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选取2008年1月到2010年12月沪深300行业指数和中信标普全市场一级行业指数的月数据作为样本,研究以这两类行业指数为标的的行业指数基金的业绩、风险和分散化程度。结果表明,各行业指数基金表现出了实质性的风险收益差异;行业指数基金投资组合的分散化程度较低,除医药行业外,对相同行业而言,分散化程度更高的行业指数基金业绩更好;市场环境是影响行业指数基金收益率的重要因素;在不同市场环境下,无论使用夏普比率或詹森指数测量业绩,医药和消费行业都排名两类行业指数基金的前四位,金融行业则几乎排名最后二位;有些行业对应的詹森指数为正,表明这些行业指数基金投资组合中的非系统风险被定价。
Taking the monthly data of CSI 300 industry index and CICPS-1 industry index from January 2008 to December 2010 as samples, the paper studies the performance, risk and dispersion of the industry index funds with these two types of industry indices as the benchmark Degree of. The results show that the industry index funds showed substantial differences in risk and return; the industry index fund portfolio diversification is relatively low, with the exception of the pharmaceutical industry, for the same industry, a more decentralized industry index fund performance Better; the market environment is an important factor affecting the industry index fund yield; in different market environments, regardless of the use of Sharpe ratio or Johnson index measurement performance, the pharmaceutical and consumer industries are ranked two of the top four industry index funds, the financial The industries rank almost the last two; some industries have positive Jensen indices, indicating that non-systemic risks in the index portfolios of these industries are priced.