)(出)(,全)(样)(本)(期)(内)(,年)(化)(超)(额)(收)(益)(为)(13.76%,相)(对)(最)(大)(回)(撤)(为)(7.85%,信)(息)(比)(为)(2.24。除)(了)(2011年)(和)(2015年)(,各)(年)(度)(的)(年)(化)(超)(额)(收)(益)(均)(在)(10%左)(右)(。今)(年)(以)(来)((截)(至)(2017年)(6月)(30日)()绝)(对)(收)(益)(为)(3.30%,超)(额)(收)(益)(为)(5.30%。
作)(为)(组)(合)(优)(化)(系)(列)(报)(告)(的)(第)(一)(篇)(,本)(报)(告)(旨)(在)(对)(通)(常)(使)(用)(的)(组)(合)(优)(化)(模)(型)(提)(出)(一)(个)(改)(进)(思)(路)(,以)(适)(应)(多)(变)(的)(市)(场)(环)(境)(,后)(面)(我)(们)(会)(对)(组)(合)(优)(化)(模)(型)(的)(各)(个)(模)(块)(进)(行)(系)(统)(的)(分)(析)(和)(优)(化)(,敬)(请)(持)(续)(关)(注)(。
风)(险)(提)(示)(
市)(场)(环)(境)(变)(动)(风)(险)(,有)(效)(因)(子)(变)(动)(风)(险)(,优)(化)(模)(型)(失)(效)(风)(险)(。
天)(风)(金)(工)(专)(题)(报)(告)(一)(览)(
12017-08-10
52017-07-17
62017-07-11
10《》2017-06-12
112017-06-01
122017-05-25
132017-05-14
152017-04-16
162017-03-22
172017-03-10
18《金)(融)(工)(程)(:专)(题)(报)(告)(-基)(于)(自)(适)(应)(破)(发)(回)(复)(的)(定)(增)(选)(股)(策)(略)(》2017-03-09
19《金)(融)(工)(程)(:专)(题)(报)(告)(-定)(增)(节)(点)(收)(益)(全)(解)(析)(》2017-03-06
202017-03-06
212017-02-14
222017-02-13
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