指数跟踪组合复制方法的实证研究

对指数跟踪组合复制方法进行选择是指数基金管理中的一个重要问题。为此从系统风险控制的角度构造优化跟踪组合,比较了分层抽样复制法、完全复制法和优化复制法构造的指数基金的实际跟踪效果。实证结果表明,完全复制法的跟踪精度最好,优化复制法的跟踪精度最差;而优化复制法的收益率和累计收益率最大,完全复制法的收益率和累计收益率最小。此外,不论采用何种复制方法,在3种跟踪误差度量方法中,线性跟踪误差度量方法确定的跟踪误差最小。

Empirical Study of the Replication Approaches of Index Tracking Portfolio

The choice of index tracking portfolio replication approaches is important to index fund management. According to the point of systematic risk control, the optimal tracking portfolio was constructed. A comparison was made among index funds constructed by stratified sampling replication, full one and optimized one. The empirical results showed that the tracking precision of full replication approach is the best, the optimized replication approach is worst, the return and the accumulative return of optimized replication approach is the highest, and the full replication approach is the least. Regardless of the approaches of replication, the tracking error from the measurement approach of linear tracking error is least in the three measurement ones.