中国证券投资基金资产配置效率实证研究

Empirical Research on the Efficiency of Assets Allocation of China's Securities Investment Fund

资产配置是现代证券投资决策中的首要环节,资产配置,尤其是战略性资产配置是系统性风险的最强有力免疫手段。文章简单介绍了基金资产配置的基本模型,即传统的资产配置模型和国际上最新的资产配置模型。文章通过采集我国基金业的大量实际数据进行实证研究分析发现:中国基金资产配置对基金收益率的贡献度总体上偏低。根据这一研究结果,文章提出了如下几点建议:一是对于以股票型基金为主要产品的基金管理公司,在投资流程的设计以及研究资源配置上需要更多地倾向于分析行业和具体的上市公司;二是由于制约中国基金资产配置效率的交叉持股问题短期内难以改观,因此为了提高资产配置效率,基金可以保持适中规模;三是需要进一步扩大基金的供给,加强中国证券投资基金业的竞争程度,促使基金管理人不断改善资产配置结构、提高基金运作效率。

Assets allocation is a chief step in the modem securities investment decision-making, and it is a fundamental factor that determines the security and profit of securities investment. The assets allocation, especially strategic assets allocation, is the imrntme means most forcefully preventing systematic risk. In this paper, we introduce some basic models on securities investment fund （i. e. traditional and modem models in the world）, and by using positive analyzing based on a huge amount of practical datum, we find that the efficiency is relatively low of assets allocation of China, s securities investment fund. Based on this result, we suggest that .（1） fund management corporations whose main products focus on the type of stock funds should incline much more to analyzing the industry and specific listed companies while planning investment flow and researching on assets allocation; （2） a fund management corporation may keep moderate scale to improve its efficiency of assets allocation as the crossing-holding reduces Chinese fund efficiency and cannot improve in the short run ; （3） in order to encourage fund managers to improve the structure of assets allocation and the efficiency of fund operation, it is needed to magnify the funds supply and enhance the competition at a high degree in the fields of China,s securities investment funds industry.