指数基金的增强机制及其绩效研究

发布时间：2018-01-10 17:00

本文关键词：指数基金的增强机制及其绩效研究　出处：《郑州大学》2013年硕士论文　论文类型：学位论文

【摘要】：指数基金的出现,超越了市场上采用主动投资但未能赢得大盘平均收益水平的基金,得到了市场的认可,带来了指数基金的迅猛发展。但在中国呈弱有效性特征的证券市场上,完全被动跟踪的指数基金在之后的发展中,往往未能为投资者争取到预期的收益,相反,却呈现出波动幅度大、收益不稳定等特征,反映出指数基金的完全被动式的投资策略存在着机制设计的缺陷。那么,为了取得预期的收益,指数化的投资机制就需要得到增强。在这种形势下,增强型指数基金顺应市场的需要就出现了,并成为了突破原有指数基金收益瓶颈的有效解决手段。这种增强化的指数基金采用的是一种相对积极的指数化投资运作方式,在指数基金跟踪目标指数的同时,还借助其他分析工具或金融产品,集合了被动投资与主动投资的优势,以期获得超过目标指数的收益水平。那么,这种增强型的指数基金,究竟能否真正解决指数基金的投资策略与收益的问题?其增强效果又是如何?这既是本文研究的出发点,也是本文的研究宗旨之所在。深入研究增强型指数基金的增强机制、全面评价增强型指数基金的增强效果,对于进一步推动指数基金的发展有着十分重要的理论价值,同时也对于引导证券市场健康、持续的发展有着重要的现实意义。本文结合中国证券市场的特征,挖掘了指数基金的增强机制,梳理了指数基金增强机制设计的背景、动因及具体的增强策略,进而构建了基于斯坦规则的跟踪误差理论模型。在此基础上,本文从指数基金投资收益、投资风险等影响基金业绩的核心因素出发,对我国增强型指数基金的绩效进行实证检验。研究发现,从整体看,增强型指数基金取得了正收益,战胜了市场,增强效果比较突出；虽然在一定程度上熨平、降低了基金的波动风险,但收益水平仍表现为不平稳,增强效果缺乏稳定性。另一方面,增强型指数基金的增强效果与所处的市场形势有关,增强效果在不同的市场阶段实现的程度不同,主要表现为：在牛市阶段,增强型指数基金的增强效果较为积极；而在熊市阶段,增强型指数基金的净值增长率会受基金波动的影响而使增强效果缩水。针对增强型指数基金目前出现的增强效果不稳定、不持续等问题,本文深度挖掘了内在原因,并对这些限制因素有针对性地提出增强证券市场的有效性,设计适合指数基金跟踪的目标指数,丰富市场交易形式,加强基金经理的专业能力培养等政策建议。
[Abstract]:The emergence of index funds, more than the market to take the initiative to invest but failed to win the average return level of the market, has been recognized by the market. It has brought the rapid development of index funds, but in the securities market with weak efficiency, the completely passive tracking index funds often fail to win the expected return for investors in the subsequent development, on the contrary. However, it shows the characteristics of large volatility and unstable returns, which reflects the defects in the mechanism design of the completely passive investment strategy of the index fund. Then, in order to obtain the expected income. The indexed investment mechanism needs to be strengthened. In this situation, the enhanced index funds meet the needs of the market. And it has become an effective solution to break through the original index fund income bottleneck. This enhanced index fund adopts a relatively positive indexed investment operation mode, while the index fund tracks the target index. With the help of other analytical instruments or financial products, the advantages of passive and active investment are pooled in order to achieve returns above the target index. Can we really solve the problem of investment strategy and income of index fund? What is the effect of its enhancement? This is not only the starting point of this study, but also the purpose of this paper. In-depth study of the enhanced index fund enhancement mechanism, comprehensive evaluation of the enhanced index fund enhancement effect. It has very important theoretical value for further promoting the development of index funds, and also has important practical significance for guiding the securities market to develop healthily and continuously. Combined with the characteristics of China's securities market, this paper excavates the strengthening mechanism of index fund, combs the background, motivation and specific enhancement strategy of index fund enhancement mechanism design. Then the tracking error theory model based on Stan rule is constructed. On this basis, this paper starts from the core factors which affect the performance of the fund, such as the investment return and investment risk of the index fund. This paper makes an empirical test on the performance of China's enhanced index funds. It is found that the enhanced index fund has achieved positive income, defeated the market, and the enhancement effect is more prominent. Although to some extent ironed down, reducing the risk of volatility of the fund, but the return level is still not stable, the effect of the lack of stability. On the other hand. The enhancement effect of the enhanced index fund is related to the market situation, and the degree of the enhancement effect is different in different market stages, the main performance is: in the bull market stage. The enhancement effect of the enhanced index fund is more positive; In the bear market, the net value growth rate of the enhanced index funds will be affected by the volatility of the funds. Aiming at the problems of unstable and unsustainable enhancement effect of the enhanced index funds, this paper deeply excavates the internal reasons, and puts forward to strengthen the effectiveness of the securities market in accordance with these restrictive factors. Policy suggestions such as designing target index suitable for index fund tracking, enriching market trading form, strengthening fund manager's professional ability training, etc.
【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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