指數(shù)型分級基金的投資策略探討——以申萬證券行業(yè)指數(shù)分級基金為例

1、 IIAbstractThe Chinese stock market is in a bull market trend since the second half of 2014, and theindex classification fund with lever mechanism has become the focus of the market because ofits eye-catching market per

2、formance. Index classification fund emerged in our country lessthan 6 years， and the domestic research is relatively rare. Owing to its unique lever mechanismand the complex design which are different from other domestic

3、 financial products, investorslack a full understanding of the classification fund. Based on this reason, the essay takes theSWS Securities Industry Index Classification Fund for example, trying to give investors anin-de

4、pth understanding of this product and provide some reasonable reference andsuggestions.The essay systematically analyzes the leverage ratio and the conversion-mechanism .Through the study we found that there is a close i

5、nverse correlation between thenet value of the ordinary fund and the leverage ratio .The leverage risk can be initial definedon the basis of the net value of the ordinary fund. The conversion-mechanism provideseffective

6、exit approach for investors. Then, this paper study on two different investmentstrategies: firstly, the long-term investment strategy, the key is the underlying index return.The author uses the Time-Varying Hurst exponen

7、t to predict the market trend. Three types offund share with different risk and return characteristics can be chosen by investors on thedifferent stages of trend. Secondly, the short-term investment strategy, the key is

8、thediscounting/premium rate. In this paper ,the author try to simulate the arbitrage based on thehistory data and reveal the three major factors which affect the conversion arbitrage: thediscounting/premium rate，the cost