公募基金持仓因子全解析.docx

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1、目录1、公募基金行业发展与现状.-8-1.1A股机构化进程加快.......................................................................................-8-1.2公募基金规模增速较快.................................................................................-9-1.3基金业绩长期战胜市场............................

2、...................................................-11-2、公募基金持仓数据............................................................................................-12-2.1基金样本范围.........................................................................................

3、......-12-2.2基金持仓数据的使用方式...........................................................................-13-2.3最新基金持仓行业暴露分析.......................................................................-15-3、基于公募基金持仓的选股因子构建.................................................

4、...............-16-3.1基本因子.......................................................................................................-16-3.2主动权重因子...............................................................................................-25-3.3主动需求因子.........

5、......................................................................................-33-3.4因子相关性分析...........................................................................................-38-4、公募基金持仓大类因子....................................................

6、................................-40-4.1大类因子合成...............................................................................................-40-4.2基金持仓大类因子表现...............................................................................-41-4.3大类因子间相关性分析......

7、.........................................................................-48-4.4与其他大类因子的进一步合成...................................................................-49-5、总结...........................................................................................

8、.........................-51-6、参考文献............................................................................................................-52-7、附录：基于重仓股的基金持仓因子.......................