偏股型基金风险结构的时变性及风险定价研究

以CAPM模型为基础,构建两类预测回归方程,研究偏股型基金投资组合中风险结构的时变性和风险定价关系。结果发现,基金会根据市场行情的变化调整其投资组合的风险构成和风险水平,风险构成以系统风险为主,但非系统风险没有被充分分散化;牛市中,系统风险对基金超额收益率具有正预测能力,熊市中,系统风险对基金超额收益率具有负预测能力;不利用做空工具,基金整体无法规避熊市中系统风险带来的亏损;华夏大盘精选基金的优异业绩来源于单位非系统风险的获利能力。

Study of the Time-varying Risk Structure of Partial Stock Fund and Pricing

Based on CAPM model,two types of prediction equations are built to examine the time-varying risk structure of partial stock funds and their predictability of excess returns with risk measures. Main findings can be summarized as follows: risk structure and risk of funds are changed with the market quotation. Systemic risk is the main component and funds are substantially undiversified. A significant positive relation in bull market and a significant negative relation in bear market between time-varying systematic risk of fund and future fund excess return are found. The whole loss of funds brought by systematic risk in bear market cannot be avoided without short-mechanism. The outstanding excess return of China AMC Largecap Select Fund stems from profitability ability with per unit idiosyncratic risk.