摘要
指数化投资方法在近40年的发展中已成为被动投资领域中重要的投资方法。它是以复制和追踪某一市场指数为目标,根据证券价格指数编制原理与成份股及指数历史价格走势所表现出来的内在规律,按一系列数量化的投资方法,精确构建投资组合而进行的证券投资。本文主要从国外指数化投资的发展历程、指数化投资目标的研究、指数化投资组合的构建方法及组合管理的研究三个方面进行了评述,发现对指数化投资目标的计量方式的研究、主动投资与指数化投资的结合以及指数化投资组合的动态优化是未来的研究发展方向,同时对我国指数化投资的研究和实践也有一定的启示作用。
Index investing is a passive strategy in the sense that the objective tracks an index as closely as possible. The indexing portfolio is constructed based on the historical prices movement of index and its component stocks with a series of quantitative methods. This paper reviews the development of overseas indexing portfolio and the research on tracking error and replication strategy. Based on the review, we find that the choice of a risk measure relative to the index, the combination of active and passive strategies as well as the dynamic rebalancing strategy are the main trend of index investing research. Suggestions on indexing investment in China are also discussed in the end.
出处
《证券市场导报》
CSSCI
北大核心
2008年第8期46-51,共6页
Securities Market Herald
基金
国家自然科学基金资助项目(编号:70433003)
