27 3 Vol. 27 No. 3 2014 6 Research of Finance and Education June. 2014 吴 栩, 陈敏鹏 510640 投资者对简单易行的投资策略梦寐以求本文在股票价格具有惯性和明星基金具有股票选择能力的现实情况下, 设计了一种简单易行的克隆明星基金投资策略, 并以实际的金融数据对该种投资策略的有效性进行了实证分析结果表明 : 该策略能够产生较好的投资收益, 投资者利用该策略进行投资是有效的 克隆明星基金 ; 价格惯性 ; 股票选择能力 : G11,G14,C53 : A : 2095-0098( 2014) 03-0030 - 05 2013-04 - 22 13YJC790150 20120172120050 2013 GD13YGL05 2013ZB0016 Franck et al. 2013 Momen - tum Effect Franck et al. 2013 Fama 1970 Efficient Market Hypothesis EMH Jegadeesh Titman 1993 EMH Asness et al. 2013 Franck et al. 2013 Grinblatt Keloharju 2001 1986-1988 -
3 31 Kaminsky et al. 2004 Franck et al. 2013 Fama French 1996 Fama - French FF3 Wu et al. 2012 Kubińska 2012 Asem Tian 2011 Balvers Wu 2006 Akarim Sevim 2013 Bauer et al. 2006 Fama et al. 2010 Myers et al. 2004 Baker et al. 2010 Hayes 2012 Tupitsyn et al. 2013 N Fund i i = 1 N. Fund i t Stock j i t j = 1 10 Stock j i t w j i t t Rank t i i = 1 N. N * = int 5% N + 1 int t 5% Fund i i = 1 N * t Fund i1 Fund in i 1 i n 1 N * i 1 < < i n M 10N *. Stock j 1 i 1 t Stock j n i n t Stock j 1 i 1 t. t t + 1 t t Stock j i t SRank t i = Stock j i t Fund i i N* w j i t W t i 1 Stock j i t Rank t i t W t i
32 2014 W t i = f Rank t i = 2 N* - i + 1 N * N * + 1 i = 1 N* 2 SRank t i Stock j i t j = 1 10 i = 1 N * Stock t k k = 1 M. t + 1 SRank t i t - t + 1 t SRank t i t + 1 2007 70 300 2007 4 1 2013 1 16 15 15 15 Ret m = Nav m - 1 Nav Nav m Nav m-1 m-1 m m - 1 1 1 1 2 3 4 5 6 7 8 0. 474-0. 176-0. 201-0. 147-0. 344 0. 037 0. 176 0. 454 0. 386-0. 066-0. 249-0. 136-0. 286 0. 065 0. 268 0. 380-0. 176-0. 201-0. 147-0. 344 0. 037 0. 176 0. 454-0. 032 9 10 11 12 13 14 15 16-0. 032 0. 101-0. 056-0. 126 0. 208 0. 032 0. 148-0. 069-0. 113 0. 095 0. 010-0. 150 0. 141 0. 081 0. 061-0. 031 0. 101-0. 056-0. 126 0. 208 0. 032 0. 148-0. 069-0. 098 17 18 19 20 21 22-0. 098-0. 126 0. 164 0. 119-0. 045-0. 058 0. 433-0. 158-0. 124 0. 080 0. 012-0. 020 0. 147 0. 393-0. 126 0. 164 0. 119-0. 045-0. 058-0. 099-0. 140 1 22 8 8 22 10 2
3 33 2 0. 433 0. 200 2. 166 0. 393 0. 192 2. 051-0. 140 0. 172-0. 813 2 Franck et al. 2013 2007 7 16 2013 1 16 SRank t i 1. J. 28 1 94-107. 2 Akarim Y. D. and Sevim S. The impact of mean reversion model on portfolio investment strategies Empirical evidence from emerging markets J. Economic Modelling 2013 33 453-459. 3 Asem E. and Tian G. Y. Market Dynamics and Momentum Profits J. Journal of Financial and Quantitative A- nalysis 2011 45 6 1549-1562. 4 Asness C. S. et al. Value and Momentum Everywhere J. The Journal of Finance 2013 68 3 929-985. 5 Baker M. et al. Can Mutual Fund Managers Pick Stocks Evidence From Their Trades Prior To Earnings Announcements J. Journal of Financial and Quantitative Analysis 2010 45 5 1111-1131. 6 Balvers R. J. and Wu Y. Momentum and mean reversion across national equity markets J. Journal of Empirical Finance 13 1 24-48. 7 Bauer R. et al. New Zealand Mutual Funds Measuring Performance And Persistence In Performance J. Accounting & Fina 2006 46 3 347-363. 8 Fama E. F. Efficient Capital Markets A Review of Theory and Empirical Work J. The Journal of Finance 1970 25 2 383-417. 9 Fama E. F. and French K. R. 1996. Multifactor Explanations of Asset Pricing Anomalies Returns J. Journal of Finance 51 1 55-84. 10 Fama E. F. and K. R. French. Luck Versus Skill In The Cross - Section Of Mutual Fund Returns Journal of Finance 2010 65 5 1915-1947.
34 2014 11 Franck A. et al. Momentum strategies of German mutual funds J. Financial Markets and Portfolio Management 2013 27 3 307-332. 12 Grinblatt M. and Keloharju M. What Makes Investors Trade J. The Journal of Finance 2001 56 2 589-616. 13 Hayes B. T. On The Market - Timing Ability Of Factor - Based Hedge Fund Clones J. The Journal of Alternative Investments 2012 15 1 8-42. 14 Jegadeesh N. and Titman S. Returns to buying winners and selling losers implications for stock market efficiency J. The Journal of Finance 1993 48 1 65-91. 15 Kaminsky G. et al. Managers Investors and Crises Mutual Fund Strategies in Emerging Markets J. Journal of International Economics 2004 64 1 113-134. 16 Kubińska E. et al. Disposition Effect Among Contrarian and Momentum Investors J. Journal of Behavioral Finance 2012 13 3 214-225. 17 Myers M. M. et al. Copycat Funds Information Disclosure Regulation And The Returns To Active Management In The Mutual Fund Industry J. Journal of law and economics 2004 47 2 515-541. 18 Tupitsyn M. et al. Hedge Funds Replication and Nonlinearities in Alternative Investments Instruments Performance Benchmarks and Strategies M Eds. by Kent Baker H. and G. Filbeck 2013 541-566 New York John Wiley & Sons Inc. 19 Wu Y. et al. Do Low - priced Stocks Drive Long - term Contrarian Performance on The London Stock Exchange J. Financial Review 2012 47 3 501-530. Study on the Building and Effectiveness of Clone Star Fund Investment Strategy WU Xu CHEN Minpeng School of Business Administration South China University of Technology Guangzhou Guangdong 510640 China Abstract Investors yearned for simple investment strategy. This paper proposes a clone star fund investment strategy based on the momentum of stock price and the stock selection ability of star funds and makes an empirical analysis on the effectiveness of this strategy based on actual financial data. The results show that the strategy can produce better returns it is an effective investment strategy for investors. Key words Clone Star Fund Price Momentum Stock Selection Ability ( 责任编辑 : 黎芳 )