| 成分证券数量、再平衡策略与指数跟踪业绩关系研究 |
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| 引用本文： | 李俭富.成分证券数量、再平衡策略与指数跟踪业绩关系研究[J].漳州师院学报,2008(4):147-151. |
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| 作者姓名： | 李俭富 |
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| 作者单位： | [1]西南财经大学统计学院,四川成都610074 |
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| 摘 要： | 成分证券数量和再平衡策略是指数跟踪业绩的重要影响因素．结果表明，指数跟踪组合的再平衡策略及其成分证券数量与指数跟踪业绩密切相关．综合权衡跟踪误差、收益和成本，以排序靠前的部分成分证券构造指数跟踪组合并采用高频率的再平衡策略可以取得较好的指数跟踪业绩．
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| 关 键 词： | 指数跟踪 再平衡策略 跟踪误差 |
Research on the Relationship among Quantity of Component Securities,Rebalancing Strategy and Performance of Index Tracking |
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| LI Jian-fu.Research on the Relationship among Quantity of Component Securities,Rebalancing Strategy and Performance of Index Tracking[J].Journal of ZhangZhou Teachers College(Philosophy & Social Sciences),2008(4):147-151. |
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| Authors: | LI Jian-fu |
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| Institution: | LI Jian-fu (School of Statistics, Southwest University of Finance and Economics, Chengdu, Sichuang 610074, China) |
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| Abstract: | Quantity of component securities and rebalancing strategy are the important affected factors of the index tracking performance. The empirical results show that the rebalancing strategies and the number of component stocks of index tracking portfolio is relevant to the performance of index tracking closely. By balancing tracking error, return and cost, the index tracking portfolio, which is constructed with part of preceding component stocks after ranking, can gain better performance of index tracking with the rebalancing strategy of high frequency. |
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| Keywords: | index tracking rebalancing strategy tracking error |
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