指数型基金跟踪误差的实证分析

指数型基金是指采用指数化方式构建投资组合的基金,它与标的指数的选择密切相关.指数基金的构建有三大要素:标的指数、样本证券、权重分配,其目的是与标的指数之间的跟踪误差尽量小.虽然流动性、噪音、处置效应等均会影响指数基金的跟踪误差,但是,在一个较高有效性的市场中,指数型基金与标的指数间的跟踪误差要比新兴市场的小,这主要是因为该市场的流动性较好,成份股的选择有较大的余地.而在中国这样一个"新兴 转轨"市场中,指数基金往往会因为标的指数成份股数量不同而产生很大的差异,标的指数成份股越多,相对应指数基金的跟踪误差就越大;复制型基金完全复制策略下的跟踪误差要比增强型指数基金非完全复制策略下的跟踪误差要小;大额申购与赎回对指数基金跟踪误差产生明显影响.因此,指数型基金投资组合的构建应坚持被动投资,力避主动投资.

Empirical Analysis on the Track Error of Indexation Fund

The indexation fund is a fund that adopts its portfolio based on certain index, which is closely related with target index. The major elements of the indexation fund include the target index, sample securities and weight allocation , aiming to minimize the track error with the target index. The liquidity, noise and dispose effect can impact the track error of indexation fund. However, the track error in a more effective market is smaller than that in a newly industrial market. This is mainly due to the larger option room of stocks for the index and the liquidity in an effective market. In China s new and transitional market, the track error of indexation funds can be substantially different according to the stock number of the target index, the track error increases as the stock number augments. The track error of copy fund in complete copy strategy is smaller than that of reinforced fund in incomplete copy strategy. Big sum of purchase and redemption has obvious impact on the track error. Thus, the portfolio of indexation fund should be guided by passive in stead of active investment.