公募基金仓位测算方法研究

Research on the Methods of Estimating the Position of Public Funds

基金仓位是基金投入股市的资金占基金所能运用的资产的比例。它是市场信息的一个反映,代表了投资者对市场的预期,基金仓位的高低可以作为投资者判断股票后市走向的指标。由于公募基金只在每个季度末披露仓位和持仓信息,这就导致了投资者与基金管理人之间的信息不对称性。本文将公募基金的日收益率与中信一级行业指数的日涨跌幅分别作为因变量和自变量,利用二次规划、逐步回归和Lasso回归这三种方法估计中信行业指数的系数,再对系数求和,从而得到基金仓位值。再结合季报公布的真实基金仓位值,比较上述三种方法得出的结果。结果表明逐步回归和Lasso回归这两种方法测算的误差比二次规划法测算的误差小,从而得出这两种方法比二次规划法解决此类问题效果更好。

Fund position is the proportion of funds invested in the stock market to the assets that the fund can use.It’s a reflection of market information and represents investors’expectations of the market.The position of the fund can be used as an indicator for investors to feel the future trend of the stock market.Public funds only disclose position information at the end of each quarter,which leads to an information asymmetry between investors and fund managers.In the paper,the daily return of public fund and CITIC industry index are taken as dependent and independent variables respectively.The coefficients of industry index are estimated by quadratic programming,stepwise regression and Lasso regression,and then the coefficients are summed up to obtain the position value of the fund.Errors of these three models are compared with the real fund positions published in the quarterly report.The results show that the errors of stepwise regression and Lasso regression are both smaller than that of quadratic programming.Therefore,the two methods are better than quadratic programming in solving such problems.