我国封闭式基金投资组合的合理性及其影响研究

On the Rationality and Influences of China's Closed-end Fund Portfolio

文章基于风险与收益相匹配的一般原则和最优原则,提出对现有投资组合合理性判别的标准进行有效改进,并依据此标准对我国封闭式基金投资组合的合理性进行判断,进而将此定性因素引入计量模型,并定量研究其对基金投资绩效的影响。研究表明,我国封闭式基金投资组合总体上比较合理,其合理性会对投资绩效产生较显著的影响,不同等级的合理性会对投资绩效产生不同的影响。

Based on the general principle and optimal principle of risks matching returns,this paper first asseses improvement of the standard of judging the rationality of current portfolio,then comments on the rationality of China＇s closed-end fund portfolio with the improved standard,and then introduces this qualitative factors into the measurement model and analyses quantitatively its influences on the performance of the fund portfolio.The study shows that China＇s closed-end fund portfolios are on the whole reasonable,and different grades of rationality produces different effects on the investment performance.