我国指数型分级基金产品设计改进研究

发布时间：2018-03-23 08:49

本文选题：分级基金　切入点：产品设计方案　出处：《浙江大学》2017年硕士论文　论文类型：学位论文

【摘要】：分级基金也叫"结构化基金",是指在同一个投资组合里,基金管理人将基金净资产和基金收益按照基金合同约定的原则进行分拆,通过分拆形成两级(或者多级)在风险收益方面存在一定差异化的基金份额的一类基金产品。杠杆效应是分级基金产品最为重要的特征之一,现行的指数型分基金产品方案主要包含投资标的、杠杆率、优先级份额约定收益、分级基金的存续期特征、分级基金配对转换机制、分级基金份额折算等相关内容及特征。本文是根据近年来证券市场的环境情况,对我国指数型分级基金产品展开分析,主要是对分级基金现行的产品设计方案进行研究,本文分析的主要目的是通过对现行指数型分级基金产品方案的分析了解其存在的问题,并对这些问题提出相应的改进建议。本文从以下四个章节来进行研究,第一部分是本文的绪论部分,在这一部分中简要阐述一下本论文写作的背景及意义。同时在这部分中也对前人的相关研究进行简单的归纳,对本文的框架及研究方法进行说明,并且简要阐述本论文在研究过程中存在的存在的难点及本论文的创新点;第二部分则是对分级基金发展与现状进行分析。首先,本文回顾了基金的发展历史,并介绍了基金在我国的起源和发展历程。然后,对分级基金进行简单介绍,分析分级基金的相关特点,并对现存的分级基金产品进行梳理;第三部分是分级基金设计方案及问题讨论。本部分从分级基金的的杠杆特征,投资标的,分级基金存续期特点,A类份额约定收益,分级基金的份额折算机制及分级基金的配对转换机制特征等方面进行分析阐述,最后总结出我国现行分级基金主流的产品设计方案;然后选取几只分级基金采用蒙特卡洛模拟的方法进行案例分析,并对分级基金设计方案中存在问题进行讨论;第四部分是在前文的分析基础之上对产品设计方案中存在的问题给出一些改进建议。
[Abstract]:The classification of the fund is also called "structured fund" refers to the one portfolio, the fund manager will be the net assets of the fund and the fund income split in accordance with the fund contract principle, through the split to form two level (or multiple) for a class of fund products there are some differences between the fund share in the risk income. Leverage is one of the most important features of the classification of fund products, the current method of exponential product fund mainly includes investment, leverage, the priority share agreed income, duration of feature classification fund, grading fund paired conversion mechanism, grading fund conversion and other related content and characteristics. This paper is based on the environment the stock market in recent years, analysis of China's Index Fund Classification products, mainly research on the classification of the fund the current product design scheme, the main purpose of this analysis Is the problem of understanding through the analysis of the existing index fund classification scheme, and put forward the corresponding improvement suggestions to these problems. This paper studies from the following four chapters, the first part is the introduction, this part briefly explain the background and significance of this thesis at the same time. This part is related to the previous studies were simply summarized, framework and methods of this study are introduced, and briefly expounds the existing in the research process of this paper is the difficulty and the innovation of this thesis; the second part is on the development and current situation of fund classification is analyzed. Firstly, this paper reviews the development of the history of the fund, and the fund in the origin and development of our country. Then, a brief introduction to the classification of funds, analysis of the characteristics of the fund's classification, and the classification of the existing base To sort out the gold products; the third part is to discuss the design scheme and the classification of the fund. This part from the leverage characteristics of the classification of funds, investment targets, grading fund period, class a share of the agreed income, analyzes the share conversion mechanism and the classification of the fund classification fund paired conversion mechanism characteristics, finally summarized a design scheme of China's current mainstream classification fund; and then select a few fund classification using Monte Carlo simulation method for case analysis, and the problems in the design of grading fund is discussed; the fourth part is in the above analysis based on the existing problems in the product design scheme and gives some suggestions for improvement.

【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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