發(fā)布時(shí)間：2018-03-23 08:49

  本文選題：分級(jí)基金　切入點(diǎn)：產(chǎn)品設(shè)計(jì)方案　出處：《浙江大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：分級(jí)基金也叫"結(jié)構(gòu)化基金",是指在同一個(gè)投資組合里,基金管理人將基金凈資產(chǎn)和基金收益按照基金合同約定的原則進(jìn)行分拆,通過(guò)分拆形成兩級(jí)(或者多級(jí))在風(fēng)險(xiǎn)收益方面存在一定差異化的基金份額的一類基金產(chǎn)品。杠桿效應(yīng)是分級(jí)基金產(chǎn)品最為重要的特征之一,現(xiàn)行的指數(shù)型分基金產(chǎn)品方案主要包含投資標(biāo)的、杠桿率、優(yōu)先級(jí)份額約定收益、分級(jí)基金的存續(xù)期特征、分級(jí)基金配對(duì)轉(zhuǎn)換機(jī)制、分級(jí)基金份額折算等相關(guān)內(nèi)容及特征。本文是根據(jù)近年來(lái)證券市場(chǎng)的環(huán)境情況,對(duì)我國(guó)指數(shù)型分級(jí)基金產(chǎn)品展開(kāi)分析,主要是對(duì)分級(jí)基金現(xiàn)行的產(chǎn)品設(shè)計(jì)方案進(jìn)行研究,本文分析的主要目的是通過(guò)對(duì)現(xiàn)行指數(shù)型分級(jí)基金產(chǎn)品方案的分析了解其存在的問(wèn)題,并對(duì)這些問(wèn)題提出相應(yīng)的改進(jìn)建議。本文從以下四個(gè)章節(jié)來(lái)進(jìn)行研究,第一部分是本文的緒論部分,在這一部分中簡(jiǎn)要闡述一下本論文寫作的背景及意義。同時(shí)在這部分中也對(duì)前人的相關(guān)研究進(jìn)行簡(jiǎn)單的歸納,對(duì)本文的框架及研究方法進(jìn)行說(shuō)明,并且簡(jiǎn)要闡述本論文在研究過(guò)程中存在的存在的難點(diǎn)及本論文的創(chuàng)新點(diǎn);第二部分則是對(duì)分級(jí)基金發(fā)展與現(xiàn)狀進(jìn)行分析。首先,本文回顧了基金的發(fā)展歷史,并介紹了基金在我國(guó)的起源和發(fā)展歷程。然后,對(duì)分級(jí)基金進(jìn)行簡(jiǎn)單介紹,分析分級(jí)基金的相關(guān)特點(diǎn),并對(duì)現(xiàn)存的分級(jí)基金產(chǎn)品進(jìn)行梳理;第三部分是分級(jí)基金設(shè)計(jì)方案及問(wèn)題討論。本部分從分級(jí)基金的的杠桿特征,投資標(biāo)的,分級(jí)基金存續(xù)期特點(diǎn),A類份額約定收益,分級(jí)基金的份額折算機(jī)制及分級(jí)基金的配對(duì)轉(zhuǎn)換機(jī)制特征等方面進(jìn)行分析闡述,最后總結(jié)出我國(guó)現(xiàn)行分級(jí)基金主流的產(chǎn)品設(shè)計(jì)方案;然后選取幾只分級(jí)基金采用蒙特卡洛模擬的方法進(jìn)行案例分析,并對(duì)分級(jí)基金設(shè)計(jì)方案中存在問(wèn)題進(jìn)行討論;第四部分是在前文的分析基礎(chǔ)之上對(duì)產(chǎn)品設(shè)計(jì)方案中存在的問(wèn)題給出一些改進(jìn)建議。
[Abstract]:The classification of the fund is also called "structured fund" refers to the one portfolio, the fund manager will be the net assets of the fund and the fund income split in accordance with the fund contract principle, through the split to form two level (or multiple) for a class of fund products there are some differences between the fund share in the risk income. Leverage is one of the most important features of the classification of fund products, the current method of exponential product fund mainly includes investment, leverage, the priority share agreed income, duration of feature classification fund, grading fund paired conversion mechanism, grading fund conversion and other related content and characteristics. This paper is based on the environment the stock market in recent years, analysis of China's Index Fund Classification products, mainly research on the classification of the fund the current product design scheme, the main purpose of this analysis Is the problem of understanding through the analysis of the existing index fund classification scheme, and put forward the corresponding improvement suggestions to these problems. This paper studies from the following four chapters, the first part is the introduction, this part briefly explain the background and significance of this thesis at the same time. This part is related to the previous studies were simply summarized, framework and methods of this study are introduced, and briefly expounds the existing in the research process of this paper is the difficulty and the innovation of this thesis; the second part is on the development and current situation of fund classification is analyzed. Firstly, this paper reviews the development of the history of the fund, and the fund in the origin and development of our country. Then, a brief introduction to the classification of funds, analysis of the characteristics of the fund's classification, and the classification of the existing base To sort out the gold products; the third part is to discuss the design scheme and the classification of the fund. This part from the leverage characteristics of the classification of funds, investment targets, grading fund period, class a share of the agreed income, analyzes the share conversion mechanism and the classification of the fund classification fund paired conversion mechanism characteristics, finally summarized a design scheme of China's current mainstream classification fund; and then select a few fund classification using Monte Carlo simulation method for case analysis, and the problems in the design of grading fund is discussed; the fourth part is in the above analysis based on the existing problems in the product design scheme and gives some suggestions for improvement.

【學(xué)位授予單位】：浙江大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51

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