机构投资者投资基金的“适度组合规模”:基于中国数据的实证分析

The Optimum Number of Funds Held by Institutional Investors:An Empirical Analysis Based on Chinese Data

本文选取了中国2004年6月30日以前成立的39只封闭式基金和67只偏股型开放式基金为样本,以周收益率为指标,根据所构造投资组合在2005年1月1日-2006年12月31日时段内的数据,考察了投资组合包含的基金数目与组合风险和收益的关系,分别从仅考虑风险因素和综合考虑风险和收益两因素角度研究了证券投资基金的适度组合规模问题。本文也对比研究了跨投资风格组合与简单随机等权组合孰优孰劣的问题。另外,本文还运用所得数据分别检验了埃文斯和阿彻(Evans and Archer)的简单投资组合适度规模模型、拉塔内和杨(Latane and Young)的简单投资组合适度规模模型、马科维茨(Markowitz)的简单投资组合适度规模模型。

This paper selects 39 close-end funds and 67 open-end funds as samples which have been established before June 30^th , 2004. We choose the weekly ration of return as the index. According to the data from January 1^st , 2005 to December 31^th , 2006, we examine the relations between the risk and return of the portfolio and the number of funds involved in portfolio. Then, we study the problem of optimum number of funds from only considering the factor of risk and from comprehensive consideration of risks and returns respectively. We also comparatively examine which one is better between the portfolio which have different investment style funds and those which is chosen randomly in equal. At last, we use data to examine three different optimum number models： Evans and Archer＇s, Latane and Young＇s and Markowitz＇s.