Research On The Fund Portfolio Construction Based On The Fund Style Distribution

Nowadays, more and more investors take the securities investment fund as their maininvestment tools. However, in order to reduce the risk of the investment, we have to constructa fund portfolio. According to the researches about the fund portfolio construction, the formerresearchers concentrate on the size of the fund portfolio, and rarely consider the number of thefund style in the fund portfolio. A minority of researchers who consider the fund style as afactor that impact the risk of the fund portfolio, either separate the size and the style, or takethe fund style as the only factor that impact the total risk of the fund portfolio. They nevertook the size and style of the fund portfolio as integrity into consideration. This paper basedon the past achievement, taking the size and style covered in the fund portfolio as integrity, tostudy how to construct the fund portfolio and help the investors.This paper focuses on the equity funds, and selects the equity funds that establishedbefore October31stin2008as the samples. I choose the SW large cap index and SW smallcap index as the constituent indices, SW high p/e index and low p/e index as the style index,SW A share index as the market index and SSE government bond index as the bond index,The data deadline is December31,2011. This paper divides the funds into several styles usingthe Gruber model, and then constructs the fund portfolios by means of non return randomsampling, and analyzes the impact that the size and the number of the styles in the fundportfolio caused to the fund portfolio construction.Through the empirical analysis, this paper found that:(1) the equity funds are marketoriented.(2) The optimal size of the fund portfolio is10-20and the optimal number of thestyles in the fund portfolio is3-5.(3) The larger the style diversity indexes of the fundportfolio, the smaller the risk of the fund portfolio and the greater the fund portfolioperformance.