阳光私募基金投资风格研究

发布时间：2018-03-20 17:51

本文选题：阳光私募　切入点：信托　出处：《北京交通大学》2014年硕士论文　论文类型：学位论文

【摘要】：阳光私募基金是由信托公司通过发行信托计划向特定投资者募集资金,经过监管机构备案,由托管银行托管,由专业的投资管理机构担任投资顾问,将信托资金主要投资于证券市场并定期向投资者披露投资业绩,投资者享受主要投资收益和承担主要投资风险的一种证券投资信托产品。鉴于项目管理以及投资决策等方面的需求,信托公司需要对阳光私募基金的投资倾向、风险偏好等特征进行具体研究。本文是从信托公司的视角进行研究,并利用实际数据进行量化分析。本文将投资风格分为操作风格和选股风格,提取了30只存续的阳光私募基金数据,在对A股市场账面市值比效应和规模效应进行实证检验的基础上,利用Fama-French三因素回归模型进行实证分析,着重研究基金的估值偏好和规模偏好。并且本文分别用差分后的市盈率指数和市净率指数代替估值因子进行双重检验,实现多角度的对投资风格进行验证。实证结果表明三因素回归模型能够比较有效的对阳光私募基金投资风格进行判别,通过市盈率和市净率双重检验,增强了成长型选股风格和价值型选股风格的可识别度和解释力。本文通过实证数据检验发现,第一,阳光私募基金在弱势行情下更多的表现为防御型操作风格,在选股方面倾向于市盈率、市净率较高的股票和中小盘股；第二,不同投资风格的阳光私募基金实际取得的绝对回报差异较大；第三,基金投资风格连续性较低,大部分基金产品都有风格漂移现象。通过研究分析,本文站在信托公司角度在产品管理方面提出了三点优化建议,一是制定差异化的风控措施,更有效地控制业务风险；二是通过将投资风格与客户需求有效匹配,进行更适当的销售和推介；三是建立基于风格分类下的投资基金池,便于TOT类产品优选投资标的。
[Abstract]:Sunshine private equity funds are raised by trust companies from specific investors through the issuance of trust plans, filed by regulatory bodies, managed by custodian banks, and provided by professional investment management institutions as investment advisers. To invest trust funds mainly in the securities market and to disclose their investment performance to investors on a regular basis, A securities investment trust product in which investors enjoy major investment returns and undertake major investment risks. In view of the needs of project management and investment decisions, the trust companies need to invest in sunshine private equity funds. This paper studies the characteristics of risk preference from the perspective of the trust company and uses the actual data to carry out quantitative analysis. In this paper, investment style is divided into operation style and stock selection style, and 30 surviving sunshine private equity fund data are extracted, on the basis of empirical test of market value ratio effect and scale effect in A share market. By using the Fama-French three-factor regression model, the paper focuses on the valuation preference and scale preference of the fund, and uses the difference price-to-earnings index and the price-to-book ratio index instead of the valuation factor to carry on the double test. The empirical results show that the three-factor regression model can effectively distinguish the investment style of sunshine private equity fund through the double test of price-to-earnings ratio and price-to-book ratio. Through the empirical data test, this paper finds that, first, the sunshine private equity fund is more defensive operation style in the weak market. In the aspect of stock selection, stocks with high price-to-book ratio and small and medium-sized stocks; second, the actual absolute return of different investment styles of sunshine private equity fund is quite different; third, the continuity of fund investment style is relatively low. Most fund products have style drift phenomenon. Through research and analysis, this paper puts forward three optimization suggestions on product management from the perspective of trust company. Firstly, we should formulate differentiated risk control measures to control business risks more effectively; The second is to effectively match the investment style with the customer's demand for more appropriate sales and promotion; third, to establish the investment fund pool based on style classification, so as to facilitate the selection of investment targets for TOT products.
【学位授予单位】：北京交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.48

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