分级基金的杠杆机制及其绩效研究

发布时间：2018-01-05 01:08

本文关键词：分级基金的杠杆机制及其绩效研究　出处：《郑州大学》2013年硕士论文　论文类型：学位论文

【摘要】：所谓分级基金又叫“结构型基金”,是指在一个投资组合下,通过对基金收益或净资产进行分解,形成两级(或多级)风险收益表现有一定差异的基金份额的基金品种,它的主要特点是将基金产品分为两类或多类份额,并分别给予不同的收益分配。自2007年7月国内第一只分级基金—国投瑞银瑞福分级基金成立,分级基金迅猛发展。该金融产品利用风险收益与原基金不同及杠杆倍数的差异,创造出了一系列风险不同、杠杆系数不同、适应不同人群的投资产品。杠杆机制是分级基金的核心,对分级基金的杠杆机制设计及其绩效进行研究,可以为投资者科学合理的认识和选择分级基金提供参考,同时也可以帮助基金管理者发现问题并及早解决,以实现投资目标,提升基金绩效。分级基金在我国仅仅走过了五年多的时间,本文从分级基金出现的背景及其发展历程出发,研究了分级基金杠杆机制设计的原因、杠杆机制的主要内容及其运作,并建立数理模型推导出分级基金杠杆率大小的计算公式,根据公式分析影响分级基金杠杆率大小的因素,为投资者选择合适的杠杆倍数提供了参考。在绩效研究方面,同研究其他证券投资基金绩效一样,分级基金的绩效研究主要以基金净值增长率为参考依据,以季度数据为研究对象,选取基金的规模、基金换手率、基金指数涨跌幅以及大盘指数涨跌幅为解释变量,利用Stata软件采用非平衡面板数据对变量进行回归分析,分别研究这些指标对股票型分级基金和债券型分级基金以及同一分级基金不同份额的基金净值增长率的影响。研究发现基金规模越大,基金的净值增长率反而越低,股票型分级基金受大盘指数的影响要比债券型分级基金明显,而基金换手率对不同类型分级基金净值增长率的影响并无太大差异。对同一类型分级基金来说,由于其特有的杠杆机制的设计,隐含杠杆的基金份额受这几个指标的影响要明显大于获取稳健收益的基金份额。
[Abstract]:The so-called graded fund is also called "structured fund", which means that under a portfolio, the income or net assets of the fund are decomposed. Form two (or multilevel) risk income performance of the fund shares of a certain difference, its main characteristics is to divide the fund products into two or more categories of shares. And give different income distribution. Since July 2007, the first domestic rating fund-UBS Ruifu rating fund was established. The financial product makes use of the difference between the risk return and the original fund and the leverage multiple to create a series of different risk and different leverage coefficient. The leverage mechanism is the core of the graded fund. The design and performance of the leverage mechanism of the graded fund are studied. It can provide reference for investors to understand and select graded funds scientifically and reasonably, and can also help fund managers to find problems and solve them as soon as possible, in order to achieve investment goals and improve fund performance. Classification funds have only passed through more than five years in our country. This paper studies the reasons for the design of hierarchical funds leverage mechanism from the background of the emergence of graded funds and their development process. The main content of leverage mechanism and its operation, and established mathematical model to derive the size of the scale of the calculation formula, according to the formula analysis of the factors affecting the leverage ratio of graded funds. It provides a reference for investors to choose the appropriate leverage. In the performance research, as with the performance of other securities investment funds, the performance of graded funds is mainly based on the growth rate of fund net value as the reference. Take the quarterly data as the research object, select the fund size, the fund turnover rate, the fund index rise and fall as well as the big market index rise and fall as the explanation variable. Using Stata software, the variables are regressed by non-equilibrium panel data. The effects of these indexes on the growth rate of equity fund, bond fund and fund with different shares are studied respectively. The study found that the larger the size of the fund, the lower the net growth rate of the fund. But the fund turnover rate has no great difference on the growth rate of net worth of different types of classified funds. For the same type of graded funds, because of its unique design of leverage mechanism. The fund share of implicit leverage is obviously larger than that of the fund that gains steady income by the influence of these indicators.
【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】：F830.91;F224

【共引文献】