An Empirical Study On Trading Strategy Of Fixed Fund In China

In the first half of 2016,the private placement investment fund,with Jiutairuizhifixed mixed growth fund as an example,showed very good market performance and has received extensive attention and high recognition in the physical field.However,few literature focus on Private placement investment funds to explore their quantitative strategies.In order to fill the academic gap of Private placement investment fund and provide guidance for the physical community,this paper analyses the operation mechanism of Private placement investment fund andlearns from the excellent traditional closed-end fund investment strategy,introduces the establishment background and arbitrage model of Private placement investment fund,and provides a feasible investment strategy for small and medium investors.Private placement refers to the direct financing of listed companies to private investors(including major shareholders,institutional investors,natural persons,etc.).This thesis systematically studies the low volatility phenomena and the discount phenomena of the private placement investment fund.The low volatility characteristics are proved by using the standard deviation of volatility and the private placement investment fund operation mode;By comparing with the traditional closed-end fund's discount phenomenon,it is found that the private placement investment fund also has a discount phenomenon.At the same time,the reasons for the discount are obtained through the first-day discount and long-term discount data statistics of the private placement investment fund.In the end,this thesis validates the existence of low volatility,first-day discount and long-term discount through the use of the Caitong JIngxuan and the Jiutai Ruizhi two funds as the evidence.This thesis compares the private placement investment fund and fixed-index ordinary index funds,and according to a certain proportion of fixed-income positions and a fixed-increased discount rate,it is concluded that fixed-income fund fixed-investment has excess returns compared to regular index fund fixed-investment,and the effect of different positions and different discounts on income is studied.Finally,through the empirical analysis of the Jiutai Ruizhi Investment,it is concluded that the fixed investment strategy is one of the important ways to increase the fund investment.At last,this thesis theoretically analyzes the fund-raising strategy of the private placement investment fund,and obtains two major factors,the implicit discount rate and the annualized discount rate.And performs a ranking analysis and data backtesting to verify the effectiveness of these two major factors.By setting up the quantitative wheel motion model of regular warehouse adjustment,we do research on wheel strategy,and set up different conditions such as holding period and location respectively,and get better results.Finally,the investment income has been improved through the rotation strategy of the effective factor of the private placement investment fund.In this paper,we use Caitongduo multi mixed strategy selection fund and Jiutairuizhi fixed mixed growth fund as an example to introduce fixed investment and rotation investment,hoping to provide a theoretical reference for investors.