指數增強型策略在資本市場的長期價值研究—以JY基金公司的中證1000指數增強基金為例

Abstract

隨著我國經濟的轉型、人口老齡化社會的到來，我國的金融模式將要向需求引導型轉移，金融配置的核心任務將放在財富管理、提高資金收益方面。我國的資本市場在我國的金融模式中扮演了重要角色，不應僅是企業融資的場所，還應為投資者提供成長性資產，確保財富的保值增值。資本市場的金融產品種類眾多，其中，兼顧被動投資和主動管理的指數增強型基金，展現出良好的業績表現，呈現出強勁的增長趨勢。本文以JY基金公司的中證1000私募指數增強基金作為案例，討論指數增強基金、指數增強策略對於資本市場的長期價值，重點討論它們對於資本市場的投資者的長期價值，並梳理出來了清晰的邏輯鏈條。 本文從微觀視角和宏觀視角分析指數增強基金（指數增強策略）對於投資者的長期價值，微觀視角指投資者收益、投資者情緒，宏觀視角指金融模式轉型、金融養老、化解居民儲蓄。還應用金融分析的制度範式，分析了投資者支取儲蓄存款購買指數增強基金產品的行為。本文還分析了指數增強基金（指數增強策略）對上市公司、監管機構的價值，分析後者時應用了計量經濟學方法。 本文得到如下分析結果：（1）指數增強基金提供的收益有助於改善中小投資者盈利狀況，有助於穩定投資者情緒。指數增強基金適合中小投資者，尤其適合尋找中高等收益率、中低風險程度產品的中小投資者。指數增強基金為投資者進行財富管理，有助於未來我國金融模式的轉型。指數增強基金有助於發展金融養老，緩解人口老齡化帶來的經濟衝擊。指數增強基金可以部分“安頓”和化解居民儲蓄。（2）中小投資者退場與專業機構投資者（指數增強基金）進場，倒逼上市公司提高經營品質，可降低股票市場波動率。 指數增強基金（指數增強策略）對我國建設高品質資本市場具備長期價值。建立高品質股價指數，鼓勵與支持專業機構發行各類指數增強基金，將陪伴更多優秀公眾公司創新與成長，還能為我國早日建成高品質資本市場添磚加瓦。

With the transformation of China's economy and the arrival of an aging population society, the financial model in China will shift towards demand-following, and the core task of financial allocation will be focused on wealth management and improving capital returns. The capital market in our country plays an important role in our financial model. It should not only be a place for corporate financing, but also provide growth assets for investors to ensure the preservation and appreciation of wealth. There are many types of financial products in the capital market, among which the enhanced index fund, which combines passive investment and active management, has shown good performance and a strong growth trend. This thesis takes JY Fund Company's CSI 1000 Private enhanced index fund as a case to discuss the long-term value of enhanced index funds and enhanced index strategies for the capital market. The focus is on their long-term value to investors in the capital market, and a clear logical chain is outlined. This thesis analyzes the long-term value of enhanced index funds (enhanced index strategies) for investors from both micro and macro perspectives. The micro perspective refers to investor returns and sentiment, while the macro perspective refers to financial model transformation, financial pension, and resolving household savings. The institutional paradigm of financial analysis was also applied to analyze the behavior of investors withdrawing savings deposits to purchase enhanced index fund products. This thesis also analyzes the value of enhanced index funds (enhanced index strategies) for listed companies and regulatory agencies, using econometric methods to analyze the latter. The following analysis results are obtained in this thesis: (1) Enhanced index funds provide returns that help improve the profitability of small and medium-sized investors and stabilize investor sentiment. Enhanced index funds are suitable for small and medium-sized investors, especially those looking for products with medium to high returns and low to medium risk levels. Enhanced index funds provide wealth management for investors, which will contribute to the transformation of China's financial model in the future. Enhanced index funds can help develop financial pension and alleviate the economic impact of population aging. Enhanced index funds can partially 'settle' and resolve residents' savings. (2) The exit of small and medium-sized investors and the entry of professional institutional investors (enhanced index funds) can force listed companies to improve their operational quality and reduce stock market volatility. The enhanced index funds (enhanced index strategies) have long-term value for building a high-quality capital market in China. Establishing high-quality stock price indices, encouraging and supporting professional institutions to issue various enhanced index funds, will accompany more outstanding public companies in innovation and growth, and also contribute to the early establishment of a high-quality capital market in China.