基于规模与风格的证券投资基金最优组合构建研究

A Research on the Construction of Optimal Portfolio for Securities Investment Fund on the basis of Scale and Style

本文选择中国2004年10月1日前成立的8种投资风格共133只证券投资基金,根据其在2005年1月1日-2008年3月31日共161周的数据,依照非回置等权抽样方法构建基金组合。在研究了基金组合规模与组合风险和绩效关系的基础上,着重探讨了基金组合所含风格类型以及基金组合风格丰富化指标与组合风险和绩效的关系。在上述研究的基础上,论文提出了综合规模和风格双因素的基金最优组合构建原则,并得出了最适度风格类型模型和最适度风格丰富化指标模型。

This paper builds fund portfolios using the non-back home weight-equivalent sampling method with weekly data out of a pool of 133 securities investment funds established in China prior to October 1, 2004 which are categorized into 8 groups according to their investment styles over a dataframe from January 1, 2005 through March 31, 2008 （ 161 weeks） . Based on an investigation of the relationships respectively between scale and risk, fund portfolio＇ s performance, we proceed to explore the connections between funds＇styles of fund portfolio, the style abundance index and risk, fund portfolio＇s performance. Finally, some guidelines for construction of optimal fund portfolio are postulated which take into account the twin factors of scale and style, moreover, an optimal investment style model and an optimal style abundance index model are presented.