开放式股票型基金仓位配置模型应用研究

The application research on position allocation of open-ended equity fund

开放式积极管理型基金的股票持仓动向是市场最为关注的指标之一,通过行业配置收益和规模收益解释基金的收益,并以此为基础构建基金仓位配置模型,使用多因素优化的方法模拟基金的仓位,版块配置及其配置的动态变化过程,结果显示模拟仓位与实际仓位的走势基本一致,且模拟的基金误差基本成正态分布。

As one of the indicators which the market concerns most, the trend of stock positions of open actively managed fund is important for investors. This paper aims to build the fund position allocation model on the basis of the fund＇s returns explained by the industry as well as scale＇s income, and suggests using the multi-factor optimization way to simulate the fund＇s position, forum configurations, and the dynamic change process of open-end fund＇s position. The results show that the actual position＇s movement is basically the same as the simulated position＇s, and the error of simulation turns out to be a normal distribution.