明风格，定方向：权益基金风格识别研究.pdf
敬请参阅最后一页特别声明 -1- 证券研究报告 2018 12 19 金融工程 明风格，定方向： 权益基金风格识别研究 FOF 专题系列报告之 十 金融工 程深 度 FOF 90% FOF HBSA RBSA 1 2 3 11 1694 1 2 3 4 分析师 ( S0930517040001) 021-52523679 liujunweiebscn 相关研 报 FOF ······································ 2018-08-03 FOF ······································ 2018-05-29 Glide Path FOF ······································ 2018-05-07 FOF ······································ 2018-04-10 RSRS FOF ······································ 2018-03-05 FOF ······································ 2017-09-01 FOF FOF ······································ 2017-07-25 FOF ······································ 2017-06-28 FOF FOF ······································ 2017-06-05 2018-12-19 敬请参阅最后一页特别声明 -2- 证券研究报告 1 . 4 1.1 . 4 1.2 . 4 1.3 . 5 2 . 7 2.1 . 7 2.2 . 9 2.3 . 13 3 . 14 3.1 . 14 3.2 . 14 4 . 16 4.1 . 16 4.2 . 17 5 . 19 6 . 20 2018-12-19 敬请参阅最后一页特别声明 -3- 证券研究报告 1 . 4 2 . 6 3 . 8 4 . 8 5 . 9 6 . 9 7 . 10 8 . 10 9 . 11 10 . 12 11 . 12 12 . 12 13 . 15 14 . 15 15 - . 15 16 . 16 17 . 16 18 . 17 19 . 17 20 - . 17 21 (000083.OF) 2018 . 18 22 . 18 23 . 19 1 . 6 2 . 8 3 . 13 2018-12-19 敬请参阅最后一页特别声明 -4- 证券研究报告 1 1.1 Sharpe(1999) or TMT 1 1.2 2018-12-19 敬请参阅最后一页特别声明 -5- 证券研究报告 Sharpe 90% 1 FOF 1.3 HBSA RBSA Return-Based Style Analysis RBSA Holding-Based Style Analysis HBSA 1 Sharpe, W. (1990): “Determining a Funds Effective Asset Mix”, Investment Review, 2, 59-69.
