金融双语——一种进化型投资——生命周期基金

如果能找到一种一劳永逸的投资工具——一种随着人们年龄增长和风险承受能力降低而自动调整投资组合的产品，大多数人都会为之欣喜。现在的确有这样一种产品：生命周期共同基金。生命周期基金又称为“目标退休基金”，是一种以股票和固定收益项目为投资组合的“基金的基金”。生命周期基金的特别之处在于，它整体的资产配置会随着你退休日期的临近而调整成更趋保守的组合。这是一个自然而又合乎心意的进程：你距离退休日期越近，你在股票市场的投资就越少，在收益稳定的证券上的投资就越多。     

债券基金创新与交易所基金市场发展研究

至2013年4月底,我国债券余额已超过27万亿元,债券市场的繁荣为我国债券基金发展奠定了基石,债券基金的低风险和稳定收益对风险厌恶型投资者的吸引越来越大。然而我国债券基金的发展仍处于初级阶段,债券基金规模小、偏股性强、销售受制于银行渠道、品种创新不够。本文认为:要继续推动封闭式债券基金的创新,综合运用分级杠杆技术并与LOF对接;尽快推出债券ETF,丰富交易所基金产品线,打造领先优势。债券ETF是未来交易所债券基金发展的方向,能带动交易所债券市场的发展,为投资者提供具有吸引力的债券基金产品,满足低风险、收益稳定的投资需求。     

开放式基金：想说爱你不容易——对农业银行扬州市分行代销开放式基金的调查与思考

自2001年华安创新开放式基金上市以来，经过近两年的运作，开放式基金正逐渐为广大投资所接受。目前，在市场上有25只开放式基金(含子基金)，从种类上可分为债券基金、指数基金、伞形基金、资产灵活配置型基金等．调查表明，不同的基金正受着不同类型投资的关注，如债券基金深受稳定收益人群的欢迎，指数基金被追捧股票指数的人群看     

关于社保基金入市投资风险的思考

最近由基金管理公司管理的社保基金已经入市，社保基金在投资运营中必然无法回避投资风险，从投资风险的来源看，主要包括证券市场固有的投资风险和基金管理公司运作风险。证券市场固有的投资风险主要表现为系统性风险，该风险是不能通过分散投资或组合投资来消除或减少的；基金管理公司的管理水平差异势必会导致社保基金在投资运营中收益水平的差异，因而基金管理公司的管理水平也是社保基金投资运营中风险的主要来源之一，本通过实证分析验证了这一点。既然投资风险是客观存在的，为了防止社保基金承担亏损的投资风险，有必要在对基金投资各个环节进行风险控制基础上，建立相应的风险补偿机制，即提供最低收益保证。     

税费对美国共同基金的影响

由于税费因素，税前收益高的基金并不意味着税后收益同样高。因此，共同基金投资在面对税费因素的情况下，更应关注税后收益而非税前收益；同时，基金管理人应追求为投资提供税后收益最大化。     

养老基金投资的制度分析及启示

对养老基金投资的制度分析表明，生物回报率是养老基金投资的理论收益，而养老基金投资收益的来源最终取决于经济增长。短期看，养老基金投资是零和游戏，但是长期看，只有整体经济增长，养老基金从制度层面上才会取得收益，为此，养老基金投资应与经济增长保持一致，从而分享经济增长的成果。     

基金投资的五大匹配

基金投资需要做好五个方面的匹配。 第一，组合投资的匹配。不同的基金产品有不同的风险收益特征及相应的投资特点，购买多只股票型基金，仍是将鸡蛋放在同一个篮子里，而起不到分散风险的作用，同样，分散投资多种债券型基金，也起不到增值收益的目的；最科学的组合应是不同收益和风险的基金产品的组合。     

以业绩为基础套利能否战胜市场——基于基金业绩排名和持续性的研究

基于绩效短期内频繁转换,基金通常被视为一种低效的投资方式。但国内外研究表明,基金业绩在短期内具有一定的持续性。因此,依据基金的业绩排名变化在一定时间范围内转换基金,可以稳定获得超过市场的平均收益。     

基金费用决定基金收益？

基金费用与基金收益二者之间存在一种什么样的关系呢？我们通过详细的数据分析，为你打开一扇洞悉基金投资制胜的特别通道。 基金费用详解     

熊市宜买债券基金

所谓债券基金，颐名思义，就是以债券为主要投资对象的基金。由于根据规定，债券基金的债券类资产投资至少要占基金资产的60％以上，而债券类资产是要还本付息的，所以投资债券基金相对来说比较稳定和安全，其长期收益虽可能不如股票基金，     

从2000年基金年报信息追溯基金研究中心的三个问题

本文从三个方面对2000年基金年报信息进行了剖析。第一，从多角度对33只证券投资基金进行分类的结果表明，最能体现基金业绩与投资风格差异度的分类方法不是基金的投资目标而是基金管理公司。基金管理公司内部的资源共享是造成这一现象的原因。第二，指数型基金在2000年的表现尚不尽人意，投资理念亦不清晰。第三，保险公司选择基金的标准相当理性，注重基金的分红市价比、夏普指数、资产净值收益率几项指标，其选择的正确性亦得到2000年基金业绩的证实。     

What Drives ETF Flows?

The value of exchange traded fund (ETF) assets has increased from $66 billion in 2000 to almost a trillion dollars in 2010. We use this massive expansion in ETF assets to study what drives ETF flows. Using a data set of over 500 ETFs from 2001 to 2010, we show that ETF investors chase returns in the same way as mutual fund investors. While there is an active debate about whether return chasing by mutual fund investors represents the pursuit of superior talent, the existence of return chasing in this passively managed environment should not represent a search for skilled managers. We also show that ETF flows increase following high volume, small spreads, and high price/net asset value ratios. Finally, we find little evidence of superior market timing in ETF flows. Our results suggest that return chasing in both mutual funds and ETFs is more likely the result of naïve extrapolation bias on the part of investors that has contributed to the growth of the ETF industry.     

Rating mutual funds: Construction and information content of an investor-cost based rating of Danish mutual funds

We develop a new rating of mutual funds: the atpRating. The atpRating assigns crowns to each individual mutual fund based upon the costs an investor pays when investing in the fund in relation to what it would cost to invest in the fund's peers. Within each investment category, the rating assigns five crowns to funds with the lowest costs and one crown to funds with the highest costs.We investigate the ability of the atpRating to predict the future performance of a fund. We find that an investor who has invested in the funds with the lowest costs within an investment category would have obtained a risk-adjusted excess return that is approximately 3–4 percentage points higher per annum than if the funds with the highest costs had been invested in.We compare the atpRating with the Morningstar Rating. We show that one reason why the atpRating and the Morningstar Rating contain different information is that the returns Morningstar uses as inputs when rating funds are highly volatile whereas the costs the atpRating uses as inputs when rating funds are highly persistent. In other words, a fund that has low costs one year will most likely also have low costs the following year, whereas the return of a fund in a certain year generally contains only little information about the future return that the fund will generate.Finally, we have information on the investments in different mutual funds made by a small subgroup of investors known to have been exposed to both the atpRating and the Morningstar Rating. We find that investors have clear preferences for funds rated high by both the atpRating and the Morningstar Rating.     

对我国私募基金的思考

目前 ,私募基金已成为我国证券市场的热点。由于其自身的特点 ,使之在我国的产生有其必然性。本文拟从以下四个方面对我国私募基金的有关问题做初步探讨 :一是私募基金及其运作优势 ;二是私募基金在我国产生的客观背景 ;三是私募基金的发展对证券市场的意义 ;四是我国私募基金的设立模式及制度安排     

Are There Hot Hands Among Mutual Fund Houses in Hong Kong?

This paper examines the short-term performance persistence of thirty-two fund houses in Hong Kong during January 1986 to December 1995. We compute fund house returns using averages of all equity funds in each house. Then we evaluate their hot hand performance using the median return as benchmark on a rolling monthly basis. The results show that there were only two 'hot hand' fund houses. Findings using annual returns confirm the non-existence of a hot hand phenomenon. However, we find a strong correlation between conditional and unconditional probabilities of winning repeatedly in consecutive months     

金融危机对拉美国家私营养老金的影响及经验启示

2008年爆发的金融危机对全球经济产生了重要影响,也对拉美国家私营养老金制度的发展产生了巨大冲击。文章介绍了拉美国家私营养老金制度的改革路径和养老基金概况,从养老金资产价值、投资收益率、投资组合、雇员、制度覆盖面和缴费密度方面切入,分析了金融危机对拉美私营养老金制度的影响。在现状分析的基础上,得出了要保障私营养老金制度可持续运行的一些经验启示:构建多元化的混合型养老金体系,增强退休和养老金支付的灵活性,积极运用生命周期投资策略,实施多元化和分散化投资,以养老金长期收益作为投资目标,建立社会风险应急储备基金和政府担保机制,以及加强员工退休教育。     

全国社会保障基金发展的问题与展望

从2001年建立初至今,尽管全国社会保障基金规模稳步增长、投资收益水平逐步提高、管理体制和治理结构不断完善,但也还存在着规模较低、投资限定过严、资金来源缺乏稳定性等一些问题,并且未来发展方向也不尽明确。上述问题的解决对于全国社会保障基金的进一步发展具有重要的作用和意义。     

社会保险基金筹集与管理模式的研究

社会保障制度是市场经济体制的重要组成部分,而建立稳定可靠的社会保险基金(以下简称"社保基金")筹集与管理模式是构建科学合理的社会保障体系的核心环节。本文通过国际比较,对社保基金筹集与管理模式进行了分类研究,并就我国社保基金"双主体"的征管模式提出了改进意见。     

Application of a Multifactor Model in Enhanced Index Fund: Performance Analysis in China

The paper aims to explore the potential for outperformance of the enhanced index fund constructed using a multifactor model that has been widely used by practitioners. By presenting an empirical implementation of the factor model to construct the enhanced index fund based on the component stocks of the Shanghai Stock Exchange 50 (SSE50) index, the paper also identifies significant factors to explain excess return on securities in the Chinese market. By introducing an ad hoc weight-allocating approach, the paper constructs the enhanced index fund that can deliver a higher active return and information ratio and lower tracking error through an optimal mix of the benchmark weight and renewal rate obtained from backtesting results.     

How much does tax erode fund excess returns?

We model the tax drag from active fund management based on reported monthly holdings of active equity funds. Tax drag erodes 65 percent of the 0.74 percent excess return in Broad Market funds, but only 21 percent of the 1.80 percent excess return in Small-Cap funds for Australian superannuation (pension) fund investors. Tax drag varies with investment style; market state, which is most detrimental during bull markets; and fund turnover. For high-income individual investors, tax drag is exacerbated to the extent that active management only generates meaningful after-tax excess return for Small-Cap funds of certain styles.