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

【摘要】：分級基金也叫"結(jié)構(gòu)化基金",是指在同一個投資組合里,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行分拆,通過分拆形成兩級(或者多級)在風(fēng)險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)先級份額約定收益、分級基金的存續(xù)期特征、分級基金配對轉(zhuǎn)換機制、分級基金份額折算等相關(guān)內(nèi)容及特征。本文是根據(jù)近年來證券市場的環(huán)境情況,對我國指數(shù)型分級基金產(chǎn)品展開分析,主要是對分級基金現(xiàn)行的產(chǎn)品設(shè)計方案進行研究,本文分析的主要目的是通過對現(xiàn)行指數(shù)型分級基金產(chǎn)品方案的分析了解其存在的問題,并對這些問題提出相應(yīng)的改進建議。本文從以下四個章節(jié)來進行研究,第一部分是本文的緒論部分,在這一部分中簡要闡述一下本論文寫作的背景及意義。同時在這部分中也對前人的相關(guān)研究進行簡單的歸納,對本文的框架及研究方法進行說明,并且簡要闡述本論文在研究過程中存在的存在的難點及本論文的創(chuàng)新點;第二部分則是對分級基金發(fā)展與現(xiàn)狀進行分析。首先,本文回顧了基金的發(fā)展歷史,并介紹了基金在我國的起源和發(fā)展歷程。然后,對分級基金進行簡單介紹,分析分級基金的相關(guān)特點,并對現(xiàn)存的分級基金產(chǎn)品進行梳理;第三部分是分級基金設(shè)計方案及問題討論。本部分從分級基金的的杠桿特征,投資標(biāo)的,分級基金存續(xù)期特點,A類份額約定收益,分級基金的份額折算機制及分級基金的配對轉(zhuǎn)換機制特征等方面進行分析闡述,最后總結(jié)出我國現(xiàn)行分級基金主流的產(chǎn)品設(shè)計方案;然后選取幾只分級基金采用蒙特卡洛模擬的方法進行案例分析,并對分級基金設(shè)計方案中存在問題進行討論;第四部分是在前文的分析基礎(chǔ)之上對產(chǎn)品設(shè)計方案中存在的問題給出一些改進建議。
[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)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

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本文編號：1652752