中国指数基金绩效与风险的实证研究
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摘要
自二十世纪九十年代以来,我国的证券投资基金开始起步。随着我国证券市场的不断发展和深化,作为机构投资者的证券投资基金处在快速发展的阶段,其规模不断扩大,类型不断增加。经过十多年的快速发展,截至2007年底,我国共有指数基金21只,其资产总额达到226亿元人民币,已经成为我国投资基金业的重要组成部分。
指数基金作为投资基金的一个重要品种,属于被动型风格的投资基金,它依据证券价格指数的构成,采用指数化投资方法,复制并跟踪基准指数,使基金自身的收益与基准指数收益保持基本一致。因此,指数基金的收益与基准指数的收益密切相关,并随着基准指数收益的波动而变动。而指数基金收益与基准指数收益之间的偏差就是跟踪误差,它是测度指数基金收益与风险的重要指标。
本文遵循:“问题——分析——解决”的逻辑线索,选择指数基金的跟踪误差为切入点,围绕下述基本问题展开研究:指数基金的跟踪误差是如何确定的?然后,基于这个基本问题,先后又提出两个子问题:(1)指数基金的跟踪误差方差可以分解成几个部分?(2)在跟踪误差方差分解的基础上,如何界定指数基金的风险来源并对其未来风险做出预测?
具体而言,本文的基本思路按如下顺序展开:(1)对指数基金业在全球的发展进行回顾,特别是着重阐述了其在中国的发展轨迹以及发展前景,为后续的理论与实证分析做出铺垫。(2)对指数化投资理论进行了全面的梳理,包括其理论起源以及与现代金融学理论的关系,对国内外相关的研究文献进行了述评;并介绍了金融风险压力测试的思想和方法。(3)运用理论演绎的方法,推导出跟踪误差的统一理论框架。在此理论框架的基础之上,分别得出跟踪误差的不同表述形式。同时,对跟踪误差方差进行分解,从不同的角度阐述指数跟踪的风险特征。(4)运用跟踪误差的计量模型以及基金绩效评价的其他模型,对我国指数基金的历史绩效进行实证分析,全面评估我国指数基金的历史绩效。(5)运用跟踪误差方差分解的计量模型,对我国指数基金的现实风险水平进行评估,找到其风险的主要影响因素。同时,对选定的指数进行压力测试,预测其未来的潜在风险。(6)基于实证分析的结果,提出结论,并论述本文的创新及不足之处。
本文的基本内容分为七章,安排如下。
第一章,导论。阐述本文的研究背景和意义。然后,阐述本文研究的理论基础和研究方法。最后,介绍本文的基本思路和逻辑结构。
第二章,指数基金发展概述。首先对指数基金有关的背景知识进行简要介绍,包括指数基金的概念、分类和特点等。然后,简要介绍指数基金的复制方法和投资流程。其次,对指数基金的发展进行论述,分别从国外和国内两个方面对指数基金的发展和现状进行回顾。最后,对目前比较权威的基金绩效评级体系进行简要介绍。
第三章,文献综述。首先回顾指数化投资理论的发展。其次,详细梳理了关于指数化投资的研究成果,包括国内外的研究文献。再次,对指数化投资的风险理论展开论述,主要介绍金融风险压力测试的思想和方法。
第四章,基于跟踪误差的收益与风险理论。首先,对跟踪误差进行理论分析,得到一个跟踪误差表述的统一理论框架。然后,分别施加不同的变量约束,得出不同形式的跟踪误差的表述形式。其次,基于理论和实务方面的因素,将分析集中于跟踪误差的重要度量形式:跟踪误差方差,并对其进行不同形式的分解。
第五章,对我国指数基金的历史绩效进行实证分析。首先,根据第四章跟踪误差的理论基础,阐述基于跟踪误差的指数基金绩效评价模型,包括理论模型和计量模型,并简述跟踪误差的组成和影响跟踪误差的因素。其次,简要介绍其他的指数基金绩效评价模型和指标。然后,根据前述的绩效评价模型,选取我国的指数基金作为研究对象,展开实证分析,并对实证分析的结果进行简要分析。
第六章,对我国指数基金的风险水平进行实证分析。首先,基于第四章关于跟踪误差的理论基础,对跟踪误差方差进行分解,提出跟踪误差方差分解的计量模型,并对影响跟踪误差方差的因素进行阐述;进而在方差分解的基础上,引入压力测试的思想,结合跟踪误差方差分解的计量模型,建立跟踪误差方差的预测模型。然后,根据前述的跟踪误差方差分解的计量模型,对我国指数基金的跟踪误差方差进行分解,找到影响跟踪误差方差的主要因素。最后,根据前述的跟踪误差方差的预测模型,对选定的指数基金进行压力测试,预测其未来跟踪误差方差可能的变化。
第七章,结论。在前文分析的基础上,得出本文的研究结论。同时,提出本文的创新点以及不足之处,并提出相关的对策建议。
总结本文的研究,可以得到以下结论。
(一)论文整理了指数化投资的相关理论,并对以跟踪误差为核心的指数跟踪问题进行了系统梳理;同时,对有关金融风险压力测试的理论和方法,进行了比较全面的阐述。从研究文献看,以跟踪误差为核心的指数跟踪问题,大量的研究成果主要集中于二十世纪九十年代以后。而国内的相关研究从质量和数量来看,较之于国外的相关研究还有很大的差距。同时,论文对指数基金有关的背景知识进行了阐述,并对其在国内外的发展进行了回顾。对目前投资实务中广泛使用的比较权威的基金评级体系,分别进行了阐述。
(二)论文提出了跟踪误差表述的统一理论框架,在该理论框架基础上,对跟踪误差进行了全面系统的分析,发现:(1)跟踪误差方差可以分解为两个部分,即预期的跟踪误差方差和随机的跟踪误差方差。(2)随机的跟踪误差方差还可以进一步分解为两个部分,包括由基准风险暴露造成的跟踪误差方差,和由残余部分造成的跟踪误差方差。同时,从理论角度,对积极管理的指数化投资(或增强型指数化投资)策略进行了界定,并对积极管理的指数化投资的风险进行了分析。另外,通过比较静态分析,分别研究了跟踪误差方差与其影响因素之间的关系。并对跟踪组合与基准组合的相关系数进行了分析,研究了与跟踪误差方差之间的关系。(3)跟踪误差方差可以分解为系统部分和非系统部分。(4)跟踪误差方差可以分解为择时部分和选股部分。同时,从理论角度,将对跟踪误差方差的不同分解统一起来。
(三)在论文的实证分析部分,选取华夏上证50ETF、华安MSCI中国A股等十只国内的开放式股票型指数基金,对其历史绩效展开实证分析,得到以下结论:我国的指数基金基本上实现了对基准指数的有效跟踪,各只指数基金均比较严格地贯彻了预先制定的指数化投资目标,基金绩效与基准指数的走势实现了较好的拟合。
(四)在论文随后的实证分析部分,对同样的样本基金进行了方差分解,分析其现实的风险水平;并在此基础上,选取嘉实沪深300为对象进行压力测试,对其未来的潜在风险进行预测,得到如下结论:(1)我国指数基金的风险水平,主要由随机部分的跟踪误差方差决定,而预期部分的跟踪误差方差,对整体风险的影响可以忽略不计。而随机部分的跟踪误差方差,主要由残余部分的跟踪误差方差决定;来自偏离基准部分的跟踪误差方差的影响很小。(2)我国指数基金的风险水平,主要由来自非系统风险的部分决定,而来自系统风险的部分,对整体风险的影响很小。样本中唯一的例外是增强型的华安MSCI中国A股。(3)压力测试的结果表明,通过降低基准指数的波动,可以大幅降低跟踪误差方差,控制指数跟踪的风险。
本文的创新点主要有以下几个方面:
(一)通过理论演绎,本文对指数基金跟踪误差方差进行分解,并结合金融资产定价理论,对方差分解的部分进行理论分析,为后续的实证研究找到适合的计量模型。
(二)在实证分析时,较之于国内目前已有的相关研究,本文选取的样本基金从数量上看,涵盖面比较广泛;而且在时间跨度上,也相对较长。
(三)对样本指数基金的绩效进行实证分析时,本文运用多种方法,包括引入了比较分析的方法、综合排序的方法以及运用总体分析的方法。
(四)对样本指数基金进行风险分析时,不仅分析其历史的风险水平,还引入压力测试对其未来可能面临的风险程度进行预测。这样的研究对我国指数基金的风险管理,提供了有益的指导和借鉴。
Since nineties of 20th century, investment funds emerged in China. With continuous growth of Chinese security market, investment funds became stronger as well as more diversified. By the end of 2007, there were twenty one index funds in China whose gross asset value was about twenty two billion and six hundred million RMB. So index funds had became important role in funds industry of China.
As an important role in funds industry, index fund is a type of passive managed fund. Aimed to security index, index fund replicates and follows an index or a benchmark. An index fund tries to keep its return aligned with return of its benchmark. So return of index fund correlates with its benchmark’s return closely. And return of index fund changes with fluctuation of return of its benchmark. The return difference between index fund and its benchmark is called tracking error, which is an important variable to measure index fund’s yield and risk.
The paper follows the logic as followed: Issue—Analysis—Solution. Aimed to tracking error, the paper proposes a basic question. That is how to determine tracking error of index fund. Then two questions are proposed. One, how many parts can be decomposed for an index fund? Two, based on decomposition of tracking error variance, how to find risk source of index fund and to predict future risk of index fund.
Concisely the paper’s logic is as followed. In first part the paper introduces the development of index funds worldwide. It also focuses on history of index funds and its future in China. In second part the paper introduces many important literatures on indexing. And it also relates both theory of stress test and its methods for financial risk management. In part three the paper deduces a general framework of tracking error. Tracking error variance is decomposed in different ways for risk feature analysis. In part four based on models above, the paper analyzes both return and risk empirically. Finally the paper reaches its conclusions.
There are seven chapters in the paper. The basic structure is followed.
Chapter one is an introduction. It shows the background and the importance of the paper at first. Then it introduces foundations of theory and methods used in the paper. Finally it shows the basic ideas and structure of the paper.
Chapter two is a brief discussion on index funds development. Firstly it introduces the basic idea about index funds including its definition, types and features. Then it introduces both replication methods and investment procedures of indexing. After that it relates the development of index funds domestically as well as internationally. Finally it also introduces some important evaluation systems for index funds performance.
Chapter three is a literature review. In this chapter the paper shows different literatures related. And it focuses on the important ones at first. Then it relates theories and approaches about stress test for financial risk management.
In chapter four the paper analyzes tracking error of index funds theoretically. At first the paper deduces a general framework in tracing error expression. Then it imposes different variable constraints on the expression to reach different tracking errors. Finally it focuses on the important measure of tracking error that is tracking error variance. And tracking error variance is decomposed in different ways.
In chapter five the paper analyzes historical performance of China’s index funds empirically. At first it puts forward an evaluation model for tracking error. Then based on the model above, it selects sample index funds to analyze their tracking error as well as other variables to evaluate their historical performance.
In chapter six the paper decomposes tracking error variance empirically at first. Then by means of empirical models, it analyzes tracing error variance and their determinants. After that it introduces stress model to forecast the risk of sample index funds.
Chapter seven is the last one in the paper. In this chapter, the paper summarizes the conclusions and the shortcomings in the paper. Then it proposes some countermeasures for index funds management in China.
The conclusions in the paper are followed.
Firstly the paper introduces the basic ideas about index funds including its definition, types and features. Both replication methods and investment procedures of indexing are discussed. It also relates theories and approaches about stress test for financial risk management. Some important evaluation systems are proposed for index funds performance.
Secondly a general framework is deducted in tracing error expression. Then tracking error variance can be decomposed into expected tracking error variance and random tracking error variance. Moreover random tracking error variance can also be decomposed into benchmark exposure and residual tracking error variance. At the same time the paper decomposes tracking error variance into systematic risk and unsystematic risk. It also divides tracking error variance into timing and selection. Then the paper also analyzes positive investment style and its risk. Based on comparative static analysis, the paper analyzes relation between tracking error variance and its determinants. It also studies correlation coefficient between an index fund and its benchmark.
Thirdly the empirical analysis on historical performance is finished. The results show that in general China’s index funds fulfill their indexing target. And their returns replicate benchmark returns in a good way.
At last, the paper finds the main factors to determine the risk of China’s index funds by means of decomposition of tracking error variance. Based on stress testing, the paper forecast future risk of sample index fund.
The innovations in this paper are followed.
Firstly the paper deduces a general framework in tracing error expression. Based on the framework, the paper decomposes tracking error variance. Combined with asset pricing theory, it proposes empirical models for future research.
Secondly compared with other empirical studies related in China, the paper analyzes much more index funds that mean much more data available in the paper. At the same time the data has longer time span.
Thirdly in empirical part, the paper uses many methods to analyze sample index. The methods available are comparison analysis, comprehensive ordering analysis and group analysis etc.
Finally the paper introduces stress test to evaluate future risk of index funds in China. It’s a helpful approach for risk management of index funds in China.
指数基金作为投资基金的一个重要品种,属于被动型风格的投资基金,它依据证券价格指数的构成,采用指数化投资方法,复制并跟踪基准指数,使基金自身的收益与基准指数收益保持基本一致。因此,指数基金的收益与基准指数的收益密切相关,并随着基准指数收益的波动而变动。而指数基金收益与基准指数收益之间的偏差就是跟踪误差,它是测度指数基金收益与风险的重要指标。
本文遵循:“问题——分析——解决”的逻辑线索,选择指数基金的跟踪误差为切入点,围绕下述基本问题展开研究:指数基金的跟踪误差是如何确定的?然后,基于这个基本问题,先后又提出两个子问题:(1)指数基金的跟踪误差方差可以分解成几个部分?(2)在跟踪误差方差分解的基础上,如何界定指数基金的风险来源并对其未来风险做出预测?
具体而言,本文的基本思路按如下顺序展开:(1)对指数基金业在全球的发展进行回顾,特别是着重阐述了其在中国的发展轨迹以及发展前景,为后续的理论与实证分析做出铺垫。(2)对指数化投资理论进行了全面的梳理,包括其理论起源以及与现代金融学理论的关系,对国内外相关的研究文献进行了述评;并介绍了金融风险压力测试的思想和方法。(3)运用理论演绎的方法,推导出跟踪误差的统一理论框架。在此理论框架的基础之上,分别得出跟踪误差的不同表述形式。同时,对跟踪误差方差进行分解,从不同的角度阐述指数跟踪的风险特征。(4)运用跟踪误差的计量模型以及基金绩效评价的其他模型,对我国指数基金的历史绩效进行实证分析,全面评估我国指数基金的历史绩效。(5)运用跟踪误差方差分解的计量模型,对我国指数基金的现实风险水平进行评估,找到其风险的主要影响因素。同时,对选定的指数进行压力测试,预测其未来的潜在风险。(6)基于实证分析的结果,提出结论,并论述本文的创新及不足之处。
本文的基本内容分为七章,安排如下。
第一章,导论。阐述本文的研究背景和意义。然后,阐述本文研究的理论基础和研究方法。最后,介绍本文的基本思路和逻辑结构。
第二章,指数基金发展概述。首先对指数基金有关的背景知识进行简要介绍,包括指数基金的概念、分类和特点等。然后,简要介绍指数基金的复制方法和投资流程。其次,对指数基金的发展进行论述,分别从国外和国内两个方面对指数基金的发展和现状进行回顾。最后,对目前比较权威的基金绩效评级体系进行简要介绍。
第三章,文献综述。首先回顾指数化投资理论的发展。其次,详细梳理了关于指数化投资的研究成果,包括国内外的研究文献。再次,对指数化投资的风险理论展开论述,主要介绍金融风险压力测试的思想和方法。
第四章,基于跟踪误差的收益与风险理论。首先,对跟踪误差进行理论分析,得到一个跟踪误差表述的统一理论框架。然后,分别施加不同的变量约束,得出不同形式的跟踪误差的表述形式。其次,基于理论和实务方面的因素,将分析集中于跟踪误差的重要度量形式:跟踪误差方差,并对其进行不同形式的分解。
第五章,对我国指数基金的历史绩效进行实证分析。首先,根据第四章跟踪误差的理论基础,阐述基于跟踪误差的指数基金绩效评价模型,包括理论模型和计量模型,并简述跟踪误差的组成和影响跟踪误差的因素。其次,简要介绍其他的指数基金绩效评价模型和指标。然后,根据前述的绩效评价模型,选取我国的指数基金作为研究对象,展开实证分析,并对实证分析的结果进行简要分析。
第六章,对我国指数基金的风险水平进行实证分析。首先,基于第四章关于跟踪误差的理论基础,对跟踪误差方差进行分解,提出跟踪误差方差分解的计量模型,并对影响跟踪误差方差的因素进行阐述;进而在方差分解的基础上,引入压力测试的思想,结合跟踪误差方差分解的计量模型,建立跟踪误差方差的预测模型。然后,根据前述的跟踪误差方差分解的计量模型,对我国指数基金的跟踪误差方差进行分解,找到影响跟踪误差方差的主要因素。最后,根据前述的跟踪误差方差的预测模型,对选定的指数基金进行压力测试,预测其未来跟踪误差方差可能的变化。
第七章,结论。在前文分析的基础上,得出本文的研究结论。同时,提出本文的创新点以及不足之处,并提出相关的对策建议。
总结本文的研究,可以得到以下结论。
(一)论文整理了指数化投资的相关理论,并对以跟踪误差为核心的指数跟踪问题进行了系统梳理;同时,对有关金融风险压力测试的理论和方法,进行了比较全面的阐述。从研究文献看,以跟踪误差为核心的指数跟踪问题,大量的研究成果主要集中于二十世纪九十年代以后。而国内的相关研究从质量和数量来看,较之于国外的相关研究还有很大的差距。同时,论文对指数基金有关的背景知识进行了阐述,并对其在国内外的发展进行了回顾。对目前投资实务中广泛使用的比较权威的基金评级体系,分别进行了阐述。
(二)论文提出了跟踪误差表述的统一理论框架,在该理论框架基础上,对跟踪误差进行了全面系统的分析,发现:(1)跟踪误差方差可以分解为两个部分,即预期的跟踪误差方差和随机的跟踪误差方差。(2)随机的跟踪误差方差还可以进一步分解为两个部分,包括由基准风险暴露造成的跟踪误差方差,和由残余部分造成的跟踪误差方差。同时,从理论角度,对积极管理的指数化投资(或增强型指数化投资)策略进行了界定,并对积极管理的指数化投资的风险进行了分析。另外,通过比较静态分析,分别研究了跟踪误差方差与其影响因素之间的关系。并对跟踪组合与基准组合的相关系数进行了分析,研究了与跟踪误差方差之间的关系。(3)跟踪误差方差可以分解为系统部分和非系统部分。(4)跟踪误差方差可以分解为择时部分和选股部分。同时,从理论角度,将对跟踪误差方差的不同分解统一起来。
(三)在论文的实证分析部分,选取华夏上证50ETF、华安MSCI中国A股等十只国内的开放式股票型指数基金,对其历史绩效展开实证分析,得到以下结论:我国的指数基金基本上实现了对基准指数的有效跟踪,各只指数基金均比较严格地贯彻了预先制定的指数化投资目标,基金绩效与基准指数的走势实现了较好的拟合。
(四)在论文随后的实证分析部分,对同样的样本基金进行了方差分解,分析其现实的风险水平;并在此基础上,选取嘉实沪深300为对象进行压力测试,对其未来的潜在风险进行预测,得到如下结论:(1)我国指数基金的风险水平,主要由随机部分的跟踪误差方差决定,而预期部分的跟踪误差方差,对整体风险的影响可以忽略不计。而随机部分的跟踪误差方差,主要由残余部分的跟踪误差方差决定;来自偏离基准部分的跟踪误差方差的影响很小。(2)我国指数基金的风险水平,主要由来自非系统风险的部分决定,而来自系统风险的部分,对整体风险的影响很小。样本中唯一的例外是增强型的华安MSCI中国A股。(3)压力测试的结果表明,通过降低基准指数的波动,可以大幅降低跟踪误差方差,控制指数跟踪的风险。
本文的创新点主要有以下几个方面:
(一)通过理论演绎,本文对指数基金跟踪误差方差进行分解,并结合金融资产定价理论,对方差分解的部分进行理论分析,为后续的实证研究找到适合的计量模型。
(二)在实证分析时,较之于国内目前已有的相关研究,本文选取的样本基金从数量上看,涵盖面比较广泛;而且在时间跨度上,也相对较长。
(三)对样本指数基金的绩效进行实证分析时,本文运用多种方法,包括引入了比较分析的方法、综合排序的方法以及运用总体分析的方法。
(四)对样本指数基金进行风险分析时,不仅分析其历史的风险水平,还引入压力测试对其未来可能面临的风险程度进行预测。这样的研究对我国指数基金的风险管理,提供了有益的指导和借鉴。
Since nineties of 20th century, investment funds emerged in China. With continuous growth of Chinese security market, investment funds became stronger as well as more diversified. By the end of 2007, there were twenty one index funds in China whose gross asset value was about twenty two billion and six hundred million RMB. So index funds had became important role in funds industry of China.
As an important role in funds industry, index fund is a type of passive managed fund. Aimed to security index, index fund replicates and follows an index or a benchmark. An index fund tries to keep its return aligned with return of its benchmark. So return of index fund correlates with its benchmark’s return closely. And return of index fund changes with fluctuation of return of its benchmark. The return difference between index fund and its benchmark is called tracking error, which is an important variable to measure index fund’s yield and risk.
The paper follows the logic as followed: Issue—Analysis—Solution. Aimed to tracking error, the paper proposes a basic question. That is how to determine tracking error of index fund. Then two questions are proposed. One, how many parts can be decomposed for an index fund? Two, based on decomposition of tracking error variance, how to find risk source of index fund and to predict future risk of index fund.
Concisely the paper’s logic is as followed. In first part the paper introduces the development of index funds worldwide. It also focuses on history of index funds and its future in China. In second part the paper introduces many important literatures on indexing. And it also relates both theory of stress test and its methods for financial risk management. In part three the paper deduces a general framework of tracking error. Tracking error variance is decomposed in different ways for risk feature analysis. In part four based on models above, the paper analyzes both return and risk empirically. Finally the paper reaches its conclusions.
There are seven chapters in the paper. The basic structure is followed.
Chapter one is an introduction. It shows the background and the importance of the paper at first. Then it introduces foundations of theory and methods used in the paper. Finally it shows the basic ideas and structure of the paper.
Chapter two is a brief discussion on index funds development. Firstly it introduces the basic idea about index funds including its definition, types and features. Then it introduces both replication methods and investment procedures of indexing. After that it relates the development of index funds domestically as well as internationally. Finally it also introduces some important evaluation systems for index funds performance.
Chapter three is a literature review. In this chapter the paper shows different literatures related. And it focuses on the important ones at first. Then it relates theories and approaches about stress test for financial risk management.
In chapter four the paper analyzes tracking error of index funds theoretically. At first the paper deduces a general framework in tracing error expression. Then it imposes different variable constraints on the expression to reach different tracking errors. Finally it focuses on the important measure of tracking error that is tracking error variance. And tracking error variance is decomposed in different ways.
In chapter five the paper analyzes historical performance of China’s index funds empirically. At first it puts forward an evaluation model for tracking error. Then based on the model above, it selects sample index funds to analyze their tracking error as well as other variables to evaluate their historical performance.
In chapter six the paper decomposes tracking error variance empirically at first. Then by means of empirical models, it analyzes tracing error variance and their determinants. After that it introduces stress model to forecast the risk of sample index funds.
Chapter seven is the last one in the paper. In this chapter, the paper summarizes the conclusions and the shortcomings in the paper. Then it proposes some countermeasures for index funds management in China.
The conclusions in the paper are followed.
Firstly the paper introduces the basic ideas about index funds including its definition, types and features. Both replication methods and investment procedures of indexing are discussed. It also relates theories and approaches about stress test for financial risk management. Some important evaluation systems are proposed for index funds performance.
Secondly a general framework is deducted in tracing error expression. Then tracking error variance can be decomposed into expected tracking error variance and random tracking error variance. Moreover random tracking error variance can also be decomposed into benchmark exposure and residual tracking error variance. At the same time the paper decomposes tracking error variance into systematic risk and unsystematic risk. It also divides tracking error variance into timing and selection. Then the paper also analyzes positive investment style and its risk. Based on comparative static analysis, the paper analyzes relation between tracking error variance and its determinants. It also studies correlation coefficient between an index fund and its benchmark.
Thirdly the empirical analysis on historical performance is finished. The results show that in general China’s index funds fulfill their indexing target. And their returns replicate benchmark returns in a good way.
At last, the paper finds the main factors to determine the risk of China’s index funds by means of decomposition of tracking error variance. Based on stress testing, the paper forecast future risk of sample index fund.
The innovations in this paper are followed.
Firstly the paper deduces a general framework in tracing error expression. Based on the framework, the paper decomposes tracking error variance. Combined with asset pricing theory, it proposes empirical models for future research.
Secondly compared with other empirical studies related in China, the paper analyzes much more index funds that mean much more data available in the paper. At the same time the data has longer time span.
Thirdly in empirical part, the paper uses many methods to analyze sample index. The methods available are comparison analysis, comprehensive ordering analysis and group analysis etc.
Finally the paper introduces stress test to evaluate future risk of index funds in China. It’s a helpful approach for risk management of index funds in China.
引文
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2.2002-2007年,华夏基金管理有限公司、华安基金管理有限公司、万家基金管理有限公司、博时基金管理有限公司、融通基金管理有限公司、易方达基金管理有限公司、长城基金管理有限公司、银华基金管理有限公司、嘉实基金管理有限公司、友邦华泰基金管理有限公司、国泰基金管理有限公司、长盛基金管理有限公司、鹏华基金管理有限公司、大成基金管理有限公司发布的基金年报、半年报、季报及基金契约、招募说明书等公开资料。
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4.2002-2007年,美国投资公司协会(ICI)有关公开资料。
5.2002-2007年,国泰安、万德资讯(Wind)数据库;中证指数有限公司、新华富时指数公司、中信金融网、巨潮指数网等发布的公开数据资料。
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