本文選題：交易型開放式指數(shù)基金　切入點：因子分析　出處：《東北農(nóng)業(yè)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：在我國稱之為交易型開放式指數(shù)基金的基金,在國外被稱作交易所交易基金,其英文名稱為Exchange-Traded Funds,在以后文章中我們將其簡稱為ETF。ETF兼具了開放式基金和封閉式基金的種種優(yōu)點,同時也是一種被動型的指數(shù)基金。ETF相較于傳統(tǒng)類型的指數(shù)基金,它具有更好的復(fù)制效果,更低廉的成本,更強(qiáng)的流動性,更為簡單易行的買賣方式,此外,它還有傳統(tǒng)類型指數(shù)基金所缺乏的套利機(jī)制,因此,它對于投資者來說更具有吸引力。我國交易型開放式指數(shù)基金雖然比發(fā)達(dá)國家的水平低一籌,但是伴隨著交易型開放式指數(shù)基金產(chǎn)品的不斷創(chuàng)新,其交易熱度將會不斷提升,交易型開放式指數(shù)基金的市場前景將會一片光明。隨著交易型開放式指數(shù)基金的優(yōu)越性的逐漸體現(xiàn),其受到越來越多的人們的關(guān)注。但是交易型開放式指數(shù)基金品種紛繁復(fù)雜,而針對其建立的評價體系也不夠全面完整,本文從基金評價的各個角度出發(fā),以期全面地對交易型開放式指數(shù)基金進(jìn)行評價,為投資者合理選擇投資對象提供建議,并對逐步提高我國交易型開放式指數(shù)基金市場的運作效率提供一些建議。 本文對我國交易型開放式指數(shù)基金進(jìn)行研究,在對國內(nèi)外基金評價的理論文獻(xiàn)進(jìn)行梳理的基礎(chǔ)上,對交易型開放式指數(shù)基金的定義特點以及績效評價的理論基礎(chǔ)進(jìn)行闡述,進(jìn)一步揭示了我國交易型開放式指數(shù)基金發(fā)展的歷程,并且從品種、流動性以及投資者情況三個方面揭示我國交易型開放式指數(shù)基金的現(xiàn)狀,并且以2011年至2013年的日度數(shù)據(jù)作為研究樣本,以擇時與選股能力、風(fēng)險水平、風(fēng)險調(diào)整收益水平以及收益水平這四個方面對我國成熟的交易型開放式指數(shù)基金進(jìn)行單獨評價并排序,而后運用SPSS17.0軟件中的主成分分析法對樣本進(jìn)行總體績效排名,為投資者提供投資建議。 本文結(jié)合我國交易型開放式指數(shù)基金的現(xiàn)實狀況,從提高其績效并完善發(fā)展其市場的角度方面,對進(jìn)一步完善我國交易型開放式指數(shù)基金提出了以下對策建議：提高基金管理公司分散風(fēng)險的能力和加強(qiáng)我國交易型開放式指數(shù)基金的擇時能力、擴(kuò)大我國交易型開放式指數(shù)基金相關(guān)產(chǎn)品品種、提高我國交易型開放式指數(shù)基金的流動性以及大力培養(yǎng)更多類型的投資者參與投資。
[Abstract]:In our country, it is called the traded open-ended index fund, and in foreign countries it is called the exchange-traded fund, whose English name is Exchange-Traded funds. In the following article, we call it ETF.ETF which has the advantages of both open-end fund and closed-end fund. It is also a passive index fund. ETF compared with the traditional type of index fund, it has better replication effect, lower cost, stronger liquidity, easier way to buy and sell, in addition, It also has the arbitrage mechanism that traditional types of index funds lack, so it is more attractive to investors. But with the innovation of open index fund products, its trading heat will increase. The market prospect of open index fund will be bright. With the superiority of open index fund, more and more people pay attention to it. However, the variety of open index fund is complicated. As the evaluation system is not comprehensive enough, this paper, from the perspective of fund evaluation, aims to evaluate the open index fund in order to provide suggestions for investors to choose the right investment object. Some suggestions are provided for improving the operating efficiency of China's open-end index fund market. In this paper, we study the open index fund of transaction type in our country. On the basis of combing the theoretical literature of fund evaluation at home and abroad, we expound the characteristics of the definition of open index fund of transaction type and the theoretical basis of performance evaluation. It further reveals the course of the development of China's transactional open-end index fund, and reveals the current situation of China's transactional open-end index fund from three aspects: variety, liquidity and investor situation. And taking the daily data from 2011 to 2013 as the research sample, to choose the time and the stock selection ability, the risk level, The risk-adjusted income level and the return level separately evaluate and rank the mature open traded index funds in China, and then use the principal component analysis method in the SPSS17.0 software to rank the overall performance of the samples. Provide investment advice to investors. Based on the reality of China's transactional open-end index fund, this paper aims at improving its performance and developing its market. This paper puts forward the following countermeasures and suggestions to further improve China's transactional open-end index funds: to improve the ability of fund management companies to disperse risks and to strengthen the timing ability of China's transactional open-end index funds. To expand the variety of products related to open index funds, to improve the liquidity of open index funds and to train more types of investors to participate in investment.
【學(xué)位授予單位】：東北農(nóng)業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51

【共引文獻(xiàn)】

相關(guān)博士學(xué)位論文 前1條

1 陳星榕;基金家族的績效與風(fēng)險及相關(guān)關(guān)系研究[D];湖南大學(xué);2013年

相關(guān)碩士學(xué)位論文 前1條

1 田麗娜;影響中國ETF折溢價因素的實證分析[D];內(nèi)蒙古大學(xué);2013年

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本文編號：1618946