基于Logistic预测模型的风格择时量化研究  

A quantitative research of style timing based on the logistic predictive model

作　　者：黄付生[1] 吴启权 

机构地区：[1]中央财经大学,北京100081 [2]中信建投证券有限公司,北京100010

出　　处：《证券市场导报》2010年第5期73-77,共5页Securities Market Herald

摘　　要：风格投资对基金业绩有重要影响,但风格固定并不是最优的投资策略,紧随风格变化、切换风格投资组合是战胜市场的关键。我们采用Logistic二元选择对风格轮换进行预测,得到较好的效果。研究发现,利用Logistic预测结果进行风格择时,能够获得相对于固定风格的显著的超额收益。Style investing plays an important role in the performance of funds, but a fixed style is not the optimal strategy, the key to overcome the market is switching the style portfolio with the change of style. Using logistic binary choice, we predict the rotation style, getting a better result. Employing logistic to predict the results and then determine style timing can obtain significant abnormal returns compared with the fixed-style.

关 键 词：基金业绩 风格投资 择时能力 Logistic预测 

分 类 号：F830.9[经济管理—金融学]