本文選題：指數(shù)基金定投 + 標(biāo)的指數(shù)　； 參考：《西南財經(jīng)大學(xué)》2012年碩士論文

【摘要】：隨著我國社會經(jīng)濟(jì)的穩(wěn)定快速發(fā)展和國民財富的日益積累,人們對資產(chǎn)保值增值的要求推動著我國資產(chǎn)管理業(yè)的服務(wù)擴(kuò)展和產(chǎn)品創(chuàng)新。2005年以來,基金定期定額投資(簡稱基金定投)這種新型理財方式在一眾理財投資工具中異軍突起,在證券投資市場上逐漸占有一席之地。 由于基金定投在國內(nèi)還是新興事物,針對基金定投的系統(tǒng)性研究還很少,普通投資者幾乎只能從基金管理公司的各種宣傳中略知一二。從2005年國內(nèi)出現(xiàn)基金定投模式開始,我國股市經(jīng)歷從2005年下半年到2007年10月的大牛市行情,基金定投特別是指數(shù)基金定投的投資者和基金管理者們,都在這場狂歡中滿載而歸�？墒墙酉聛黹L達(dá)四年之久的熊市行情,無疑給投資者們兜頭一盆冷水,大規(guī)模的贖回也讓基金經(jīng)理們焦頭爛額。 本文選擇指數(shù)基金定投進(jìn)行研究,源于自己從本科開始便對各種理財工具感興趣,并且在研究生生活伊始,用每月的補(bǔ)助定投了一支指數(shù)基金,當(dāng)然那時候?qū)χ笖?shù)基金定投的了解還很淺顯,所以面對周圍家人朋友的各種詢問和質(zhì)疑,自己也只能胡亂搪塞過去。正是這樣的經(jīng)歷讓我在碩士論文選題時,首先便把關(guān)注點(diǎn)選在了指數(shù)基金定投上,希望自己經(jīng)過深入的整理分析和實(shí)證研究,在自己弄懂這個問題的同時也能讓更多的人了解指數(shù)基金定投這種新型理財模式。 指數(shù)基金定投究竟是一種怎么樣的理財方法?它適合什么樣的人群?如何進(jìn)行指數(shù)基金定投以達(dá)到自己的理財目標(biāo)?本文試圖沿著“擇時——擇基”這一線索,從選擇較好的進(jìn)入時點(diǎn),到選擇具體標(biāo)的指數(shù),再到選擇以此標(biāo)的指數(shù)作為跟蹤對象的指數(shù)基金,最后到選擇定投的期限……由此形成完整的指數(shù)基金定投選擇策略。 按照這種思路,本文首先從指數(shù)基金和基金定投的概述入手,引出指數(shù)基金定投的發(fā)展?fàn)顩r,對指數(shù)基金定投這種理財模式的特點(diǎn)進(jìn)行初步的闡述。然后進(jìn)入對指數(shù)基金定投的具體探討：首先,將市場態(tài)勢劃分為四種基本類型,據(jù)此設(shè)立了簡單的市場形態(tài)模型,探討不同態(tài)勢下指數(shù)基金定投的投資效果,從而找到指數(shù)基金定投的投資時機(jī)。其后,本文在基于各種文獻(xiàn)資料的整理分析后提出“選擇指數(shù)基金定投的三大標(biāo)準(zhǔn)”,并進(jìn)行以下三個銜接有序的實(shí)證研究： (1)研究如何根據(jù)自己的風(fēng)險偏好選擇標(biāo)的指數(shù)。本部分從國內(nèi)已發(fā)布超過五年的指數(shù)中選取了六只具有代表性的指數(shù),以“均值方差模型”為基礎(chǔ),利用均值和標(biāo)準(zhǔn)差兩個指標(biāo)來判斷每個指數(shù)的收益和風(fēng)險,根據(jù)2006年6月1日到2001年7月12日共1248個交易日數(shù)據(jù),并劃分三個階段——第一階段單邊上揚(yáng)連續(xù)共336天數(shù)據(jù),第二階段單邊下探連續(xù)共253天數(shù)據(jù)以及第三階段震蕩調(diào)整連續(xù)共659天數(shù)據(jù),得出各階段不同指數(shù)的收益率描述統(tǒng)計結(jié)果,在選擇標(biāo)的指數(shù)方面對投資者有一定的參考意義。 (2)研究各類型基金跟蹤誤差并探討跟蹤誤差的影響因素。本文在經(jīng)過比較篩選后選取了九只2006年6月30日之前成立的指數(shù)基金作為考察對象,根據(jù)一般開放式指數(shù)基金、交易型開放式指數(shù)基金(ETF)和增強(qiáng)型指數(shù)基金三個類別進(jìn)行基本分類,再采用2006年7月1日到2011年7月12日共1226個交易日的樣本數(shù)據(jù),收集每只指數(shù)基金的分紅拆分情況,從而計算各指數(shù)基金剔除分紅拆分因素前后的跟蹤誤差,以此進(jìn)行跟蹤誤差的比較和分析。 (3)研究不同收費(fèi)模式對指數(shù)基金定投的影響以及定投期限的選擇�？紤]到前后端收費(fèi)模式、基金管理公司規(guī)模、基金成立日期和基金評級等因素后,經(jīng)過篩選,本文選擇2006年4月6日成立的大成滬深300作為考察對象,完全采用大成基金管理公司網(wǎng)站上的收費(fèi)標(biāo)準(zhǔn),運(yùn)用包括從2006年6月1日到2011年5月31日共1219個交易日的該基金收盤價格數(shù)據(jù),假定每月投資額500元,設(shè)定投資期從6個月、一年、兩年、三年和五年,同時比較采用前端收費(fèi)模式和采用后端收費(fèi)模式的情況在這些投資期內(nèi)的實(shí)際投資結(jié)果,并考慮了實(shí)際情況下可能的前端收費(fèi)優(yōu)惠折扣,從而全方位給投資者一個清晰直觀的對大成滬深300定投的投資結(jié)果。 綜合以上分析,本文得出的主要觀點(diǎn)如下： 首先,指數(shù)基金定投作為一種理財方式,本身并無好壞之分,對于年輕人來說,了解指數(shù)基金定投既能幫助自己管理分配每期流入的現(xiàn)金流,也能幫助自己培養(yǎng)起長期的理財習(xí)慣。而從模型法研究中,本文發(fā)現(xiàn)指數(shù)基金定投并不像基金管理公司所宣傳的那樣,隨時隨地進(jìn)入都無所謂。在選擇進(jìn)入時點(diǎn)時,仍然需要自身對后市的基本判斷,在大盤將繼續(xù)下行但未來最終會上行的大致判斷下開始定投的收益會相對較好。另外,沒有必要堅持完原定投資期,大盤點(diǎn)位較高達(dá)到自己心理點(diǎn)位的時候,即使投資期還未結(jié)束,果斷終止定投并贖回,既是控制風(fēng)險的要求也是保障既有收益的需要。 其次,確定了進(jìn)入時點(diǎn)之后,要選擇適合自己風(fēng)險承受能力的標(biāo)的指數(shù)。實(shí)證結(jié)果顯示,上證紅利指數(shù)和上證50指數(shù)有利于在“預(yù)期市場下行之后最終是上行”預(yù)期下獲取比同類指數(shù)更大的收益,但是同時這兩個指數(shù)面臨的風(fēng)險也較大。 再次,跟蹤誤差是評價指數(shù)基金的重要標(biāo)準(zhǔn),因此應(yīng)選擇跟蹤誤差小的指數(shù)基金。從實(shí)證結(jié)果來看,交易型開放式指數(shù)基金(ETF)的跟蹤誤差確實(shí)比一般指數(shù)基金和增強(qiáng)型指數(shù)基金的跟蹤誤差小,而增強(qiáng)型指數(shù)基金由于存在主動管理部分,跟蹤誤差受基金管理者的策略和操作影響大。因?yàn)楸疚牟捎媒^對值法計算,把正誤差也算在跟蹤誤差其中,所以是選擇完全跟蹤指數(shù)的風(fēng)格還是承受一定風(fēng)險換取更高收益可能性的風(fēng)格,投資者還要結(jié)合自己的偏好。 最后,在擬定投資期的同時要考慮合適的收費(fèi)模式。而同等條件下,盡量關(guān)注折扣優(yōu)惠的活動,可以進(jìn)一步減小成本——對指數(shù)基金定投來說,減小成本就是增大收益。具體看來,預(yù)期投資期會超過一年時,應(yīng)盡量選擇后端收費(fèi)模式。如果在原定長期投資的基礎(chǔ)上選擇了后端收費(fèi)模式,如果投資期不滿一年便出現(xiàn)基金凈值大幅上升或者基金大額分紅派現(xiàn),并且預(yù)期市場會上升放緩甚至開始震蕩或走低,那么果斷放棄原定的投資期,損失的后端申購費(fèi)和贖回費(fèi)用完全可以被贖回日當(dāng)前基金總市值和分紅輕易消化,從而獲得遠(yuǎn)高于繼續(xù)定投至到期所獲得的投資收益率。 本文的主要貢獻(xiàn)在體現(xiàn)在幾個方面： 從選題來說,由于基金定投在國內(nèi)算是新興事物,而細(xì)化到對指數(shù)基金的定期定額投資的研究更是很難找到,所以選擇研究指數(shù)基金定投這個題目,大量查找文獻(xiàn)進(jìn)行比較和總結(jié),理清研究的脈絡(luò)和思路,既是對自身學(xué)術(shù)研究能力的一次提升,也算是一次學(xué)術(shù)研究的創(chuàng)新。 從研究角度和研究思路來說,我試圖站在普通投資者的角度,思考一個普通投資者在選擇理財方式的時候會考慮的問題和可能面臨的選擇,梳理出一條完整的選擇指數(shù)基金定投的步驟,每一章節(jié)環(huán)環(huán)相扣,理論模型和實(shí)證研究相結(jié)合,從而對普通投資者更具有具體的指導(dǎo)意義。 從主要觀點(diǎn)來說,由于目前絕大多數(shù)人對指數(shù)基金定投的理解還停留在基金管理公司的宣傳上,比如“平均成本分散風(fēng)險”“長期持有定能有較好收益”“進(jìn)入時機(jī)可任意選擇”等等,但是事實(shí)是否真如基金管理公司所言,或者這些說法背后的支撐基礎(chǔ)是什么,投資者是完全茫然的。所以本文選擇具體真實(shí)的數(shù)據(jù),進(jìn)行大樣本實(shí)證研究,得出的結(jié)論既能解釋這些宣傳上合理的部分,也告訴投資者其中值得質(zhì)疑和思考的部分。
[Abstract]:With the steady and rapid development of China's social economy and the accumulation of national wealth, the demand for value preservation and appreciation of assets has promoted the service expansion and product innovation of the asset management industry in China for.2005 years. Take a place in the stock market.
Due to the investment fund investment in domestic or emerging things, there are few systematic studies on the investment of funds, the ordinary investors can only know only a little from all kinds of publicity of the fund management company. From the beginning of the domestic fund investment model in 2005, our stock market experience from the second half of 2005 to October 2007, the fund is fixed. Investors and fund managers, especially investors and fund managers, are all back in the carnival, but the four year long bear market will undoubtedly give investors cold water, and large redemptions have also left fund managers in a mess.
In this paper, we choose index fund to make a study. It originated from the interest of various financial tools from the beginning of the undergraduate course. And at the beginning of the postgraduate life, an index fund was invested with a monthly subsidy. It is this kind of experience that let me first select the point of concern in the index fund investment. I hope that I can understand this problem and let more people understand the new financial model of index fund investment.
What kind of financial method is the index fund investment? What kind of people do it fit for? How to make an index fund investment to achieve its own financial goals? This article tries to follow the clue of "timing and selection", from choosing better entry time point to selecting the index of body standard, and then choosing the index as the index. The index fund of the tracking object is finally selected to choose the deadline of the fixed investment, thus forming a complete index fund fixed investment and selection strategy.
According to this idea, this paper begins with an overview of index fund and fund investment, leads to the development of index fund investment, and gives a preliminary exposition of the characteristics of the investment model of index fund investment. Then, it enters into a concrete discussion on the investment of index fund. First, the market situation is divided into four basic types, which are set up accordingly. A simple model of market form is established to explore the investment effect of index fund investment in different situation, and to find the investment opportunity of index fund investment. After the analysis of various documents, this paper puts forward "three major criteria for selecting index fund investment" and carries out the following three cohesive and orderly empirical studies:
(1) how to choose the index of the standard according to its own risk preference. In this part, six representative indices have been selected from the index of more than five years in China. Based on the mean variance model, the income and risk of each index are judged by means of mean and standard deviation two, according to 7 from June 1, 2006 to 2001. On January 12, the data of 1248 trading days were divided and divided into three stages: the first stage single side upward continuous 336 days data, the second stage single side probing 253 days data and the third stage concussion adjustment for the continuous 659 days data, the income rate of different stages of each stage was described, and the investment in the index index was invested. It has some reference significance.
(2) study the tracking error of various types of funds and discuss the influencing factors of tracking error. In this paper, after comparative screening, nine index funds established before June 30, 2006 are selected as the research objects, and three categories of the general open index fund, the trading open Index Fund (ETF) and the enhanced index fund are carried out. The sample data of 1226 trading days from July 1, 2006 to July 2011 are used to collect the red resolution of each index fund, so as to calculate the tracking error of the index fund before and after the separation factor of the index fund, so as to compare and analyze the tracking error.
(3) to study the influence of different charging modes on index fund investment and the choice of fixed investment term. Considering the front and back toll mode, fund management company size, fund establishment date and fund rating, after screening, this paper chooses the Shanghai and Shenzhen 300 as the research object in April 6, 2006, and uses Dacheng Fund Management completely. The fee standard on the company's website, which includes the closing price data of the fund from 1219 trading days from June 1, 2006 to 31 May 2011, assumes a monthly investment of 500 yuan, setting the investment period from 6 months, one year, two years, three years and five years, while comparing the front end charging mode and the back end charging mode. The actual investment results in the period of investment and the possible preferential discount of front end charges in the actual situation are taken into consideration, thus giving investors a clear and intuitive investment result of the Shanghai and Shenzhen 300 investment investment.
Based on the above analysis, the main points of this paper are as follows:
First of all, index fund investment as a way of financing itself is not good or bad. For young people, understanding index fund investment can help themselves to manage the cash flow in each period and help themselves to develop long-term financial habits. As the company has publicize, it doesn't matter to enter anytime and anywhere. When choosing to enter the time point, it still needs its own basic judgment on the future. It will be relatively better to start the decision under the general judgement that the big plate will continue down but the future will eventually go up. In addition, there is no need to stick to the fixed investment period, and the market position is higher. When you are in a psychological position, even if the investment period is not over, resolutely terminating the fixed investment and redemption is both a requirement to control risks and a need to protect the existing income.
Secondly, after determining the entry time point, we should choose the index which is suitable for their own risk tolerance. The empirical results show that the Shanghai Stock Exchange Index and the Shanghai 50 index are beneficial to gain more income than the similar index in the expectation of "the expected market descending eventually", but at the same time, the two indices are also at greater risk.
Thirdly, the tracking error is an important criterion for evaluating the index fund, so the index fund with small tracking error should be selected. From the empirical results, the tracking error of the trading open Index Fund (ETF) is indeed smaller than that of the general index fund and the enhanced index fund, while the enhanced index fund has the active management part. The tracking error is affected by the strategy and operation of the fund manager. Because this paper calculates the positive error in the tracking error by calculating the absolute value method, so it is the style to choose the full tracking index or the style of taking a certain risk in exchange for the higher income possibility, and the investor should combine its own preference.
At the same time, the appropriate fee model should be considered while the investment period is drawn up. Under the same condition, we can further reduce the cost by paying close attention to the discount discount activity. For the index fund investment, reducing the cost is to increase the income. In particular, the expected investment period will be over a year, and the back end fee model should be chosen as far as possible. The back end charging model is selected on the basis of the original long-term investment. If the investment period is less than one year, the net value of the fund rises substantially or the fund is large dividends paid, and it is expected that the market will slow down or even begin to concussion or decline, then the original investment period will be abandoned, the back end bid and the redemption cost of the loss are completely available. On the day of redemption, the total market capitalization and dividends of the fund are easily digested, thereby achieving a much higher return on investment than the continued investment.
The main contributions of this article are in several aspects:
Since the selection of the fund is a new thing in China, it is difficult to find the research on the regular quota investment of the index fund. Therefore, it is very difficult to find the subject of index fund investment, so as to find a large number of literature to compare and summarize it, to clarify the pulse and train of thought of the research, which is not only one of its own academic research ability. The promotion is also an innovation in academic research.
From the perspective of research and research, I try to stand in the perspective of ordinary investors and think about the problems and possible choices that an ordinary investor will consider when choosing a way of financial management. I will sort out a complete set of steps to choose the index fund, each chapter is linked together, the theoretical model and the empirical study are combined. It has more specific guiding significance for ordinary investors.
From the main point of view, because the overwhelming majority of the people are still at the fund management company's propaganda, such as "the average cost decentralization risk", "the long-term holding can have better income" and "the opportunity to choose" and so on, but whether the fact is true as the fund management companies say, or these What is the foundation behind the statement is that the investor is completely at a loss. So this paper chooses the actual data to carry out a large sample empirical study, and the conclusions can explain both the reasonable part of the propaganda and the part of the investors who are worth questioning and thinking.

【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.5

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