我国保本基金保值效果的比较研究  

Comparative Study on the Protection Effectiveness of Several Principal-Protected Funds in China

作　　者：陈建国[1] 罗晓颖[1] 

机构地区：[1]华南理工大学经济与贸易学院,广东广州510006

出　　处：《南方金融》2008年第3期52-56,共5页South China Finance

摘　　要：本文简要介绍了保本基金的三种投资策略,并在此基础上对我国目前发行的五只保本基金的投资策略及资产配置原则进行了描述并作出评价。本文从理论上对各基金投资策略的有效性进行论证后,又通过数据对其保本效果进行了检验。利用图形与数据,比较了其价值增长线的有效性,基金净值变化的波动性.股票仓位变动的合理性,并通过各项指标,借助主成分分析法,对各基金在一定风险下的收益进行了比较。Based on brief introduction of three types of principal-protected fund＇ s investment strategies, this paper describes the investment strategies and asset allocation principles of five principal-protected funds issued in China and made an evaluation. After theoretical analysis, we used data and graphs to demonstrate the protection effectiveness, the rationality of position variation of stocks and the volatility of the funds. For each fund, this paper also makes a comparison on the yields under certain risks by applying principal component analysis.

关 键 词：金融市场 保本基金 复制卖出期权策略 固定比例投资组合保险策略 时间不变性投资组合保险策略 

分 类 号：F832.51[经济管理—金融学]