本文選題：陽光私募　切入點(diǎn)：信托　出處：《北京交通大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：陽光私募基金是由信托公司通過發(fā)行信托計(jì)劃向特定投資者募集資金,經(jīng)過監(jiān)管機(jī)構(gòu)備案,由托管銀行托管,由專業(yè)的投資管理機(jī)構(gòu)擔(dān)任投資顧問,將信托資金主要投資于證券市場(chǎng)并定期向投資者披露投資業(yè)績(jī),投資者享受主要投資收益和承擔(dān)主要投資風(fēng)險(xiǎn)的一種證券投資信托產(chǎn)品。鑒于項(xiàng)目管理以及投資決策等方面的需求,信托公司需要對(duì)陽光私募基金的投資傾向、風(fēng)險(xiǎn)偏好等特征進(jìn)行具體研究。本文是從信托公司的視角進(jìn)行研究,并利用實(shí)際數(shù)據(jù)進(jìn)行量化分析。 本文將投資風(fēng)格分為操作風(fēng)格和選股風(fēng)格,提取了30只存續(xù)的陽光私募基金數(shù)據(jù),在對(duì)A股市場(chǎng)賬面市值比效應(yīng)和規(guī)模效應(yīng)進(jìn)行實(shí)證檢驗(yàn)的基礎(chǔ)上,利用Fama-French三因素回歸模型進(jìn)行實(shí)證分析,著重研究基金的估值偏好和規(guī)模偏好。并且本文分別用差分后的市盈率指數(shù)和市凈率指數(shù)代替估值因子進(jìn)行雙重檢驗(yàn),實(shí)現(xiàn)多角度的對(duì)投資風(fēng)格進(jìn)行驗(yàn)證。實(shí)證結(jié)果表明三因素回歸模型能夠比較有效的對(duì)陽光私募基金投資風(fēng)格進(jìn)行判別,通過市盈率和市凈率雙重檢驗(yàn),增強(qiáng)了成長(zhǎng)型選股風(fēng)格和價(jià)值型選股風(fēng)格的可識(shí)別度和解釋力。本文通過實(shí)證數(shù)據(jù)檢驗(yàn)發(fā)現(xiàn),第一,陽光私募基金在弱勢(shì)行情下更多的表現(xiàn)為防御型操作風(fēng)格,在選股方面傾向于市盈率、市凈率較高的股票和中小盤股；第二,不同投資風(fēng)格的陽光私募基金實(shí)際取得的絕對(duì)回報(bào)差異較大；第三,基金投資風(fēng)格連續(xù)性較低,大部分基金產(chǎn)品都有風(fēng)格漂移現(xiàn)象。 通過研究分析,本文站在信托公司角度在產(chǎn)品管理方面提出了三點(diǎn)優(yōu)化建議,一是制定差異化的風(fēng)控措施,更有效地控制業(yè)務(wù)風(fēng)險(xiǎn)；二是通過將投資風(fēng)格與客戶需求有效匹配,進(jìn)行更適當(dāng)?shù)匿N售和推介；三是建立基于風(fēng)格分類下的投資基金池,便于TOT類產(chǎn)品優(yōu)選投資標(biāo)的。
[Abstract]:Sunshine private equity funds are raised by trust companies from specific investors through the issuance of trust plans, filed by regulatory bodies, managed by custodian banks, and provided by professional investment management institutions as investment advisers. To invest trust funds mainly in the securities market and to disclose their investment performance to investors on a regular basis, A securities investment trust product in which investors enjoy major investment returns and undertake major investment risks. In view of the needs of project management and investment decisions, the trust companies need to invest in sunshine private equity funds. This paper studies the characteristics of risk preference from the perspective of the trust company and uses the actual data to carry out quantitative analysis. In this paper, investment style is divided into operation style and stock selection style, and 30 surviving sunshine private equity fund data are extracted, on the basis of empirical test of market value ratio effect and scale effect in A share market. By using the Fama-French three-factor regression model, the paper focuses on the valuation preference and scale preference of the fund, and uses the difference price-to-earnings index and the price-to-book ratio index instead of the valuation factor to carry on the double test. The empirical results show that the three-factor regression model can effectively distinguish the investment style of sunshine private equity fund through the double test of price-to-earnings ratio and price-to-book ratio. Through the empirical data test, this paper finds that, first, the sunshine private equity fund is more defensive operation style in the weak market. In the aspect of stock selection, stocks with high price-to-book ratio and small and medium-sized stocks; second, the actual absolute return of different investment styles of sunshine private equity fund is quite different; third, the continuity of fund investment style is relatively low. Most fund products have style drift phenomenon. Through research and analysis, this paper puts forward three optimization suggestions on product management from the perspective of trust company. Firstly, we should formulate differentiated risk control measures to control business risks more effectively; The second is to effectively match the investment style with the customer's demand for more appropriate sales and promotion; third, to establish the investment fund pool based on style classification, so as to facilitate the selection of investment targets for TOT products.
【學(xué)位授予單位】：北京交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.48

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