分级基金与股指期货套利研究-金融学专业论文.docx

上海交通大学硕士学位论文 上海交通大学硕士学位论文 万方数据 万方数据 分级基金与股指期货套利研究 摘要 分级基金是在与传统基金相同的投资运作方式基础上，将基金份 额拆分为两级份额分别上市交易，在先满足优先级份额获得约定的基 准收益率后，剩余收益按照一定比例分配给进取级份额。进取份额的 实质是向优先份额融资，获取杠杆化投资，因而获得市场的追捧，在 二级市场普遍具有较高溢价率。而股指期货同样具有杠杆投资的功能， 且相比进取份额融资成本更低、可获杠杆倍数更高。本文基于此现象， 尝试通过分级基金进取份额及股指期货构造套利组合。 文章首先分析整理分级基金募集方式、运作交易方式、分红方式 及特殊条款设计，分析目前市场各类分级基金特征。 其次，分析进取份额收益特征，根据分级基金对应优先份额约定 收益率及费率，在不同母基金增长率水平下，对各进取份额作情景分 析，得出多数进取份额的盈亏平衡点为母基金净值增长 4%-5%；本文 同时研究了进取份额的溢价特征，分别通过整体面板回归、个体时间 序列回归，验证了进取份额溢价率与其杠杆系数显著相关。 最后，基于分级基金进取份额溢价率均值回归的趋势，设计了当 进取份额溢价率与股指期货升贴水率高于某阈值时，买入股指期货， 通过融券机制卖空分级基金进取份额，待进取份额溢价水平回复均值， 再将股指期货平仓，进取份额还券的套利策略。首先通过线性回归验 证了股票型分级基金与沪深 300 收益率相关性以验证套利的可行性， 并将套利策略应用到实际分级基金交易中，通过实证结果验证该策略。 关键词：分级基金，基金折溢价率，股指期货期现套利 I THE ARBITRAGE STRATEGY OF SPLIT-FUNDS AND STOCK INDEX FUTRURES ABSTRACT Structured Funds are innovative products based on closed-end funds developed by the structured classification technique. Structured Funds have the same operation mechanism with the General Funds, while they split its return into low-risk shares and high-risk shares. In essence, high-risk shares loan from the low-risk shares to obtain investing in leverage. The reason why high-risk shares are welcomed in secondary market and have high premium is that they serve for tools of leveraged investment while leverage is rare in China’s finance market. However, stock index futures also have the function of leveraged investing and have lower financing cost and lower margin requirement. Based on the phenomenon above, this article structures arbitrage strategies between Structured Funds and stock index futures. The provisions of split-funds are closely reviewed first. The article sorts the operation mechanism and trading rules, dividend policy, various options of different split-funds and generalizes their characteristics. In the next place, this article analyzes the return feature of high-risk shares. A scenario analysis is conducted on return on high-risk shares in accordance with growth rate of basis shares, in which fixed return of