金融供给侧结构性改革背景下的基金投资策略研究--基于K-Medoids的聚类分析

Research on Fund Investment Strategy under the Background of Structural Reform of Financial Supply Side

习总书记在中共中央政治局第十三次集体学习中强调深化金融供给侧结构性改革,增强金融服务实体经济能力。基金作为重要的机构投资者,其行为不仅关系到投资者的利益,对金融供给侧改革也具有重要影响力。合理有效地判断基金实际投资行为并分析金融供给侧改革对基金投资行为的影响成为重要话题。基于此,本文从反映基金结构特点的指标入手,应时地将基金结构性特征、投资策略和风险收益特征作为聚类分析的主要维度,通过K-Medoids聚类分析法对样本基金15个汇报期的实际投资行为进行判断,并与基金声称的投资策略进行对比分析。研究发现:大部分基金声称采用成长型投资策略,价值型投资策略匮乏;样本基金存在着较为严重的实际投资行为偏离招募说明书投资策略的现象,大部分基金的投资行为随股市波动发生变化;金融供给侧改革对基金的投资行为产生了一定影响。

In the thirteenth collective study of the Political Bureau of the CPC Central Committee, General Secretary Xi emphasized the deepening of the structural reform of the financial supply side and the enhancement of the financial service entity’s economic capabilities. As an important institutional investor, the fund’s behavior is not only related to the interests of investors, but also has an important influence on the reform of the financial supply side. It is an important research topic to reasonably and effectively judge the actual investment behavior of the fund and analyse of the impact of financial supply side reform on fund investment behavior. Based on this, this paper starts with the indicators reflecting the characteristics of the fund structure, and timely takes the structural characteristics, investment strategies and risk-return characteristics of the fund as the main dimensions of cluster analysis, and reports on the sample funds through K-Medoids cluster analysis method. The actual investment behavior of the period is judged and compared with the fund’s claimed investment strategy. The study found that most funds claim to adopt growth-oriented investment strategies and lack of value-based investment strategies;sample funds have serious phenomena of actual investment behavior deviating from the prospectus investment strategy, and most of the fund’s investment behavior changes with stock market fluctuations.Financial supply side reform has an effect on the fund in to a certain degree.