2017-2018第一学期金融专硕投资学课程论文 谁的钱更“聪明”? —追踪公募基金与QFI重仓股的策略研究 经济学院袁景 内容提要:本文以2005-2016年QFII或公募基金持股的A股上市公司为研究对象,分析了 ⊕FIⅠ与公募基金不同的行业配置风格,并通过实证方法检验追踪机构投资是否能够获取超额收益 率,在此基础上,本文设计了追踪机构投资的交易策略,并计算通过相关指标计算分析策略的收 益性与稳定性。本文硏究发现,QFII相对于公募基金而言,具有持仓集中度更高,偏好对大盘蓝 筹股持续持有的特征,⊕FIⅠ重仓股组合、II增持重仓股组合及公募基金重仓股组合均能够获取 超越大盘的收益率,其中QFI重仓股组合收益率更高、风险更小,值得为投资者参考。 关键词:QF公募基金重仓股量化交易策略 JEL分类号:G1l,G12 A Trading Strategy based on QFii and Mutual Fund Investment Tracking Abstract: This paper chose A-share companies held by QFll or mutual fund from 2005-2016 as research objects. We analyzed different investment styles of QFll and mutual fund, then verifies whether tracking institutional investment could bring us excess return. Finally, we designed a trading strategy base on the emprical result, and calculated the profitablity and stability of the strategy. Compared with mutual funds, QFll concentrated more on specific sectors and stocks, and QFll showed a preference for the large cap blue chips. QFll major stock holding, QFIl increased holding and mutual fund increased holdin portfolios had higher return than the market, while QFll major stock holding portfolio preformed best taking return and risk both into consideration Keywords: QFIl; Mutual Fund; Bulk-holding stocks; Quantitative Tading JEL: Gll, G122017-2018 第一学期 金融专硕投资学课程论文 谁的钱更“聪明”？ ——追踪公募基金与 QFII 重仓股的策略研究 经济学院 袁景 内容提要：本文以 2005-2016 年 QFII 或公募基金持股的 A 股上市公司为研究对象，分析了 QFII 与公募基金不同的行业配置风格，并通过实证方法检验追踪机构投资是否能够获取超额收益 率，在此基础上，本文设计了追踪机构投资的交易策略，并计算通过相关指标计算分析策略的收 益性与稳定性。本文研究发现，QFII 相对于公募基金而言，具有持仓集中度更高，偏好对大盘蓝 筹股持续持有的特征，QFII 重仓股组合、QFII 增持重仓股组合及公募基金重仓股组合均能够获取 超越大盘的收益率，其中 QFII 重仓股组合收益率更高、风险更小，值得为投资者参考。 关键词：QFII 公募基金 重仓股 量化交易策略 JEL 分类号：G11，G12 A Trading Strategy based on QFII and Mutual Fund Investment Tracking Abstract: This paper chose A-share companies held by QFII or mutual fund from 2005-2016 as research objects. We analyzed different investment styles of QFII and mutual fund, then verifies whether tracking institutional investment could bring us excessreturn. Finally, we designed a trading strategy based on the emprical result, and calculated the profitablity and stability of the strategy. Compared with mutual funds, QFII concentrated more on specific sectors and stocks, and QFII showed a preference for the large cap blue chips. QFII major stock holding, QFII increased holding and mutual fund increased holdin portfolios had higher return than the market, while QFII major stock holding portfolio preformed best taking return and risk both into consideration. Keywords: QFII; Mutual Fund; Bulk-holding stocks; Quantitative Tading JEL：G11，G12