本文關(guān)鍵詞：指數(shù)基金的增強機(jī)制及其績效研究　出處：《鄭州大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

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【摘要】：指數(shù)基金的出現(xiàn),超越了市場上采用主動投資但未能贏得大盤平均收益水平的基金,得到了市場的認(rèn)可,帶來了指數(shù)基金的迅猛發(fā)展。但在中國呈弱有效性特征的證券市場上,完全被動跟蹤的指數(shù)基金在之后的發(fā)展中,往往未能為投資者爭取到預(yù)期的收益,相反,卻呈現(xiàn)出波動幅度大、收益不穩(wěn)定等特征,反映出指數(shù)基金的完全被動式的投資策略存在著機(jī)制設(shè)計的缺陷。那么,為了取得預(yù)期的收益,指數(shù)化的投資機(jī)制就需要得到增強。在這種形勢下,增強型指數(shù)基金順應(yīng)市場的需要就出現(xiàn)了,并成為了突破原有指數(shù)基金收益瓶頸的有效解決手段。這種增強化的指數(shù)基金采用的是一種相對積極的指數(shù)化投資運作方式,在指數(shù)基金跟蹤目標(biāo)指數(shù)的同時,還借助其他分析工具或金融產(chǎn)品,集合了被動投資與主動投資的優(yōu)勢,以期獲得超過目標(biāo)指數(shù)的收益水平。那么,這種增強型的指數(shù)基金,究竟能否真正解決指數(shù)基金的投資策略與收益的問題?其增強效果又是如何?這既是本文研究的出發(fā)點,也是本文的研究宗旨之所在。深入研究增強型指數(shù)基金的增強機(jī)制、全面評價增強型指數(shù)基金的增強效果,對于進(jìn)一步推動指數(shù)基金的發(fā)展有著十分重要的理論價值,同時也對于引導(dǎo)證券市場健康、持續(xù)的發(fā)展有著重要的現(xiàn)實意義。 本文結(jié)合中國證券市場的特征,挖掘了指數(shù)基金的增強機(jī)制,梳理了指數(shù)基金增強機(jī)制設(shè)計的背景、動因及具體的增強策略,進(jìn)而構(gòu)建了基于斯坦規(guī)則的跟蹤誤差理論模型。在此基礎(chǔ)上,本文從指數(shù)基金投資收益、投資風(fēng)險等影響基金業(yè)績的核心因素出發(fā),對我國增強型指數(shù)基金的績效進(jìn)行實證檢驗。 研究發(fā)現(xiàn),從整體看,增強型指數(shù)基金取得了正收益,戰(zhàn)勝了市場,增強效果比較突出；雖然在一定程度上熨平、降低了基金的波動風(fēng)險,但收益水平仍表現(xiàn)為不平穩(wěn),增強效果缺乏穩(wěn)定性。另一方面,增強型指數(shù)基金的增強效果與所處的市場形勢有關(guān),增強效果在不同的市場階段實現(xiàn)的程度不同,主要表現(xiàn)為：在牛市階段,增強型指數(shù)基金的增強效果較為積極；而在熊市階段,增強型指數(shù)基金的凈值增長率會受基金波動的影響而使增強效果縮水。 針對增強型指數(shù)基金目前出現(xiàn)的增強效果不穩(wěn)定、不持續(xù)等問題,本文深度挖掘了內(nèi)在原因,并對這些限制因素有針對性地提出增強證券市場的有效性,設(shè)計適合指數(shù)基金跟蹤的目標(biāo)指數(shù),豐富市場交易形式,加強基金經(jīng)理的專業(yè)能力培養(yǎng)等政策建議。
[Abstract]:The emergence of index funds, more than the market to take the initiative to invest but failed to win the average return level of the market, has been recognized by the market. It has brought the rapid development of index funds, but in the securities market with weak efficiency, the completely passive tracking index funds often fail to win the expected return for investors in the subsequent development, on the contrary. However, it shows the characteristics of large volatility and unstable returns, which reflects the defects in the mechanism design of the completely passive investment strategy of the index fund. Then, in order to obtain the expected income. The indexed investment mechanism needs to be strengthened. In this situation, the enhanced index funds meet the needs of the market. And it has become an effective solution to break through the original index fund income bottleneck. This enhanced index fund adopts a relatively positive indexed investment operation mode, while the index fund tracks the target index. With the help of other analytical instruments or financial products, the advantages of passive and active investment are pooled in order to achieve returns above the target index. Can we really solve the problem of investment strategy and income of index fund? What is the effect of its enhancement? This is not only the starting point of this study, but also the purpose of this paper. In-depth study of the enhanced index fund enhancement mechanism, comprehensive evaluation of the enhanced index fund enhancement effect. It has very important theoretical value for further promoting the development of index funds, and also has important practical significance for guiding the securities market to develop healthily and continuously. Combined with the characteristics of China's securities market, this paper excavates the strengthening mechanism of index fund, combs the background, motivation and specific enhancement strategy of index fund enhancement mechanism design. Then the tracking error theory model based on Stan rule is constructed. On this basis, this paper starts from the core factors which affect the performance of the fund, such as the investment return and investment risk of the index fund. This paper makes an empirical test on the performance of China's enhanced index funds. It is found that the enhanced index fund has achieved positive income, defeated the market, and the enhancement effect is more prominent. Although to some extent ironed down, reducing the risk of volatility of the fund, but the return level is still not stable, the effect of the lack of stability. On the other hand. The enhancement effect of the enhanced index fund is related to the market situation, and the degree of the enhancement effect is different in different market stages, the main performance is: in the bull market stage. The enhancement effect of the enhanced index fund is more positive; In the bear market, the net value growth rate of the enhanced index funds will be affected by the volatility of the funds. Aiming at the problems of unstable and unsustainable enhancement effect of the enhanced index funds, this paper deeply excavates the internal reasons, and puts forward to strengthen the effectiveness of the securities market in accordance with these restrictive factors. Policy suggestions such as designing target index suitable for index fund tracking, enriching market trading form, strengthening fund manager's professional ability training, etc.
【學(xué)位授予單位】：鄭州大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

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本文編號：1406041