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分级a类基金(如何购买分级基金B)

作者:今天股市行情
来源:https://www.hnkaiping.cn/hnka
【更新日期】2021-10-24 01:02:13

长空铸剑电视剧-兴业银行股票

2021年5月21日发(作者:罗西尼女表)


上海交通大学硕士学位论文
目 录


第一章 绪论 ······················································································ 1

1.1 研究背景 ·················································································· 1

1.2 研究意义和研究思路 ··································································· 2

1.3 国内外分级基金绩效研究情况 ······················································· 3

1.3.1 国外分级基金绩效评价 ··························································· 3

1.3.2 国内分级基金绩效评价 ··························································· 4

第二章 我国分级B市场的和条款设计 ··············································· 6

2.1 国内分级B现状 ··································································· 6

2.2 分级B设计特点 ········································································· 7

2.2.1 投资标的 ············································································· 7

2.2.2 杠杆机制 ············································································ 10

2.2.3 优先级约定收益 ··································································· 11

2.2.4 配对转换机制 ······································································ 12

2.2.5 折算机制 ············································································ 12

第三章 分级B的风险特征 ····························································· 14

3.1 杠杆机制 ················································································· 14

3.1.1 不同杠杆水平的分级B与标的指数 ··········································· 14

3.1.2 特殊行情下的分级B ····························································· 15

3.2 高成本 ·············································································· 17

3.2.1 描述性统计 ········································································· 17

3.2.2 初始成本 ······································································ 19

3.2.3 盈亏平衡点 ········································································· 20

3.3 折算机制 ················································································· 20

3.3.1 下折概率 ············································································ 20

3.3.2 下折损失 ············································································ 22

3.3.3 下折损失期望值 ··································································· 23

第四章 分级B的投资价值和风险指标测算 ·············································· 24

4.1 风险收益指标 ····································································· 24

IV
万方数据


上海交通大学硕士学位论文
4.1.1 Treynor指数和Sharpe指数 ······················································ 24

4.1.2 Sortino 比率 ········································································ 25

4.1.3 VaR ··················································································· 26

4.2 四种指标比较 ··········································································· 28

4.3 分级B筛选 ········································································ 30

4.3.1 考虑因素 ············································································ 30

4.3.2 具体筛选 ······································································ 30

第五章 总结和投资建议 ······································································ 36

5.1 总结 ······················································································· 36

5.2 投资建议 ················································································· 36

参 考 文 献 ····················································································· 38

附录1 ····························································································· 40

附录2 ····························································································· 45

附录3 ····························································································· 49

附录4 ····························································································· 53

致 谢 ···························································································· 57


V
万方数据


上海交通大学硕士学位论文
图 录


图1-1分级基金优势 ············································································· 2
图2-1分级基金历程图 ·········································································· 6
图2-2 2013-2015年各季度分级B的资产规模变化 ······································· 7
图2-3 分级基金分类 ············································································ 8
图3-1分级B与标的指数对比 ······························································ 14
图3-2成本 ················································································· 18
图3-3分级B下折概率排位百分比 ························································ 22
图3-4分级B溢价率与下折损失关系 ····················································· 23
VI
万方数据

朗润的意思-盾安股票


人教版初一语文教案-股票002377


恢的组词-深振业a


燃烧的翅膀歌词-东吴基金管理有限


济南外国语学校初中部-巴安水务


天煞孤星歌词-老白干股票


繁华的近义词和反义词-59


大盘-鱼跃医疗



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发布日期:2021-05-21 18:13

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