中国开放式基金基准组合正交特性的实证研究

基准组合具有某种正交特性（orthogonality properties）。把管理者组合（P）分解为基准组合（B）和积极管理的组合（A）,其中基准组合不包含管理者的私人信息。用M代表市场组合,研究得出：cov（B,A）=0,cov（A,M）=0。进一步推导得出：β[P,B]=1,β[P,M]=β[B,M]。本文通过对中国开放式基金市场各基金所声称的基准进行实证检验,得出了我国基金市场开放式基金基准组合并不具有正交特性的结果。

Empirical Study of Benchmark Orthogonality Properties of Mutual Funds in China

Abstract Orthogonality property is a nature of valid benchmark. Manager＇s portfolio （P） can be disaggregated as benchmark （B） and manager＇ s active investment judgments （ A ）. There is no manager＇ s valuable information in bench-mark （B）. By denoting M as the market proxy, the result is COV（B, A） = 0, COV（A, M） = 0 and β[ P, B] = 1, β[ P, M] =β[ B, M]. From empirical study of benchmark orthogonality properties of mutual funds in China, the research conclusion is that benchmark of mutual funds has no orthogonality properties in China.