{"id":2798,"date":"2018-09-06T22:39:57","date_gmt":"2018-09-06T14:39:57","guid":{"rendered":"https:\/\/www.mpfdiy.com\/?p=2798"},"modified":"2018-09-06T22:39:57","modified_gmt":"2018-09-06T14:39:57","slug":"%e9%a6%99%e6%b8%af%e7%9a%84-smart-beta","status":"publish","type":"post","link":"https:\/\/www.mpfdiy.com\/2018\/09\/%e9%a6%99%e6%b8%af%e7%9a%84-smart-beta\/","title":{"rendered":"\u9999\u6e2f\u7684 smart beta"},"content":{"rendered":"

\u9999\u6e2f\u7684 smart beta<\/span><\/strong><\/p>\n

 <\/p>\n

Smart beta \u6216 factor investing\u662f\u8fd1\u5341\u5e74\u6295\u8cc7\u754c\u7684\u71b1\u9ede\uff0c\u4ea6\u662f\u53ef\u904b\u7528\u65bc\u5f37\u7a4d\u91d1\u4e2d\uff0c\u6210\u70ba\u300a\u7a4d\u91d1\u5927\u53cd\u64ca\u300b<\/a>\u7684\u7b2c6\u62db\uff0c\u672c\u7ad9\u5df2\u6709\u591a\u7bc7\u524d\u6587\u8a0e\u8ad6Smart beta\uff08\u898b 1<\/a>\u00a0 2<\/a>\u00a0 3<\/a>\uff09\uff0c\u524d\u6587\u4ea6\u8ac7\u53ca\u6709\u81ea\u7a31\u904b\u7528smart beta\u65bc\u9810\u8a2d\u6295\u8cc7\u7684\u65bd\u7f85\u5fb7\uff08\u898b\u6b64<\/a>\uff09\u3002<\/span><\/p>\n

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\u6309\u5831\u7ae0<\/a>\u4ecb\u7d39\uff0c\u57fa\u91d1\u516c\u53f8\u5bcc\u862d\u514b\u6797\u9127\u666e\u9813<\/a><\/strong>\u65bc2017\u5e7411\u6708\u63a8\u51fa\u4e86\u6295\u8cc7\u65bc\u9999\u6e2f\u80a1\u7968\u7684smart beta\u6838\u51c6\u532f\u96c6\u6295\u8cc7\u57fa\u91d1\uff08\u898b\u7a4d\u91d1\u5c40\u8cc7\u6599<\/a>\uff09\uff0c\u8b93\u4e00\u773e\u8a08\u5283\u5167\u7684\u9999\u6e2f\u80a1\u7968\u6210\u4efd\u57fa\u91d1\uff0c\u53ef\u4ee5\u900f\u904e\u6295\u8cc7\u6b64\u5bcc\u862d\u514b\u6797\u9127\u666e\u9813\u7684smart beta\u57fa\u91d1\uff0c\u800c\u6295\u8cc7\u65bcsmart beta\u3002\u5831\u7ae0<\/a>\u9084\u4ecb\u7d39\u4e86\u5bcc\u862d\u514b\u6797\u9127\u666e\u9813\u7684\u6e2f\u80a1smart beta\uff0c\u670940%\u5206\u914d\u65bc\u8cea\u7d20\uff08Quality\uff09\u300140%\u5206\u914d\u65bc\u50f9\u503c\uff08Value\uff09\u300110%\u52d5\u529b\uff08Momentum\uff09\u53ca10%\u4f4e\u6ce2\u5e45\uff08Low Valitility\uff09\uff0c\u5373\u662f\u6df7\u5408\u7684\u591a\u91cd\u56e0\u5b50\uff08Mixed Multi-Factor\uff09\uff0c\u898b\u524d\u6587<\/a>\u3002<\/span><\/p>\n

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 <\/p>\n

\u5481\u5571\u5f97\u5481\u6a4b\uff0cS&P Dow Jones Indices<\/strong>\u65bc2017\u5e749\u6708\u767c\u8868\u4e86\u4e00\u4efd\u5831\u544a<\/a>\uff0c\u5831\u544a\u5167\u5bb9\u662f\u7814\u7a76\u63a2\u8a0e6\u7a2efactor\uff08small cap\u3001value\u3001low volatility\u3001momentum\u3001quality\u3001dividend\uff09\u904b\u7528\u65bc\u9999\u6e2f\u80a1\u7968\u5e02\u5834\u7684\u8868\u73fe\uff0c\u662f\u5c11\u6709\u7684smart beta\u65bc\u9999\u6e2f\u80a1\u7968\u5e02\u5834\u7684\u7814\u7a76\uff0c\u5831\u544a\u5167\u5bb9\u5341\u5206\u5145\u5be6\u5168\u9762\uff0c\u503c\u5f97\u5927\u5bb6\u7d30\u95b1\u3002<\/span><\/p>\n

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 <\/p>\n

\u6b64\u5831\u544a\u6aa2\u8a0e\u4e866\u7a2e\u56e0\u5b50\u6295\u8cc7\uff08factor investing\uff09\u65bc2006\u5e746\u670830\u65e5\u81f32017\u5e746\u670830\u65e5\u7684\u56de\u5831\u53ca\u6ce2\u5e45\uff0c\u5831\u544a\u7b2c14\u9801\u6709\u4e00\u5217\u8868\uff0c\u5c07 6\u7a2e\u56e0\u5b50\u6295\u8cc7\u8207\u6e2f\u80a1\u6307\u6578\uff08S&P ACCESS HONG KONG INDEX\uff09\u4f5c\u51fa\u4e86\u6bd4\u8f03\uff0c\u898b\u4e0b\uff1a<\/span><\/p>\n

 <\/p>\n

\"<\/a><\/p>\n

\u53d6\u81eaHow Smart Beta Strategies Work in the Hong Kong Market<\/a><\/p>\n

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 <\/p>\n

\u4e0a\u8868\u53ef\u898b\uff0c\u5831\u544a<\/a>\u6307\u51falow volatility<\/span>\u53cadividend\u56e0\u5b50<\/span><\/span>\u65bc\u6e2f\u80a1\u8868\u73fe\u8f03\u597d\uff0c\u5e74\u5747\u56de\u5831\/\u6309\u5e74\u6ce2\u5e45<\/span>\u7684\u6bd4\u7387\u67090.49\u53ca0.43\uff08\u8f49\u5316\u6210\u5e74\u5747\u56de\u5831\/\u6309\u6708\u6ce2\u5e45\u6bd4\u7387\u5247\u662f0.49×12^0.5 = 1.7 \u53ca1.5\uff0c\u6bd4\u8d77\u7b2c\u4e94\u62db\u81f3\u7b2c\u4e03\u62db\u7684\u6bd4\u73872\uff0c\u4ecd\u662f\u5dee\u5c11\u5c11\uff09\u3002<\/span><\/p>\n

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\u5bcc\u862d\u514b\u6797\u9127\u666e\u9813\u7684\u65b0\u6838\u51c6\u532f\u96c6\u6295\u8cc7\u57fa\u91d1\u6240\u6ce8\u91cd\u7684Quality<\/span>\u53caValue<\/span>\uff0c\u65bcS&P Dow Jones Indices\u7684\u5831\u544a\u53ea\u6392\u7b2c\u4e09\u53ca\u7b2c\u56db\uff0c\u5e74\u5747\u56de\u5831\/\u6309\u5e74\u6ce2\u5e45\u7684\u6bd4\u7387\u67090.42\u53ca0.41\uff0c\u6bd4\u57fa\u6e96\u6e2f\u80a1\u6307\u6578\uff08S&P ACCESS HONG KONG INDEX\uff09\u76840.38\u53ea\u9ad8\u5c11\u8a31\u3002<\/span><\/p>\n

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 <\/p>\n

\u53e6\u5916\uff0c\u5831\u544a\u6307\u51fa\u7d30\u50f9\u80a1\uff08small cap\uff09<\/span>\u56e0\u5b50\u7684\u8868\u73fe\u6700\u5dee\uff0c\u7d30\u50f9\u80a1\u56e0\u5b50\u7684\u56de\u5831\u53c8\u4f4e\uff0c\u6ce2\u5e45\u53c8\u9ad8\uff0c\u5e74\u5747\u56de\u5831\/\u6309\u5e74\u6ce2\u5e45\u7684\u6bd4\u7387\u53ea\u67090.19\uff0c\u662f\u6e2f\u80a1\u6307\u6578\uff08S&P ACCESS HONG KONG INDEX\uff09\u7684\u4e00\u534a\u3002\u9418\u60c5\u7d30\u50f9\u80a1\u7684\u78da\u5bb6\u53ca\u5e2b\u5976\u5514\u77e5\u9ede\u7747\uff1f<\/span><\/p>\n

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 <\/p>\n

\u6b64\u5831\u544a<\/a>\u4ea6\u7814\u7a76\u4e86\u90196\u7a2e\u56e0\u5b50\u4e4b\u9593\u7684\u95dc\u806f\u7cfb\u6578\uff0c\u4ea6\u6aa2\u8a0e\u4e866\u7a2e\u56e0\u5b50\u7684\u6301\u80a1\u50be\u5411\u8207\u57fa\u6e96\u6e2f\u80a1\u6307\u6578\u7684\u5dee\u5225\uff0c\u5f97\u51fa\u7684\u89c0\u5bdf\u662flow volatility\u53cadividend\u65bc\u6e2f\u80a1\u50be\u5411\u6301\u6709Utilities\uff08\u6c34\u96fb\u7164\uff09\u3001Industrials\uff08\u5de5\u696d\uff09\u53caConsumer Discretionary\uff08\u975e\u5fc5\u9700\u54c1\uff09\uff0c\u8a73\u7d30\u898b\u5831\u544a<\/a>\u5167Exhibit 11\u3002<\/span><\/p>\n

 <\/p>\n

\u7531\u65bc\u6e2f\u80a1\u9817\u53d7\u7d93\u6fdf\u9031\u671f\u6240\u5f71\u97ff\uff0c\u6240\u4ee5\u6b64\u5831\u544a<\/a>\u4ea6\u7814\u7a76\u4e866\u7a2e\u56e0\u5b50\u65bc\u5404\u7d93\u6fdf\u9031\u671f\u7684\u8868\u73fe\uff0cExhibit 15\u4ea6\u5370\u8b49\u4e86\u773e\u6240\u9031\u77e5\u7684\u9053\u7406\uff1a\u725b\u5e02\u6642momentum\u8f03\u597d\uff0c\u718a\u5e02\u6642low volatility\u8f03\u597d\u3002<\/span><\/p>\n

 <\/p>\n

\u53ef\u60dc\u6b64\u5831\u544a\u672a\u6709\u6d89\u8db3multi-factor<\/a>\uff0c\u5e0c\u671bS&P Dow Jones Indices\u80fd\u7e7c\u7e8c\u65bc\u9019\u65b9\u9762\u65bc\u6e2f\u80a1\u7684\u7814\u7a76\u3002<\/span><\/p>\n

 <\/p>\n

\u96e3\u5f97\u6709\u6b64\u8a73\u76e1\u3001\u5168\u9762\u3001\u591a\u89d2\u5ea6\u5c08\u9580\u91dd\u5c0d\u9999\u6e2f\u80a1\u5e02\u7684\u516c\u958b\u7814\u7a76\u5831\u544a\uff0c\u5927\u5bb6\u4ed4\u7d30\u95b1\u8b80\u5f8c\uff0c\u4e00\u5b9a\u7372\u76ca\u826f\u591a\u3002<\/strong><\/span>\u3000<\/span><\/p>\n

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 <\/p>\n

\u7576\u7136\uff0c\u67d0\u4e00\u516c\u53f8\u7684\u67d0\u4e00\u90e8\u9580\u7684\u67d0\u4e00\u4efd\u5831\u544a\u672a\u5fc5\u5b8c\u5168\u6b63\u78ba\u53ca\u5177\u4ee3\u8868\u6027\uff0c\u4f46\u5982\u679c\u4e00\u773e\u7814\u7a76\u54e1\u53ca\u5b78\u8005\u80fd\u96c6\u601d\u5ee3\u76ca\u96c6\u814b\u6210\u88d8\uff0c\u4fbf\u80fd\u70ba\u6e2f\u80a1\u6295\u8cc7\u5e36\u51fa\u4e00\u689d\u65b0\u8def\u5411\u3002<\/span><\/p>\n

 <\/p>\n

\u800c\u4ee5\u6e2f\u80a1\u70ba\u6295\u8cc7\u4e3b\u8ef8\u7684\u5f37\u7a4d\u91d1\uff0c\u4ea6\u53ef\u4ee5\u56e0\u800c\u5f97\u76ca\uff0c\u4f8b\u5982\u6709\u66f4\u591a\u57fa\u91d1\u516c\u53f8\u50cf\u5bcc\u862d\u514b\u6797\u9127\u666e\u9813\uff0c\u63d0\u4f9b\u591a\u4e9b\u6295\u8cc7\u9078\u64c7\u7d66\u5f37\u7a4d\u91d1\u8a08\u5283\uff0c\u800c\u5f37\u7a4d\u91d1\u8a08\u5283\u7684\u53d7\u8a17\u4eba\u3001\u6295\u8cc7\u7d93\u7406\uff0c\u751a\u81f3\u7a4d\u91d1\u5c40\u7b49\u76e3\u7ba1\u6a5f\u69cb\uff0c\u53ef\u4ee5\u62b1\u6709\u65b0\u601d\u7dad\u53bb\u4f5c\u51fa\u4e0d\u540c\u7684\u5617\u8a66\uff0c\u4ee4\u8a08\u5283\u6210\u54e1\u6709\u66f4\u591a\u7684\u6295\u8cc7\u7b56\u7565\u53ef\u4f9b\u9078\u64c7\uff0c\u4e0d\u9700\u8981\u5929\u5929\u807d\u8ca1\u6f14\u4e82up\u8b1b\u9810\u6e2c<\/a>.<\/span><\/p>\n

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\u5ef6\u4f38\u95b1\u8b80<\/span><\/strong><\/p>\n

 <\/p>\n

1.\u5927\u9678A\u80a1\u7684smart beta\u6548\u679c\uff1a<\/span><\/p>\n

 <\/p>\n

https:\/\/www.robeco.com\/hk\/en\/insights\/2017\/08\/factor-investing-also-works-with-chinese-a-shares.html<\/a><\/span><\/p>\n

 <\/p>\n

https:\/\/meetingsandevents.jpmorganchase.com\/metron\/(medialibrary)\/55216dc5-b073-46a4-ad56-76a32f8a1939\/meetings\/415d8dae-56ac-4be3-9352-d2b3b9dbf1dd\/documents\/1315_Yogesh_Feb2017_OK%20website.pdf<\/a><\/span><\/p>\n

 <\/p>\n

https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2955144<\/a><\/span><\/p>\n

 <\/p>\n

 <\/p>\n

2.\u5931\u7720\u7cbe\u9078\uff1ahttp:\/\/wp.lancs.ac.uk\/fofi2018\/<\/a><\/span><\/p>\n

 <\/p>\n

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 <\/p>\n

Image from\u00a0stalsvc.com<\/span><\/em><\/p>\n","protected":false},"excerpt":{"rendered":"

\u9999\u6e2f\u7684 smart beta   Smart beta \u6216 factor investing\u662f\u8fd1\u5341\u5e74…<\/p>\n","protected":false},"author":1,"featured_media":2869,"comment_status":"open","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_exactmetrics_skip_tracking":false,"_exactmetrics_sitenote_active":false,"_exactmetrics_sitenote_note":"","_exactmetrics_sitenote_category":0,"_monsterinsights_skip_tracking":false,"_monsterinsights_sitenote_active":false,"_monsterinsights_sitenote_note":"","_monsterinsights_sitenote_category":0,"_uf_show_specific_survey":0,"_uf_disable_surveys":false,"_jetpack_memberships_contains_paid_content":false,"footnotes":"","jetpack_publicize_message":"","jetpack_publicize_feature_enabled":true,"jetpack_social_post_already_shared":true,"jetpack_social_options":{"image_generator_settings":{"template":"highway","enabled":false},"version":2}},"categories":[4],"tags":[14,30,10],"class_list":["post-2798","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-4","tag-momentum","tag-sharpe-ratio","tag-smart-beta"],"jetpack_publicize_connections":[],"jetpack_featured_media_url":"https:\/\/i0.wp.com\/www.mpfdiy.com\/wp-content\/uploads\/2018\/09\/Smart-Beta-1.jpg?fit=768%2C768&ssl=1","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p7Tc20-J8","jetpack-related-posts":[],"_links":{"self":[{"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/posts\/2798","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/comments?post=2798"}],"version-history":[{"count":5,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/posts\/2798\/revisions"}],"predecessor-version":[{"id":2875,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/posts\/2798\/revisions\/2875"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/media\/2869"}],"wp:attachment":[{"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/media?parent=2798"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/categories?post=2798"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/tags?post=2798"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}