投资组合构建与调整的合理性及其对基金绩效的影响

从理论推论看,投资组合构建与调整的合理性越高,投资绩效就可能越好。为此,本文构建了衡量组合合理性高低的指标,并采用Kolmogorov-Smirnov检验法、Kruskal-Wallis检验法、基于Wilcoxon秩检验的多重比较法等方法,实证研究我国股票型基金投资组合的合理性对基金绩效的影响。研究结果一方面支持了理论推论的正确性,另一方面也印证了本文所建立的组合合理性指标的可取性。同时论文发现,在牛市熊市的不同情况下,基金组合构建的合理性及其对继续的影响存在差异。论文据此提出了相关的建议和启示。

The Rationality of Portfolio Construction and Adjustment, and its Influence on Fund Performance

According to the theoretical reasoning,the higher level of the rationality of portfolio constructing and adjustment is,the higher the fund's performance is.This paper constructs the evaluation system of portfolio's rationality,and makes empirically tests on its influence to fund performance which is from the rationality of Chinese stock fund portfolio,with the methods of Kolmogorov-Smirnov test,Kruskal-Wallis test and multi-comparison based on Wilcoxon rank test.The result supports both the theoretical reas...