| 我国指数基金投资风险评估 |
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| 引用本文： | 赵勇.我国指数基金投资风险评估[J].软科学,2010,24(5). |
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| 作者姓名： | 赵勇 |
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| 作者单位： | 中国社会科学院一招商局集团,博士后科研工作站,广东,深圳,518067;成都信息工程学院,商学院,成都,610225 |
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| 摘 要： | 以我国的指数基金为研究对象,通过实证方法检验我国指数基金的投资风险状况。首先,简要阐述指数基金的风险评估理论。然后,对样本指数基金的跟踪误差方差进行分解,分析其风险水平和结构。结果发现:我国的指数基金能够较紧密地跟踪其基准指数;指数基金的风险来源和结构,符合指数化投资的风险特征。
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| 关 键 词： | 指数基金 投资风险 跟踪误差方差 方差分解 |
Investment Risk Evaluation on Chinese Index Funds |
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| ZHAO Yong.Investment Risk Evaluation on Chinese Index Funds[J].Soft Science,2010,24(5). |
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| Authors: | ZHAO Yong |
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| Abstract: | Choosing Chinese index funds as the target of research,this paper tests investment risk features of Chinese index funds with empirical method.First,it introduces risk evaluation theory of index funds.Then it decomposes tracking error variances of sample index funds in order to analyze their risk levels and structures.Finally,it finds out that: Chinese index funds track their benchmark index closely;the risk source and structure of those index funds accord with risk status of index investment. |
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| Keywords: | index funds investment risk tracking error variance decomposition of variance |
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