中国阳光私募基金评价体系研究

发布时间：2018-01-05 23:04

本文关键词：中国阳光私募基金评价体系研究　出处：《郑州大学》2013年硕士论文　论文类型：学位论文

【摘要】：2004年2月,深国投“赤子之心”证券投资集合资金信托计划的推出,正式拉开了阳光私募时代的帷幕。2007年起,阳光私募基金进入爆发式增长阶段：Wind资讯统计数据显示,截止2012年12月,阳光私募产品成立总数达到4053支,管理的资金总规模逾2373亿元。伴随着阳光私募市场的快速发展与规模的迅速扩充,在许许多多的阳光私募产品中,如何评价阳光私募产品,如何选择风险收益匹配的阳光私募,成为眼下需要急迫解决的问题。与公募基金不同,无论是投资门槛、开放期设置,还是净值披露、推介宣传等多个方面,阳光私募基金都具有自己独有的特征。当前评价公募基金的研究文献成千上万,但是,除了证券公司的几篇研究报告外,研究阳光私募基金评价体系的文献寥寥无几。笔者在实际工作中,也面临着“如何有效评价我国阳光私募基金”的工作难题。因此,研究阳光私募基金评价体系,具有重要的理论价值与现实意义。本文首先在考察国内外基金评价相关研究的基础上,阐述了证券投资基金评价的基本理论。然后,详细分析了阳光私募基金与公募基金的差异特征,构建了包括公司基本实力、投研团队、产品策略、产品契约、收益能力等五个一级指标、22个二级指标在内的阳光私募基金评价指标体系。并且,本文考察了国外HFR交易策略分类,参考融智评级对阳光私募基金的分类方式,选取股票多空、定向增发、相对价值、量化套利、大宗交易等5类投资策略,来区分研究阳光私募基金的综合评价。接下来,本文选择了市场上若干家知名阳光私募基金管理公司的产品为样本数据,按照上文构建的阳光私募基金评价体系,从定性和定量两个方面对不同策略的阳光私募基金产品进行了实证研究。实证研究结果表明,细分投资策略对阳光私募基金综合评价的影响是明显的,也得到了专家的认可,将投资策略以评价指标的形式引入综合评价体系是可行的,也是很有必要的。本文的创新之处主要体现在以下两个方面：一方面,结合阳光私募基金的投资策略对其进行评价,是目前所能搜集到的文献不曾进行过的研究。本文尝试了将阳光私募的投资策略与其评价结合起来,是一个大胆探索与突破。另一方面,本文在构建阳光私募基金评价指标体系的过程中,尝试了将契约章程、分成比例最优度、产品设计、规模最优度、公司规范度等指标纳入阳光私募基金评价体系,也是本文的一个尝试与创新。
[Abstract]:In February 2004, the launch of the "Heart of the Child" securities investment pooled fund trust plan, officially opened the curtain of the sun private placement era. 2007. Sun Private Fund entered the stage of explosive growth: wind information statistics show that as of December 2012, the total number of Sunshine Private equity products has reached 4, 053. With the rapid development of the sunshine private market and the rapid expansion of the scale, in many sunshine private equity products, how to evaluate sunshine private equity products. How to choose the risk and return matching sunshine private placement, become the urgent problem that needs to be solved urgently. Different from the public offering fund, whether it is investment threshold, open period setting, or net worth disclosure, promotion and so on many aspects. Sun private equity funds have their own unique characteristics. The current evaluation of public funds research literature thousands, but in addition to securities companies several research reports. There are few documents to study the evaluation system of sunshine private equity fund. In the actual work, the author is also faced with the problem of "how to effectively evaluate the sunshine private equity fund in our country". It is of great theoretical value and practical significance to study the evaluation system of sunshine private equity fund. On the basis of reviewing the relevant research of fund evaluation at home and abroad, this paper expounds the basic theory of securities investment fund evaluation. Then, it analyzes the characteristics of the difference between sunshine private equity fund and public fund in detail. This paper constructs the evaluation index system of sunshine private equity fund including the basic strength of the company, research team, product strategy, product contract, income ability and 22 second-level indexes. This paper investigates the classification of foreign HFR trading strategies, referring to the classification method of Rong Zhi rating for Sunshine Private funds, and selects five types of investment strategies, such as stock long short, directional additional issuance, relative value, quantitative arbitrage, bulk trading and so on. To distinguish the comprehensive evaluation of sunshine private equity fund. Next, this paper selects the products of several well-known sunshine private equity fund management companies as the sample data. According to the evaluation system of sunshine private equity fund, this paper makes an empirical study on the sunshine private equity fund products with different strategies from the qualitative and quantitative aspects. The empirical results show that. The influence of subdivision investment strategy on the comprehensive evaluation of sunshine private equity fund is obvious and recognized by experts. It is feasible and necessary to introduce investment strategy into the comprehensive evaluation system in the form of evaluation index. The innovation of this paper is mainly reflected in the following two aspects: on the one hand, combined with the investment strategy of sunshine private equity fund to evaluate it. This paper attempts to combine the investment strategy of sunshine private equity with its evaluation. On the other hand, it is a bold exploration and breakthrough. In the process of constructing the evaluation index system of sunshine private equity fund, this paper tries to divide the contract charter into proportional optimal degree, product design and scale optimal degree. It is also an attempt and innovation of this paper to incorporate the standard degree of company into the evaluation system of sunshine private equity fund.
【学位授予单位】：郑州大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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