2007年金山基金投资组合-金山2007年最优投资组合设计系列文章(1)

根据去年底的调研,,经过研究决定,金山基金的投资组合选定如下板块作为SECTOR ROTATION:

黄金(10%);
资源(10%);
中国基金(10%);
新兴市场(10%);
科技卫生(10%).

加上CORE基金(50%),构成2007年目标组合.

采用如下预期参考数据(板块-回报率-风险)

黄金-30%-25%;
资源-20%-20%
中国基金-30%-15%;
新兴市场-20%-17%;
科技卫生-20%-20%.
核心-10%-10%


设计出2007年金山基金投资组合的预期结果:

回报率-17%;
风险(均方差)-13.34%.

说明:
1.板块将根据经济气候做适当调整;
2.使用的斜相关矩阵随机确定,不是市场统计结果;
3.各板块的预期回报率是目标基金的过去三年平均回报率.
4.组合的MIX取平均分配比例,不是最优解(FOINTIER).

[beibei_sd2004]

Excellent post and thank you Jim for the nice sharing!

I agree to overweight Gold, China and Technology in 2007 and have a couple of quick questions:

1 What's your recommended asset allocation for year 2007 in term of US large equity/US medium or small equity/International EAFE/Emerging Market/Commodities (gold etc)/Bond/Cash?

Usually there are some overlaps among some funds: e.g China Fund is part of Emerging market fund; Technology occupies around 20% of US large index (SP500) fund etc. I am not sure if you used Morningstar X-ray and I personally like it a not.

2 Efficient frontier is a great theory for asset allocation and portfolio management. It maximums the returns while minimizes the risks. What's your suggestion on this?

Thanks again