An Empirical Research On The Optimal Portfolio Scale Of Securities Investment Fund

Securities investment funds in China to be a late start, the first Securities investmentfunds found until1991. but it developed very rapidly in the20years. The fund number wasincreasing year by year, fund type was innovative, the market value was also increasing.Because securities investment fund is to entrust experts with professional knowledge andinvestment experience in management and operation, and proceeds owned by institutions incustody, So it welcomed by more and more investors.Although the Fund has been thedecentralization of investment, it also with a certain degree of risk. For the main holders ofthe domestic securities investment funds,the institutional investors, may not hold be the bestnumber of funds,It is unfavorable for the Institutional investors.Therefore,the research onthe fund size of the optimal combination has some practical significance.Because few studies on the fund size of the optimal combination, this paper executedthe domestic and foreign scholars on the stock portfolio ofempirical research methods,constructed a standard deviation model. due to the standard deviation of theevaluation model only consider the risk,we constructed another model,named M2. The M2model considering both the risks and benefits,so it is more meaningful.In the empirical part of this paper, we concluded the optimal portfolio size of each typeof fund respectively by the use of two models. By comparing the fund size with institutionalinvestors actually held,we found the Fund held by institutional investors does not reach theoptimal size.