对于指数基金定投择时择基的实证研究

发布时间：2018-04-22 08:45

本文选题：指数基金定投 + 标的指数　；参考：《西南财经大学》2012年硕士论文

【摘要】：随着我国社会经济的稳定快速发展和国民财富的日益积累,人们对资产保值增值的要求推动着我国资产管理业的服务扩展和产品创新。2005年以来,基金定期定额投资(简称基金定投)这种新型理财方式在一众理财投资工具中异军突起,在证券投资市场上逐渐占有一席之地。由于基金定投在国内还是新兴事物,针对基金定投的系统性研究还很少,普通投资者几乎只能从基金管理公司的各种宣传中略知一二。从2005年国内出现基金定投模式开始,我国股市经历从2005年下半年到2007年10月的大牛市行情,基金定投特别是指数基金定投的投资者和基金管理者们,都在这场狂欢中满载而归。可是接下来长达四年之久的熊市行情,无疑给投资者们兜头一盆冷水,大规模的赎回也让基金经理们焦头烂额。本文选择指数基金定投进行研究,源于自己从本科开始便对各种理财工具感兴趣,并且在研究生生活伊始,用每月的补助定投了一支指数基金,当然那时候对指数基金定投的了解还很浅显,所以面对周围家人朋友的各种询问和质疑,自己也只能胡乱搪塞过去。正是这样的经历让我在硕士论文选题时,首先便把关注点选在了指数基金定投上,希望自己经过深入的整理分析和实证研究,在自己弄懂这个问题的同时也能让更多的人了解指数基金定投这种新型理财模式。指数基金定投究竟是一种怎么样的理财方法?它适合什么样的人群?如何进行指数基金定投以达到自己的理财目标?本文试图沿着“择时——择基”这一线索,从选择较好的进入时点,到选择具体标的指数,再到选择以此标的指数作为跟踪对象的指数基金,最后到选择定投的期限……由此形成完整的指数基金定投选择策略。按照这种思路,本文首先从指数基金和基金定投的概述入手,引出指数基金定投的发展状况,对指数基金定投这种理财模式的特点进行初步的阐述。然后进入对指数基金定投的具体探讨：首先,将市场态势划分为四种基本类型,据此设立了简单的市场形态模型,探讨不同态势下指数基金定投的投资效果,从而找到指数基金定投的投资时机。其后,本文在基于各种文献资料的整理分析后提出“选择指数基金定投的三大标准”,并进行以下三个衔接有序的实证研究： (1)研究如何根据自己的风险偏好选择标的指数。本部分从国内已发布超过五年的指数中选取了六只具有代表性的指数,以“均值方差模型”为基础,利用均值和标准差两个指标来判断每个指数的收益和风险,根据2006年6月1日到2001年7月12日共1248个交易日数据,并划分三个阶段——第一阶段单边上扬连续共336天数据,第二阶段单边下探连续共253天数据以及第三阶段震荡调整连续共659天数据,得出各阶段不同指数的收益率描述统计结果,在选择标的指数方面对投资者有一定的参考意义。 (2)研究各类型基金跟踪误差并探讨跟踪误差的影响因素。本文在经过比较筛选后选取了九只2006年6月30日之前成立的指数基金作为考察对象,根据一般开放式指数基金、交易型开放式指数基金(ETF)和增强型指数基金三个类别进行基本分类,再采用2006年7月1日到2011年7月12日共1226个交易日的样本数据,收集每只指数基金的分红拆分情况,从而计算各指数基金剔除分红拆分因素前后的跟踪误差,以此进行跟踪误差的比较和分析。 (3)研究不同收费模式对指数基金定投的影响以及定投期限的选择。考虑到前后端收费模式、基金管理公司规模、基金成立日期和基金评级等因素后,经过筛选,本文选择2006年4月6日成立的大成沪深300作为考察对象,完全采用大成基金管理公司网站上的收费标准,运用包括从2006年6月1日到2011年5月31日共1219个交易日的该基金收盘价格数据,假定每月投资额500元,设定投资期从6个月、一年、两年、三年和五年,同时比较采用前端收费模式和采用后端收费模式的情况在这些投资期内的实际投资结果,并考虑了实际情况下可能的前端收费优惠折扣,从而全方位给投资者一个清晰直观的对大成沪深300定投的投资结果。综合以上分析,本文得出的主要观点如下：首先,指数基金定投作为一种理财方式,本身并无好坏之分,对于年轻人来说,了解指数基金定投既能帮助自己管理分配每期流入的现金流,也能帮助自己培养起长期的理财习惯。而从模型法研究中,本文发现指数基金定投并不像基金管理公司所宣传的那样,随时随地进入都无所谓。在选择进入时点时,仍然需要自身对后市的基本判断,在大盘将继续下行但未来最终会上行的大致判断下开始定投的收益会相对较好。另外,没有必要坚持完原定投资期,大盘点位较高达到自己心理点位的时候,即使投资期还未结束,果断终止定投并赎回,既是控制风险的要求也是保障既有收益的需要。其次,确定了进入时点之后,要选择适合自己风险承受能力的标的指数。实证结果显示,上证红利指数和上证50指数有利于在“预期市场下行之后最终是上行”预期下获取比同类指数更大的收益,但是同时这两个指数面临的风险也较大。再次,跟踪误差是评价指数基金的重要标准,因此应选择跟踪误差小的指数基金。从实证结果来看,交易型开放式指数基金(ETF)的跟踪误差确实比一般指数基金和增强型指数基金的跟踪误差小,而增强型指数基金由于存在主动管理部分,跟踪误差受基金管理者的策略和操作影响大。因为本文采用绝对值法计算,把正误差也算在跟踪误差其中,所以是选择完全跟踪指数的风格还是承受一定风险换取更高收益可能性的风格,投资者还要结合自己的偏好。最后,在拟定投资期的同时要考虑合适的收费模式。而同等条件下,尽量关注折扣优惠的活动,可以进一步减小成本——对指数基金定投来说,减小成本就是增大收益。具体看来,预期投资期会超过一年时,应尽量选择后端收费模式。如果在原定长期投资的基础上选择了后端收费模式,如果投资期不满一年便出现基金净值大幅上升或者基金大额分红派现,并且预期市场会上升放缓甚至开始震荡或走低,那么果断放弃原定的投资期,损失的后端申购费和赎回费用完全可以被赎回日当前基金总市值和分红轻易消化,从而获得远高于继续定投至到期所获得的投资收益率。本文的主要贡献在体现在几个方面：从选题来说,由于基金定投在国内算是新兴事物,而细化到对指数基金的定期定额投资的研究更是很难找到,所以选择研究指数基金定投这个题目,大量查找文献进行比较和总结,理清研究的脉络和思路,既是对自身学术研究能力的一次提升,也算是一次学术研究的创新。从研究角度和研究思路来说,我试图站在普通投资者的角度,思考一个普通投资者在选择理财方式的时候会考虑的问题和可能面临的选择,梳理出一条完整的选择指数基金定投的步骤,每一章节环环相扣,理论模型和实证研究相结合,从而对普通投资者更具有具体的指导意义。从主要观点来说,由于目前绝大多数人对指数基金定投的理解还停留在基金管理公司的宣传上,比如“平均成本分散风险”“长期持有定能有较好收益”“进入时机可任意选择”等等,但是事实是否真如基金管理公司所言,或者这些说法背后的支撑基础是什么,投资者是完全茫然的。所以本文选择具体真实的数据,进行大样本实证研究,得出的结论既能解释这些宣传上合理的部分,也告诉投资者其中值得质疑和思考的部分。
[Abstract]:With the steady and rapid development of China's social economy and the accumulation of national wealth, the demand for value preservation and appreciation of assets has promoted the service expansion and product innovation of the asset management industry in China for.2005 years. Take a place in the stock market.
Due to the investment fund investment in domestic or emerging things, there are few systematic studies on the investment of funds, the ordinary investors can only know only a little from all kinds of publicity of the fund management company. From the beginning of the domestic fund investment model in 2005, our stock market experience from the second half of 2005 to October 2007, the fund is fixed. Investors and fund managers, especially investors and fund managers, are all back in the carnival, but the four year long bear market will undoubtedly give investors cold water, and large redemptions have also left fund managers in a mess.
In this paper, we choose index fund to make a study. It originated from the interest of various financial tools from the beginning of the undergraduate course. And at the beginning of the postgraduate life, an index fund was invested with a monthly subsidy. It is this kind of experience that let me first select the point of concern in the index fund investment. I hope that I can understand this problem and let more people understand the new financial model of index fund investment.
What kind of financial method is the index fund investment? What kind of people do it fit for? How to make an index fund investment to achieve its own financial goals? This article tries to follow the clue of "timing and selection", from choosing better entry time point to selecting the index of body standard, and then choosing the index as the index. The index fund of the tracking object is finally selected to choose the deadline of the fixed investment, thus forming a complete index fund fixed investment and selection strategy.
According to this idea, this paper begins with an overview of index fund and fund investment, leads to the development of index fund investment, and gives a preliminary exposition of the characteristics of the investment model of index fund investment. Then, it enters into a concrete discussion on the investment of index fund. First, the market situation is divided into four basic types, which are set up accordingly. A simple model of market form is established to explore the investment effect of index fund investment in different situation, and to find the investment opportunity of index fund investment. After the analysis of various documents, this paper puts forward "three major criteria for selecting index fund investment" and carries out the following three cohesive and orderly empirical studies:
(1) how to choose the index of the standard according to its own risk preference. In this part, six representative indices have been selected from the index of more than five years in China. Based on the mean variance model, the income and risk of each index are judged by means of mean and standard deviation two, according to 7 from June 1, 2006 to 2001. On January 12, the data of 1248 trading days were divided and divided into three stages: the first stage single side upward continuous 336 days data, the second stage single side probing 253 days data and the third stage concussion adjustment for the continuous 659 days data, the income rate of different stages of each stage was described, and the investment in the index index was invested. It has some reference significance.
(2) study the tracking error of various types of funds and discuss the influencing factors of tracking error. In this paper, after comparative screening, nine index funds established before June 30, 2006 are selected as the research objects, and three categories of the general open index fund, the trading open Index Fund (ETF) and the enhanced index fund are carried out. The sample data of 1226 trading days from July 1, 2006 to July 2011 are used to collect the red resolution of each index fund, so as to calculate the tracking error of the index fund before and after the separation factor of the index fund, so as to compare and analyze the tracking error.
(3) to study the influence of different charging modes on index fund investment and the choice of fixed investment term. Considering the front and back toll mode, fund management company size, fund establishment date and fund rating, after screening, this paper chooses the Shanghai and Shenzhen 300 as the research object in April 6, 2006, and uses Dacheng Fund Management completely. The fee standard on the company's website, which includes the closing price data of the fund from 1219 trading days from June 1, 2006 to 31 May 2011, assumes a monthly investment of 500 yuan, setting the investment period from 6 months, one year, two years, three years and five years, while comparing the front end charging mode and the back end charging mode. The actual investment results in the period of investment and the possible preferential discount of front end charges in the actual situation are taken into consideration, thus giving investors a clear and intuitive investment result of the Shanghai and Shenzhen 300 investment investment.
Based on the above analysis, the main points of this paper are as follows:
First of all, index fund investment as a way of financing itself is not good or bad. For young people, understanding index fund investment can help themselves to manage the cash flow in each period and help themselves to develop long-term financial habits. As the company has publicize, it doesn't matter to enter anytime and anywhere. When choosing to enter the time point, it still needs its own basic judgment on the future. It will be relatively better to start the decision under the general judgement that the big plate will continue down but the future will eventually go up. In addition, there is no need to stick to the fixed investment period, and the market position is higher. When you are in a psychological position, even if the investment period is not over, resolutely terminating the fixed investment and redemption is both a requirement to control risks and a need to protect the existing income.
Secondly, after determining the entry time point, we should choose the index which is suitable for their own risk tolerance. The empirical results show that the Shanghai Stock Exchange Index and the Shanghai 50 index are beneficial to gain more income than the similar index in the expectation of "the expected market descending eventually", but at the same time, the two indices are also at greater risk.
Thirdly, the tracking error is an important criterion for evaluating the index fund, so the index fund with small tracking error should be selected. From the empirical results, the tracking error of the trading open Index Fund (ETF) is indeed smaller than that of the general index fund and the enhanced index fund, while the enhanced index fund has the active management part. The tracking error is affected by the strategy and operation of the fund manager. Because this paper calculates the positive error in the tracking error by calculating the absolute value method, so it is the style to choose the full tracking index or the style of taking a certain risk in exchange for the higher income possibility, and the investor should combine its own preference.
At the same time, the appropriate fee model should be considered while the investment period is drawn up. Under the same condition, we can further reduce the cost by paying close attention to the discount discount activity. For the index fund investment, reducing the cost is to increase the income. In particular, the expected investment period will be over a year, and the back end fee model should be chosen as far as possible. The back end charging model is selected on the basis of the original long-term investment. If the investment period is less than one year, the net value of the fund rises substantially or the fund is large dividends paid, and it is expected that the market will slow down or even begin to concussion or decline, then the original investment period will be abandoned, the back end bid and the redemption cost of the loss are completely available. On the day of redemption, the total market capitalization and dividends of the fund are easily digested, thereby achieving a much higher return on investment than the continued investment.
The main contributions of this article are in several aspects:
Since the selection of the fund is a new thing in China, it is difficult to find the research on the regular quota investment of the index fund. Therefore, it is very difficult to find the subject of index fund investment, so as to find a large number of literature to compare and summarize it, to clarify the pulse and train of thought of the research, which is not only one of its own academic research ability. The promotion is also an innovation in academic research.
From the perspective of research and research, I try to stand in the perspective of ordinary investors and think about the problems and possible choices that an ordinary investor will consider when choosing a way of financial management. I will sort out a complete set of steps to choose the index fund, each chapter is linked together, the theoretical model and the empirical study are combined. It has more specific guiding significance for ordinary investors.
From the main point of view, because the overwhelming majority of the people are still at the fund management company's propaganda, such as "the average cost decentralization risk", "the long-term holding can have better income" and "the opportunity to choose" and so on, but whether the fact is true as the fund management companies say, or these What is the foundation behind the statement is that the investor is completely at a loss. So this paper chooses the actual data to carry out a large sample empirical study, and the conclusions can explain both the reasonable part of the propaganda and the part of the investors who are worth questioning and thinking.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5

【参考文献】