指数化投资的风险评估与预测:基于中国指数基金的实证研究

以我国的指数基金为研究对象, 通过实证方法,检验我国指数化投资的风险状况. 首先,对样本指数基金的跟踪误差方差进行分解, 分析其历史风险水平; 然后,引入压力测试, 预测样本指数基金未来的风险水平. 实证结果表明,从总体上看, 样本指数基金的风险控制得较好. 最后, 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.

Risk evaluation and prediction of indexing: Based, on an empirical study of Chinese index funds

This paper selected Chinese index funds as the target of research. By means of empirical methods, the paper tested risk status of indexing in China market. Firstly the paper decomposed of tracking error variances of sample index funds in order to analyze their historical risk levels. Then based on stress testing, the paper predicted future risk level of sample index fund. The empirical results showed that risk levels of sample index funds were well controlled in general. Finally the paper found that Chinese index funds tracked their bench indices closely. Both risk source and structure of those index funds accorded with risk status of indexing.