我国证券投资基金的资产配置能力研究——基于风险与收益相匹配的视角

Resecoch on Asset Allocaticn of China Securities Investment Fund

本文从风险与收益相匹配的视角,给出了基金经理进行资产配置的原则和理论模型,并据此设计出判断基金资产配置能力高低的标准。对我国54只封闭式基金的资产配置能力进行实证检验发现,中国的封闭式基金大部分具有较高的资产配置能力;研究同时发现,我国证券投资基金主要通过投资组合中证券的调整进行资产配置,而较少依靠对组合中资产的调整来满足资产配置的原则要求。

Based on the view of the matching between risk and revenue, this paper puts forward the principle and theory model of asset allocation of funds＇ managers, according to which we give out the standard of measuring funds＇ asset allocation ability. Then we make an empirical study on the asset allocation ability of our 54 close-end investment funds and find out most of our close-end investment funds are of high asset allocation ability. We also find out that the Chinese security investment funds implement the asset allocation principle mainly by adjusting the stocks of portfolio, while rarely adjust the asset of portfolio to satisfy the asset allocation principle.