積金新聞#4 – 施羅德「預設投資」基金運用Smart Beta方式進行投資
如果不知道什麼是Smart Beta，可先閱讀多篇前文：
香港市面未見有專門研究Smart Beta的書籍，大家可閱讀《積金大反擊》第77至80頁補一補。
施羅德近月不斷向傳媒宣傳其「預設投資」的兩隻基金，是運用Smart Beta方式去選股，然後由投資經理進行投資，又說此方式會增加1.5%回報。
如果細看不同傳媒報導施羅德的Smart Beta內容，會發現每個報導所說的Smart Beta因子都不一樣。明報說是「波幅、價值及周期性」（見此），蘋果（見此）及東方（見此）說是「股份價值、波動率及股價動力」，不知是說的錯，還是聽的錯。
究竟施羅德的兩隻「預設投資」基金是按那些因子？我們直接看看計劃章程便知。
見前文得知施羅德是富衛、中銀保誠我的強積金計劃、新地、永明的「預設投資」基金外判商，我們看看我的強積金計劃（見此第12頁）及永明（見此第一補充資料第11頁）的強積金計劃章程，便可得知因子有「低波幅、價值及質素」（如屬股票證券）與及「到期日、信貸評級及流動性」（如屬定息證券）。好明顯股票及債券各有不同因子，所以所有前述的報導都沒有覆蓋全部內容。
環球股票及環球債券分別運用了3種不同因子，是為多重因子投資。但是，資金分配操作方式是按「混合」？還是「綜合」（見此）？強積金計劃章程內的資料沒有詳細交待，亦沒有說明投資經理如何作出決定，我們只有向施羅德的其他共同基金入手，看看能否得到更多資訊。
施羅德英國的共同基金有運用Smart Beta方式去進行投資，例如：
| 施羅德共同基金 | 投資策略 |
| Schroder Advanced Beta Global Corporate Bond Fund | Investment in Lower Rated, High Yielding Debt Securities |
| Schroder Advanced Beta Global Equity Low Volatility Fund | Invest in a low volatility portfolio of equities.
Low volatility investing involves evaluating indicators such as share price movement and historical performance |
| Schroder Advanced Beta Global Equity Quality Fund | Invest in a quality style biased portfolio of equities and equity related securities of companies worldwide.
Quality investing involves evaluating indicators such as profitability and borrowing. |
| Schroder Advanced Beta Global Equity Small and Mid Cap Fund | Invest in the equities and equity related securities of small and mid cap companies worldwide.
Small and mid cap companies are considered companies which, at the time of purchase, form the bottom 60% by market capitalisation of each individual market. |
| Schroder Advanced Beta Global Equity Value Fund | Invest in a value style biased portfolio of equities and equity related securities of companies worldwide.
Value investing involves evaluating indicators such operational cash flow and share price |
| Schroder Advanced Beta Global Sovereign Bond Fund | Invest in the government bonds of any of the 17 largest member countries (by market capitalisation) of the Organisation for Economic Co-operation and Development |
| Schroder Advanced Beta UK Equity Fund | Invest in equities and equity related securities of companies listed, incorporated or headquartered in the UK or companies that derive a significant proportion of their revenues from their UK business.
These companies will have value, quality or low volatility characteristics.
Value investing involves evaluating indicators such as operational cash flow and share price to determine those securities that the Investment Manager believes have been undervalued by the market.
Quality investing involves evaluating indicators such as profitability and borrowing.
Low volatility investing involves evaluating indicators such as share price movement and historical performance. |
施羅德「預設投資」內的環球股票部份，可能跟上表Schroder Advanced Beta UK Equity Fund的投資方法相似，運用value, quality or low volatility即「質素、價值及低波幅」因子去選股；但債券方面，則找不到類似運用「到期日、信貸評級及流動性」去操作的施羅德基金。
施羅德說運用因子去選出股票後，再經基金經理作出最終買賣決定，即是最終仍是依賴個人能力選股。當運用因子投資選出股票後，為什麼還要基金經理去決定呢？是否因為此環球股票基金及環球債券基金成立日子短，基金資產總值不足以買入全部由因子投資所選出的股票及債券？
與其相信一個人，不如相信每一個人。既然「預設投資」是以指數為基準，與其相信一班基金經理，不如相信指數內每一隻股票。如果偏愛基金經理選股，還有其他成份基金可供選擇。
上述的Schroder Advanced Beta UK Equity Fund，於2016年2月成立，基金規模只有約三億英鎊（見此）。由2016年3月至2017年3月，Schroder Advanced Beta UK Equity Fund上升21.5%，同期富時100指數上升23.2%（19.5%+3.7%派息），Schroder Advanced Beta UK Equity Fund的回報對比起指數還差少少。
最後，施羅德說兩隻「預設投資」基金可以跑贏指數1.5%（見此），大家拭目以待。
延伸閱讀
https://www.ishares.com/us/products/etf-product-list#!type=ishares&tab=overview&view=list&fst=50584
Image from oppenheimerfunds.com