{"id":810,"date":"2017-02-20T11:32:14","date_gmt":"2017-02-20T03:32:14","guid":{"rendered":"https:\/\/www.mpfdiy.com\/?p=810"},"modified":"2018-10-12T21:54:42","modified_gmt":"2018-10-12T13:54:42","slug":"smart-beta-%e8%88%87%e5%a4%9a%e9%87%8d%e5%9b%a0%e5%ad%90%e6%8a%95%e8%b3%87","status":"publish","type":"post","link":"https:\/\/www.mpfdiy.com\/2017\/02\/smart-beta-%e8%88%87%e5%a4%9a%e9%87%8d%e5%9b%a0%e5%ad%90%e6%8a%95%e8%b3%87\/","title":{"rendered":"Smart Beta \u8207\u591a\u91cd\u56e0\u5b50\u6295\u8cc7"},"content":{"rendered":"<h2><span style=\"font-size: 14pt; color: #04b2f2;\">Smart Beta \u8207\u591a\u91cd\u56e0\u5b50\u6295\u8cc7 \uff08Multi-Factor Investing\uff09<\/span><\/h2>\n<p>&nbsp;<\/p>\n<p><span style=\"font-size: 14pt;\">\u7e8c\u300c<a href=\"https:\/\/www.mpfdiy.com\/2016\/09\/smart-beta\/\" target=\"_blank\" rel=\"noopener\">Smart Beta\u8207\u56e0\u5b50\u6295\u8cc7<\/a>\u300d\u524d\u6587<\/span><\/p>\n<p>&nbsp;<\/p>\n<p><span style=\"font-size: 14pt;\">\u300a<a href=\"https:\/\/www.mpfdiy.com\/%e9%97%9c%e6%96%bc-mpfdiy\/\" target=\"_blank\" rel=\"noopener\">\u7a4d\u91d1\u5927\u53cd\u64ca<\/a>\u300b\u7684\u7b2c6\u62db\u300c\u52d5\u529b\u6295\u8cc7\u7b56\u7565\u300d\u662f\u56e0\u5b50\u6295\u8cc7\uff08Factor Investing\uff09\u7684\u4e00\u7a2e\uff0c\u898b\u66f8\u4e2d\u7b2c77\u9801\uff0c\u4ee5\u56e0\u5b50\u6295\u8cc7\u70ba\u6295\u8cc7\u7b56\u7565\u7684\u57fa\u91d1\uff0c\u88ab\u7a31\u70baSmart Beta\uff0c\u610f\u601d\u662f\u904b\u7528\u88ab\u52d5\u5f0f\u7684\u65b9\u6cd5\uff0c\u53bb\u88fd\u9020\u6bd4\u5e02\u5834\u66f4\u9ad8\u7684\u56de\u5831\u3002<\/span><\/p>\n<p>&nbsp;<\/p>\n<p><span style=\"font-size: 14pt;\">Smart Beta\u5176\u5be6\u662f\u57fa\u91d1\u516c\u53f8\u7684\u5ba3\u50b3\u53e3\u865f\uff0c\u56e0\u70ba\u6309\u7167\u8cc7\u7522\u5b9a\u50f9\u6a21\u578b\uff08CAPM\uff09\uff0c\u6240\u6709\u7121\u98a8\u96aa\u56de\u5831\uff08Risk Free Rate\uff09\u53ca\u5e02\u5834\u56de\u5831\uff08Beta\uff09\u4ee5\u5916\u7684\u56de\u5831\uff0c\u90fd\u53ebAlpha\u3002\u6240\u4ee5\u56b4\u683c\u4f86\u8aaa\uff0c\u4e0d\u5b58\u5728Beta \u4ee5\u5916\u7684Smart Beta\u3002\u4f46\u662f\uff0c\u56e0\u70baAlpha\u88ab\u5c0d\u6c96\u57fa\u91d1\uff08Hedge Fund\uff09\u6feb\u7528\uff0c\u4fdd\u5b88\u578b\u6295\u8cc7\u8005\u4e00\u807dAlpha\u4fbf\u611f\u89ba\u7b49\u540c\u65bc\u9ad8\u98a8\u96aa\uff0c\u53cd\u800cBeta\u6709\u88ab\u52d5\u5f0f\u53ca\u4f4e\u98a8\u96aa\u7684\u542b\u610f\uff0c\u65bc\u662f\u5275\u610f\u8c50\u5bcc\u7684\u91d1\u878d\u754c\uff0c\u90fd\u559c\u6b61\u7528Smart Beta\uff0c\u800c\u4e0d\u662fSmart Alpha\u3002<\/span><\/p>\n<p>&nbsp;<\/p>\n<p><span style=\"font-size: 14pt;\">\u56e0\u5b50\u6295\u8cc7\uff08Factor Investing\uff09\u7684\u56e0\u5b50\u6709\uff1a\u52d5\u529b\uff08Momentum\uff09\u3001\u6ce2\u5e45\uff08Volatility\uff09\u3001\u50f9\u503c\uff08Value\uff09\u3001\u8cea\u7d20\uff08Quality\uff09\u7b49\u7b49\uff0c\u9019\u4e9b\u56e0\u5b50\u6703\u96a8\u6642\u9593\u8b8a\u5316\u800c\u6709\u56de\u5831\u6ce2\u52d5\uff0c\u6709\u6642\u5169\u500b\u56e0\u5b50\u6703\u4e92\u76f8\u77db\u76fe\uff0c\u56de\u5831\u4e00\u6b63\u4e00\u8ca0\uff0c\u4f8b\u5982\u8655\u65bc\u4f4e\u6ce2\u5e45\u7684\u80a1\u7968\u53ef\u80fd\u6709\u8f03\u5dee\u7684\u52d5\u529b\uff0c\u7576\u4f4e\u300c\u6ce2\u5e45\u300d\u53ca\u300c\u52d5\u529b\u300d\u5169\u500b\u6216\u4ee5\u4e0a\u7684\u56e0\u5b50\u6295\u8cc7\u4e00\u4f75\u57f7\u884c\u6642\uff0c\u61c9\u8a72\u5982\u4f55\u9032\u884c\uff1f<\/span><\/p>\n<p>&nbsp;<\/p>\n<p><span style=\"font-size: 14pt;\">\u5169\u500b\u6216\u4ee5\u4e0a\u7684\u56e0\u5b50\u6295\u8cc7\u4e00\u4f75\u57f7\u884c\u88ab\u7a31\u70ba<span style=\"color: #04b2f2;\">\u300cMulti-Factor Investing\u300d<\/span>\uff0c\u73fe\u6642\u7684\u56e0\u5b50\u6295\u8cc7\u57fa\u91d1\u6703\u63a1\u7528\u5169\u7a2e\u65b9\u6cd5\uff1a<span style=\"color: #04b2f2;\">\u6df7\u5408\uff08Mixed \uff09<\/span>\u53ca<span style=\"color: #04b2f2;\">\u7d9c\u5408\uff08Integrated\uff09<\/span>\u3002<\/span><\/p>\n<p>&nbsp;<\/p>\n<p><span style=\"font-size: 14pt;\"><strong>\u6df7\u5408\u56e0\u5b50\u6295\u8cc7<\/strong>\u662f\u7368\u7acb\u8003\u616e<span style=\"color: #04b2f2;\">\u5404\u56e0\u5b50<\/span>\uff0c\u4e26\u5c07\u8cc7\u91d1\u6309\u6bd4\u4f8b\u914d\u7f6e\u65bc\u5404\u56e0\u5b50\uff0c\u4f8b\u598250%\u52d5\u529b\uff0b50%\u6ce2\u5e45\uff0c\u5c07\u591a\u7a2e\u56e0\u5b50\u6df7\u5408\u4e00\u8d77\u3002\u6df7\u5408\u56e0\u5b50\u6295\u8cc7\u7684\u597d\u8655\u662f\u5206\u6563\u6295\u8cc7\uff0c\u4f46\u662f\uff0c\u5982\u679c\u904e\u5ea6\u5206\u6563\uff0c\u7b49\u65bc\u6301\u6709\u6240\u6709\u6295\u8cc7\u7269\uff0c\u8b8a\u5f97\u50cf\u666e\u901a\u7684\u6307\u6578\u4e00\u6a23\u3002<\/span><\/p>\n<p>&nbsp;<\/p>\n<p><span style=\"font-size: 14pt;\"><strong>\u7d9c\u5408\u56e0\u5b50\u6295\u8cc7<\/strong>\u662f\u7368\u7acb\u8003\u616e<span style=\"color: #04b2f2;\">\u5404\u6295\u8cc7\u7269<\/span>\uff0c\u4e26\u70ba\u5404\u6295\u8cc7\u7269\u6253\u5206\uff0c\u5982\u679c\u67d0\u4e00\u6295\u8cc7\u7269\u5305\u542b\u65bc\u773e\u591a\u56e0\u5b50\u4e4b\u4e2d\uff0c\u8a72\u6295\u8cc7\u7269\u7684\u5206\u6578\u4fbf\u6703\u9ad8\uff0c\u4fbf\u6709\u66f4\u591a\u7684\u6bd4\u91cd\u65bc\u8a72\u6295\u8cc7\u7269\u3002<\/span><\/p>\n<p>&nbsp;<\/p>\n<p><span style=\"font-size: 14pt;\">\u4e0b\u5716\u7c21\u55ae\u5c55\u793a\u51fa\u6df7\u5408\uff08Mixed \uff09\u53ca\u7d9c\u5408\uff08Integrated\uff09\u7684\u5206\u5225\uff1a<\/span><\/p>\n<p>&nbsp;<\/p>\n<p><a href=\"https:\/\/i0.wp.com\/www.mpfdiy.com\/wp-content\/uploads\/2017\/02\/multifactor-1.png?ssl=1\"><img data-recalc-dims=\"1\" title=\" \"loading=\"lazy\" decoding=\"async\" class=\"size-medium wp-image-812\" src=\"https:\/\/i0.wp.com\/www.mpfdiy.com\/wp-content\/uploads\/2017\/02\/multifactor-1.png?resize=300%2C230&#038;ssl=1\" alt=\" \" width=\"300\" height=\"230\" srcset=\"https:\/\/i0.wp.com\/www.mpfdiy.com\/wp-content\/uploads\/2017\/02\/multifactor-1.png?resize=300%2C230&amp;ssl=1 300w, https:\/\/i0.wp.com\/www.mpfdiy.com\/wp-content\/uploads\/2017\/02\/multifactor-1.png?resize=768%2C588&amp;ssl=1 768w, https:\/\/i0.wp.com\/www.mpfdiy.com\/wp-content\/uploads\/2017\/02\/multifactor-1.png?w=809&amp;ssl=1 809w\" sizes=\"auto, (max-width: 300px) 100vw, 300px\" \/><\/a><\/p>\n<p><span style=\"font-size: 14pt;\">\u5982\u679c\u4e09\u500b\u5713\u5f62\u4ee3\u8868\u4e09\u7a2e\u56e0\u5b50\u6240\u8986\u84cb\u7684\u6295\u8cc7\u7269\uff0c\u4e09\u500b\u5713\u5f62\u6240\u8986\u84cb\u4e4b\u9818\u57df\u5c31\u662f<span style=\"color: #04b2f2;\"><strong>\u6df7\u5408\u56e0\u5b50\u6295\u8cc7<\/strong><\/span>\u6240\u5305\u62ec\u7684\u6295\u8cc7\u7269\uff0c\u800c\u4e09\u500b\u5713\u5f62<strong>\u91cd\u758a<\/strong>\u7684\u4e2d\u5fc3\u9818\u57df\uff0c\u5c31\u662f<span style=\"color: #04b2f2;\"><strong>\u7d9c\u5408\u56e0\u5b50\u6295\u8cc7<\/strong><\/span>\u6240\u5305\u62ec\u7684\u6295\u8cc7\u7269\u3002\u53ef\u898b\uff0c\u300c\u6df7\u5408\u300d\u7684\u7bc4\u570d\u8f03\u5ee3\u95ca\uff0c\u6703\u5305\u542b\u8f03\u591a\u6295\u8cc7\u7269\uff1b\u800c\u300c\u7d9c\u5408\u300d\u7684\u53ea\u96c6\u4e2d\u65bc\u5927\u591a\u6578\u56e0\u5b50\u90fd\u6703\u5305\u542b\u7684\u6295\u8cc7\u7269\uff0c\u6240\u4ee5\u6295\u8cc7\u7269\u6578\u91cf\u8f03\u5c11\u3002<\/span><\/p>\n<p>&nbsp;<\/p>\n<p><span style=\"font-size: 14pt;\">\u73fe\u6642\u7f8e\u570b\u7684Smart Beta ETF\uff0c\u300c\u6df7\u5408\u300d\u7684\u6709<a href=\"http:\/\/www.etf.com\/SCIU\" target=\"_blank\" rel=\"noopener\" class=\"broken_link\">Global X Scientific Beta US Equity ETF (SCIU)<\/a>\u3001<a href=\"http:\/\/www.etf.com\/GSLC\" target=\"_blank\" rel=\"noopener\" class=\"broken_link\">Goldman Sachs ActiveBeta US Large Cap Equity ETF (GSLC)<\/a>\uff1b\u300c\u7d9c\u5408\u300d\u7684\u6709<a href=\"http:\/\/www.etf.com\/JPUS\" target=\"_blank\" rel=\"noopener\" class=\"broken_link\">JPMorgan Diversified Return US Equity ETF (JPUS)<\/a> \u3001<a href=\"http:\/\/www.etf.com\/LRGF\" target=\"_blank\" rel=\"noopener\" class=\"broken_link\">iShares EDGE MSCI Multifactor USA ETF (LRGF)<\/a>\u3002<\/span><\/p>\n<p>&nbsp;<\/p>\n<p><span style=\"font-size: 14pt;\">\u81f3\u65bc\u662f\u300c\u6df7\u5408\u300d\u597d\u4e9b\u9084\u662f\u300c\u7d9c\u5408\u300d\u597d\u4e9b\uff0c\u53ef\u53c3\u95b1<a href=\"https:\/\/www.aqr.com\/library\/journal-articles\/long-only-style-investing\" target=\"_blank\" rel=\"noopener\">\u6b64\u5206\u6790<\/a>\uff0c\u597d\u50cf\u300c\u7d9c\u5408\u300d\u597d\u4e9b\uff0c\u56de\u5831\u9ad8\u4e9b\uff0c\u4f46\u672a\u77e5\u9ad8\u56de\u5831\u662f\u5426\u56e0\u70ba\u9ad8\u6ce2\u5e45\u3002<\/span><\/p>\n<p>&nbsp;<\/p>\n<p><span style=\"font-size: 14pt;\">\u5982\u679c\u8981<strong>\u5f37\u7a4d\u91d1<\/strong>\u6709\u591a\u4e9b\u9078\u64c7\uff0cSmart Beta \u53ef\u4ee5\u662f\u5176\u4e2d\u4e00\u500b\u65b9\u5411\u3002<\/span><\/p>\n<p>&nbsp;<\/p>\n<p>\u898b\uff1a<a href=\"https:\/\/www.mpfdiy.com\/2017\/03\/%e7%a9%8d%e9%87%91%e6%96%b0%e8%81%9e4-%e6%96%bd%e7%be%85%e5%be%b7smart-beta\/\" target=\"_blank\" rel=\"noopener\">\u7a4d\u91d1\u65b0\u805e#4 &#8211; \u65bd\u7f85\u5fb7\u300c\u9810\u8a2d\u6295\u8cc7\u300d\u57fa\u91d1\u904b\u7528Smart Beta\u65b9\u5f0f\u9032\u884c\u6295\u8cc7<\/a><\/p>\n<p>&nbsp;<\/p>\n<p><span style=\"font-size: 14pt;\">\u5ef6\u4f38\u95b1\u8b80\uff1a<\/span><\/p>\n<p>&nbsp;<\/p>\n<p><span style=\"font-size: 14pt;\">\u8cea\u7591\u300c<strong>\u7d9c\u5408\u56e0\u5b50\u6295\u8cc7<\/strong>\u300d\u7684\u9ad8\u6301\u80a1\u8f49\u63db\u91cf<\/span><\/p>\n<p><span style=\"font-size: 14pt;\"><a href=\"https:\/\/blog.thinknewfound.com\/2016\/07\/multi-factor-mix-integrate\/\" target=\"_blank\" rel=\"noopener\">https:\/\/blog.thinknewfound.com\/2016\/07\/multi-factor-mix-integrate\/<\/a><\/span><\/p>\n<p>&nbsp;<\/p>\n<p><span style=\"font-size: 14pt;\">\u5bcc\u6642\u7684Smart Beta\u6307\u6578<\/span><\/p>\n<p><a href=\"http:\/\/www.ftserussell.com\/index-series\/index-spotlights\/smart-beta-factor-indexes\" target=\"_blank\" rel=\"noopener\" class=\"broken_link\"><span style=\"font-size: 14pt;\">http:\/\/www.ftserussell.com\/index-series\/index-spotlights\/smart-beta-factor-indexes<\/span><\/a><\/p>\n","protected":false},"excerpt":{"rendered":"<p>Smart Beta \u8207\u591a\u91cd\u56e0\u5b50\u6295\u8cc7 \uff08Multi-Factor Investing\uff09 &nbsp; \u7e8c\u300cSm&#8230;<\/p>\n","protected":false},"author":1,"featured_media":812,"comment_status":"open","ping_status":"open","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":[1],"tags":[14,10,13,15,22,28,8,47],"class_list":["post-810","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-1","tag-momentum","tag-smart-beta","tag-13","tag-15","tag-22","tag-28","tag-8","tag-47"],"jetpack_publicize_connections":[],"jetpack_featured_media_url":"https:\/\/i0.wp.com\/www.mpfdiy.com\/wp-content\/uploads\/2017\/02\/multifactor-1.png?fit=809%2C619&ssl=1","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p7Tc20-d4","jetpack-related-posts":[],"_links":{"self":[{"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/posts\/810","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=810"}],"version-history":[{"count":5,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/posts\/810\/revisions"}],"predecessor-version":[{"id":3068,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/posts\/810\/revisions\/3068"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/media\/812"}],"wp:attachment":[{"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/media?parent=810"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/categories?post=810"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/tags?post=810"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}
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