基于价值的杠杆ETF 的风险分析 - ETF基金网.PDF

VValueValueValueValueValueValueValueValueValueValueValueValueValueValueValueValueValueValueValueValueValueValueValueValueValueValueValueValueValueValueValueValueValueValueValueValueValuealue EngineeringEngineeringEngineeringEngineeringEngineeringEngineeringEngineeringEngineeringEngineeringEngineeringEngineeringEngineeringEngineeringEngineeringEngineeringEngineeringEngineeringEngineeringEngineeringEngineeringEngineeringEngineeringEngineeringEngineeringEngineeringEngineeringEngineeringEngineeringEngineeringEngineeringEngineeringEngineeringEngineeringEngineeringEngineeringEngineeringEngineeringEngineering ·13 · 基于价值的杠杆ETF 的风险分析 Risk Analysis Based on the Value of Leveraged ETF 李霄 Li Xiao （天津大学管理与经济学部，天津300072） （Department of Management and Economics ，Tianjin University ，Tianjin 300072 ，China） 摘要： 杠杆ETF （Leveraged ETF）是国外成熟市场近年来推出各类创新型基金产品的一种，而且得到了市场的认可。本文宗旨在研究杠杆 ETF 的价值的基础上研究他的风险，为在我国探讨移植杠杆ETF 提供借鉴。 Abstract: Leveraged ETF is a kind of various innovative fund products introduced by the abroad mature market in recent years, and has recognized by the market. This paper wants to study the risk of Leveraged ETF based on the study of its value to provide a reference for the transplantation of Leveraged ETF in China. 关键词： 杠杆ETF ；价值；期望收益；风险 Key words: Leveraged ETF ；value ；expected return ；risk 中图分类号： 文献标识码： 文章编号： F83 A 1006-4311 （2011）24-0013-02 0 引言 金的风险。这个建立过程使我们了解杠杆ETF 的收益分布。本文得 杠杆ETF 已经是全世界金融领域争论的话题。本文通过利用 到，k 倍杠杆ETF 不能得到k 倍ETF 基金的收益，而且k 倍杠杆ETF ETF 的动态组合和现金账户建立一个杠杆ETF 来阐述杠杆ETF 基 的收益是路径