本文關鍵詞：中國陽光私募基金評價體系研究　出處：《鄭州大學》2013年碩士論文　論文類型：學位論文

  更多相關文章： 陽光私募 私募證券投資基金 評價體系 投資策略

【摘要】：2004年2月,深國投“赤子之心”證券投資集合資金信托計劃的推出,正式拉開了陽光私募時代的帷幕。2007年起,陽光私募基金進入爆發(fā)式增長階段：Wind資訊統(tǒng)計數(shù)據顯示,截止2012年12月,陽光私募產品成立總數(shù)達到4053支,管理的資金總規(guī)模逾2373億元。伴隨著陽光私募市場的快速發(fā)展與規(guī)模的迅速擴充,在許許多多的陽光私募產品中,如何評價陽光私募產品,如何選擇風險收益匹配的陽光私募,成為眼下需要急迫解決的問題。與公募基金不同,無論是投資門檻、開放期設置,還是凈值披露、推介宣傳等多個方面,陽光私募基金都具有自己獨有的特征。當前評價公募基金的研究文獻成千上萬,但是,除了證券公司的幾篇研究報告外,研究陽光私募基金評價體系的文獻寥寥無幾。筆者在實際工作中,也面臨著“如何有效評價我國陽光私募基金”的工作難題。因此,研究陽光私募基金評價體系,具有重要的理論價值與現(xiàn)實意義。 本文首先在考察國內外基金評價相關研究的基礎上,闡述了證券投資基金評價的基本理論。然后,詳細分析了陽光私募基金與公募基金的差異特征,構建了包括公司基本實力、投研團隊、產品策略、產品契約、收益能力等五個一級指標、22個二級指標在內的陽光私募基金評價指標體系。并且,本文考察了國外HFR交易策略分類,參考融智評級對陽光私募基金的分類方式,選取股票多空、定向增發(fā)、相對價值、量化套利、大宗交易等5類投資策略,來區(qū)分研究陽光私募基金的綜合評價。接下來,本文選擇了市場上若干家知名陽光私募基金管理公司的產品為樣本數(shù)據,按照上文構建的陽光私募基金評價體系,從定性和定量兩個方面對不同策略的陽光私募基金產品進行了實證研究。實證研究結果表明,細分投資策略對陽光私募基金綜合評價的影響是明顯的,也得到了專家的認可,將投資策略以評價指標的形式引入綜合評價體系是可行的,也是很有必要的。 本文的創(chuàng)新之處主要體現(xiàn)在以下兩個方面：一方面,結合陽光私募基金的投資策略對其進行評價,是目前所能搜集到的文獻不曾進行過的研究。本文嘗試了將陽光私募的投資策略與其評價結合起來,是一個大膽探索與突破。另一方面,本文在構建陽光私募基金評價指標體系的過程中,嘗試了將契約章程、分成比例最優(yōu)度、產品設計、規(guī)模最優(yōu)度、公司規(guī)范度等指標納入陽光私募基金評價體系,也是本文的一個嘗試與創(chuàng)新。
[Abstract]:In February 2004, the launch of the "Heart of the Child" securities investment pooled fund trust plan, officially opened the curtain of the sun private placement era. 2007. Sun Private Fund entered the stage of explosive growth: wind information statistics show that as of December 2012, the total number of Sunshine Private equity products has reached 4, 053. With the rapid development of the sunshine private market and the rapid expansion of the scale, in many sunshine private equity products, how to evaluate sunshine private equity products. How to choose the risk and return matching sunshine private placement, become the urgent problem that needs to be solved urgently. Different from the public offering fund, whether it is investment threshold, open period setting, or net worth disclosure, promotion and so on many aspects. Sun private equity funds have their own unique characteristics. The current evaluation of public funds research literature thousands, but in addition to securities companies several research reports. There are few documents to study the evaluation system of sunshine private equity fund. In the actual work, the author is also faced with the problem of "how to effectively evaluate the sunshine private equity fund in our country". It is of great theoretical value and practical significance to study the evaluation system of sunshine private equity fund. On the basis of reviewing the relevant research of fund evaluation at home and abroad, this paper expounds the basic theory of securities investment fund evaluation. Then, it analyzes the characteristics of the difference between sunshine private equity fund and public fund in detail. This paper constructs the evaluation index system of sunshine private equity fund including the basic strength of the company, research team, product strategy, product contract, income ability and 22 second-level indexes. This paper investigates the classification of foreign HFR trading strategies, referring to the classification method of Rong Zhi rating for Sunshine Private funds, and selects five types of investment strategies, such as stock long short, directional additional issuance, relative value, quantitative arbitrage, bulk trading and so on. To distinguish the comprehensive evaluation of sunshine private equity fund. Next, this paper selects the products of several well-known sunshine private equity fund management companies as the sample data. According to the evaluation system of sunshine private equity fund, this paper makes an empirical study on the sunshine private equity fund products with different strategies from the qualitative and quantitative aspects. The empirical results show that. The influence of subdivision investment strategy on the comprehensive evaluation of sunshine private equity fund is obvious and recognized by experts. It is feasible and necessary to introduce investment strategy into the comprehensive evaluation system in the form of evaluation index. The innovation of this paper is mainly reflected in the following two aspects: on the one hand, combined with the investment strategy of sunshine private equity fund to evaluate it. This paper attempts to combine the investment strategy of sunshine private equity with its evaluation. On the other hand, it is a bold exploration and breakthrough. In the process of constructing the evaluation index system of sunshine private equity fund, this paper tries to divide the contract charter into proportional optimal degree, product design and scale optimal degree. It is also an attempt and innovation of this paper to incorporate the standard degree of company into the evaluation system of sunshine private equity fund.
【學位授予單位】：鄭州大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51

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