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现今投资市场上最受欢迎的产品是跟踪指数表现的交易所买卖基金,它们都是跟踨大型指数的表现,而且成交量大,交易风险较低。可是,投资这些跟踪指数型基金始终与直接投资其被跟踪的资产的回报不同,在外国已有学者讨论。各追踪指数的基金也可以不同形式复制指数表现,因此各基金的表现参差。本文以在香港上市的交易所买卖基金(X标智沪深300指数基金)作为例子,以协整相关分析基金追踪其锚的表现。结果发现,该基金的表现雖然常与其锚同步,但长时期处于溢价或折让之中。
The most popular products on the investment market today are exchange traded funds that track the performance of the index, all of which follow the performance of large indices with large volume and low trading risk. However, investing in these tracked index funds has always been different from direct investment in the assets it tracks, and has been discussed in foreign countries. Funds tracked by index can also replicate the index performance in different forms, so the performance of each fund varies. In this paper, an exchange traded fund (X-Man CSI 300 Index Fund) listed in Hong Kong is used as an example to track the performance of its anchor with a cointegration-related analysis fund. The results found that although the Fund’s performance often synchronized with its anchor, but for a long time in a premium or discount.