|
货币基金收益率预测
数据采样：10月8日
交易所：银行间、上海、深圳证券交易所
交易品种：国债、企业债、央行票据、国债回购、企业债回购
约束条件：
- 平均剩余期限控制在180天以内
- 单只品种投资规模不超过基金规模的15%
- 流动性约束指在该期限内的配置比例下限
- 优化目标为净收益率最大化
- 不考虑套利等战术性配置收益
下表是在各种约束条件下最大收益率分布情况，平均剩余期限越长收益率越高；流动性约束越宽松，收益率越高。平均剩余期限控制在170-180天，且考虑流动性约束，收益率大体在2.43%-2.57%之间。如不对流动性和单只品种进行约束，最高收益率在2.58%-2.68%之间。
综合考虑基金发行时机、年终机构回笼资金惯例和利率预期，在实际资产配置中我们拟参照表2的计划，预期收益率2.46%(已扣除相关费用)。为了提高基金的超额收益，初期我们将动用大约20%的杠杆，从事跨期套利和跨市场套利，预期增加回报0.08%。
全部配置计划见表3，总预期回报2.54%。
表1：不同约束条件下组合最大收益率分布
流动性约束 |
期限目标 |
180 |
170 |
160 |
150 |
140 |
120 |
100 |
80 |
60 |
40 |
20 |
年收益率% |
0-30天》10% |
2.57% |
2.54% |
2.51% |
2.48% |
2.44% |
2.36% |
2.27% |
2.18% |
2.09% |
1.98% |
1.86% |
0-30天》15% |
2.55% |
2.53% |
2.51% |
2.48% |
2.44% |
2.36% |
2.27% |
2.18% |
2.09% |
1.98% |
1.86% |
0-30天》20% |
2.54% |
2.52% |
2.50% |
2.47% |
2.44% |
2.36% |
2.27% |
2.18% |
2.09% |
1.98% |
1.86% |
0-30天》25% |
2.52% |
2.50% |
2.48% |
2.46% |
2.40% |
2.36% |
2.27% |
2.18% |
2.09% |
1.98% |
1.86% |
0-30天》30% |
2.50% |
2.48% |
2.47% |
2.45% |
2.42% |
2.36% |
2.26% |
2.18% |
2.09% |
1.98% |
1.86% |
30-60天》=10% |
2.55% |
2.52% |
2.49% |
2.46% |
2.42% |
2.34% |
2.26% |
2.17% |
2.07% |
1.97% |
1.86% |
30-60》=15% |
2.52% |
2.50% |
2.48% |
2.45% |
2.41% |
2.34% |
2.25% |
2.16% |
2.07% |
1.97% |
1.85% |
30-60天》=20% |
2.50% |
2.48% |
2.46% |
2.43% |
2.40% |
2.33% |
2.25% |
2.15% |
2.06% |
1.96% |
1.84% |
30-60》=25% |
2.48% |
2.46% |
2.44% |
2.42% |
2.39% |
2.32% |
2.24% |
2.15% |
2.05% |
1.95% |
1.82% |
30-60天》=30% |
2.45% |
2.43% |
2.41% |
2.39% |
2.38% |
2.31% |
2.23% |
2.14% |
2.04% |
1.94% |
1.80% |
流动性不约束 |
2.58% |
2.55% |
2.51% |
2.48% |
2.44% |
2.36% |
2.27% |
2.18% |
2.09% |
1.98% |
1.86% |
单只上限和流动性不约束 |
2.68% |
2.64% |
2.60% |
2.56% |
2.52% |
2.44% |
2.34% |
2.24% |
2.15% |
2.05% |
1.91% |
表2：利用配置模型得出的最优配置计划
品种名称 |
期限 |
前收 |
收益率 |
投资比例 |
收益贡献 |
期限贡献 |
R007 |
7 |
2.33 |
2.33% |
0.00% |
0.00% |
0 |
RC007 |
7 |
2.415 |
2.42% |
0.00% |
0.00% |
0 |
Ｒ-007 |
7 |
2.2 |
2.20% |
0.00% |
0.00% |
0 |
ＲＣ-007 |
7 |
2.2 |
2.20% |
0.00% |
0.00% |
0 |
七日回购 |
7 |
0 |
0.00% |
0.00% |
0.00% |
0 |
七日回购 |
7 |
2.1999 |
2.20% |
0.00% |
0.00% |
0 |
04央票55 |
9 |
2.5 |
2.50% |
0.00% |
0.00% |
0 |
99国债09 |
13 |
2.4982 |
2.50% |
0.00% |
0.00% |
0 |
02021402 |
14 |
2.4 |
2.40% |
0.00% |
0.00% |
0 |
R014 |
14 |
2.22 |
2.22% |
0.00% |
0.00% |
0 |
Ｒ-014 |
14 |
2.5 |
2.50% |
0.00% |
0.00% |
0 |
14日回购 |
14 |
0 |
0.00% |
0.00% |
0.00% |
0 |
14日回购 |
14 |
2.27 |
2.27% |
0.00% |
0.00% |
0 |
21日回购 |
21 |
0 |
0.00% |
0.00% |
0.00% |
0 |
21日回购 |
21 |
2.4 |
2.40% |
0.00% |
0.00% |
0 |
04央票59 |
27 |
2.3368 |
2.34% |
0.00% |
0.00% |
0 |
R028 |
28 |
2.28 |
2.28% |
0.00% |
0.00% |
0 |
Ｒ-028 |
28 |
2.28 |
2.28% |
0.00% |
0.00% |
0 |
一月回购 |
28 |
0 |
0.00% |
0.00% |
0.00% |
0 |
一月回购 |
28 |
2.6 |
2.60% |
0.00% |
0.00% |
0 |
04国开07 |
30 |
2.6788 |
2.68% |
5.00% |
0.13% |
1.5 |
04央票61 |
34 |
2.4724 |
2.47% |
0.00% |
0.00% |
0 |
04央票63 |
41 |
2.3598 |
2.36% |
0.00% |
0.00% |
0 |
99国债11 |
44 |
2.5023 |
2.50% |
15.00% |
0.38% |
6.6 |
04央票65 |
48 |
2.2466 |
2.25% |
0.00% |
0.00% |
0 |
04央票67 |
52 |
2.2802 |
2.28% |
0.00% |
0.00% |
0 |
04央票69 |
59 |
2.3249 |
2.32% |
0.00% |
0.00% |
0 |
03国债12 |
60 |
0 |
0.00% |
0.00% |
0.00% |
0 |
Ｒ-063 |
61 |
0 |
0.00% |
0.00% |
0.00% |
0 |
二月回购 |
61 |
0 |
0.00% |
0.00% |
0.00% |
0 |
二月回购 |
61 |
2.5 |
2.50% |
10.00% |
0.25% |
6.1 |
02国债16 |
65 |
2.4652 |
2.47% |
0.00% |
0.00% |
0 |
04央票71 |
66 |
2.3431 |
2.34% |
0.00% |
0.00% |
0 |
01国债16 |
69 |
2.2958 |
2.30% |
0.00% |
0.00% |
0 |
04央票74 |
73 |
2.3292 |
2.33% |
0.00% |
0.00% |
0 |
04央票75 |
78 |
2.448 |
2.45% |
0.00% |
0.00% |
0 |
R091 |
91 |
2.6 |
2.60% |
0.00% |
0.00% |
0 |
Ｒ-091 |
91 |
2.6 |
2.60% |
0.00% |
0.00% |
0 |
三月回购 |
91 |
0 |
0.00% |
0.00% |
0.00% |
0 |
三月回购 |
91 |
2.5 |
2.50% |
0.00% |
0.00% |
0 |
四月回购 |
120 |
0 |
0.00% |
0.00% |
0.00% |
0 |
四月回购 |
120 |
3.1199 |
3.12% |
0.00% |
0.00% |
1.85E-12 |
04央票11 |
129 |
2.9804 |
2.98% |
0.00% |
0.00% |
0 |
04央票14 |
136 |
2.5822 |
2.58% |
0.00% |
0.00% |
0 |
04央票17 |
142 |
2.5559 |
2.56% |
0.00% |
0.00% |
0 |
04央票20 |
149 |
3.0802 |
3.08% |
0.00% |
0.00% |
0 |
鞍钢转债 |
153 |
0 |
0.00% |
0.00% |
0.00% |
0 |
04国债⑴ |
154 |
2.515 |
2.52% |
0.00% |
0.00% |
0 |
国债0401 |
154 |
1.8151 |
1.82% |
0.00% |
0.00% |
0 |
04国债01 |
154 |
2.3248 |
2.32% |
0.00% |
0.00% |
0 |
04央票23 |
156 |
3.086 |
3.09% |
0.00% |
0.00% |
0 |
04央票72 |
156 |
3.1376 |
3.14% |
0.00% |
0.00% |
0 |
04央票26 |
163 |
3.1143 |
3.11% |
0.00% |
0.00% |
0 |
04央票28 |
170 |
3.246 |
3.25% |
12.32% |
0.40% |
20.9433 |
04央票30 |
177 |
3.1438 |
3.14% |
0.00% |
0.00% |
0 |
R182 |
182 |
2.895 |
2.90% |
0.00% |
0.00% |
0 |
Ｒ-182 |
182 |
2.92 |
2.92% |
0.00% |
0.00% |
0 |
六月回购 |
182 |
0 |
0.00% |
0.00% |
0.00% |
0 |
六月回购 |
182 |
3.1 |
3.10% |
0.00% |
0.00% |
0 |
04央票32 |
184 |
3.2288 |
3.23% |
0.00% |
0.00% |
0 |
阳光转债 |
188 |
0 |
0.00% |
0.00% |
0.00% |
0 |
04央票33 |
191 |
3.0608 |
3.06% |
0.00% |
0.00% |
0 |
02进出02 |
199 |
3.037 |
3.04% |
0.00% |
0.00% |
0 |
04央票34 |
212 |
3.2041 |
3.20% |
0.00% |
0.00% |
0 |
98专项国债 |
218 |
3.5054 |
3.51% |
15.00% |
0.53% |
32.7 |
04央票36 |
219 |
3.3383 |
3.34% |
15.00% |
0.50% |
32.85 |
04央票39 |
226 |
3.2694 |
3.27% |
0.00% |
0.00% |
0 |
04央票41 |
233 |
3.2483 |
3.25% |
0.00% |
0.00% |
0 |
04央票42 |
240 |
3.1855 |
3.19% |
0.00% |
0.00% |
0 |
04央票43 |
247 |
3.2712 |
3.27% |
0.00% |
0.00% |
0 |
02电网 3 |
250 |
3.2 |
3.20% |
0.00% |
0.00% |
0 |
02国债07 |
251 |
2.6879 |
2.69% |
0.00% |
0.00% |
0 |
00国债05 |
252 |
2.5355 |
2.54% |
0.00% |
0.00% |
0 |
04国开10 |
267 |
3.4131 |
3.41% |
12.68% |
0.43% |
33.8567 |
04央票52 |
268 |
3.3177 |
3.32% |
0.00% |
0.00% |
0 |
Ｒ-273 |
273 |
0 |
0.00% |
0.00% |
0.00% |
0 |
九月回购 |
273 |
0 |
0.00% |
0.00% |
0.00% |
0 |
九月回购 |
273 |
2.5 |
2.50% |
0.00% |
0.00% |
0 |
04央票54 |
275 |
3.2858 |
3.29% |
0.00% |
0.00% |
0 |
04农发01 |
277 |
3.3124 |
3.31% |
0.00% |
0.00% |
0 |
04央票56 |
282 |
0.1194 |
0.12% |
0.00% |
0.00% |
0 |
04央票57 |
289 |
0.1167 |
0.12% |
0.00% |
0.00% |
0 |
00国开07 |
294 |
2.6558 |
2.66% |
0.00% |
0.00% |
0 |
04央票58 |
296 |
3.362 |
3.36% |
0.00% |
0.00% |
0 |
02国开09 |
297 |
2.6413 |
2.64% |
0.00% |
0.00% |
0 |
99宝钢债 |
302 |
3.1602 |
3.16% |
0.00% |
0.00% |
0 |
04央票60 |
303 |
3.4742 |
3.47% |
15.00% |
0.52% |
45.45 |
04央票62 |
310 |
3.4817 |
3.48% |
0.00% |
0.00% |
0 |
04央票64 |
317 |
3.366 |
3.37% |
0.00% |
0.00% |
0 |
04央票66 |
324 |
3.3234 |
3.32% |
0.00% |
0.00% |
0 |
04央票68 |
331 |
3.4821 |
3.48% |
0.00% |
0.00% |
0 |
04央票70 |
338 |
3.4363 |
3.44% |
0.00% |
0.00% |
0 |
02国债12 |
341 |
3.1407 |
3.14% |
0.00% |
0.00% |
0 |
04央票73 |
345 |
3.4873 |
3.49% |
0.00% |
0.00% |
0 |
04央票76 |
352 |
3.4971 |
3.50% |
0.00% |
0.00% |
0 |
一年回购 |
365 |
0 |
0.00% |
0.00% |
0.00% |
0 |
一年回购 |
365 |
3.4 |
3.40% |
0.00% |
0.00% |
0 |
表3：配置计划表
核心配置计划 |
战术套利配置计划 |
期限 |
180 |
组合构成 |
组合内比例 |
年回报水平 |
贡献 |
占基金规 |
增加的平均 |
总投资比例约束目标 |
100% |
模的比例 |
剩余期限 |
规划求解目标 |
3.14% |
银行间跨期套利 |
70% |
0.41% |
0.29% |
14% |
4.2 |
<30天 |
5% |
跨市场回购套利 |
30% |
0.34% |
0.10% |
6% |
5.46 |
30-60天 |
15% |
合计 |
100% |
- |
0.08% |
20.00% |
9.66 |
60-90天 |
10% |
|
|
|
|
|
|
90-120天 |
0% |
|
|
|
|
|
|
120-150天 |
0% |
|
|
|
|
|
|
150-180天 |
12% |
|
|
|
|
|
|
180-397天 |
58% |
|
|
|
|
|
|
净收益率 |
2.46% |
|
|
|
|
|
|
|
