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???metadata.dc.title???: Smart Beta指数投资策略分析--基于中国A股市场的实证研究
???metadata.dc.title.alternative???: The Analysis of Smart Beta Strategies--An Empirical Research in China A-shares Market
???metadata.dc.contributor.*???: 刘璟宇
经管学院
???metadata.dc.subject???: Smart Beta;全局最小方差策略;等权重策略;历史回测
Smart Beta; Minimum-Variance Strategy; Equal Weighting Strategy;Back Test
???metadata.dc.date.issued???: 18-Mar-2016
???metadata.dc.description.abstract???: Smart Beta 指数投资策略对应于量化基金市场上新兴的非市值加权指数投资策略,介于主动投资与被动投资之间。该策略通过积极设定非市值加权模式获得相对市值加权指数的超额收益。本文控制策略成分股与沪深300 指数相同,基于中国A 股市场对Smart Beta 指数投资策略中的全局最小方差策略以及等权重策略进行了历史回测,运用SAS 编程实证检验策略在2006 年1 月至2014 年12 月的投资绩效。同时本文加入了调仓周期对于策略绩效的影响,Fama-French 三因子模型分析和交易成本分析。结果表明全局最小方差策略以及等权重策略在中国A股市场均超越沪深300 指数,并且获得了显著的效益,但同时受到投资容量,调仓周期的影响。本文进一步推进了国内非市值加权指数投资策略的综合研究,同时为国内指数基金投资者提供客观参考。
Smart Beta is a new born non cap-weighted index investment strategy in the area of quantitative funds, which seeks excess returns over the cap-weighted index by actively setting the rules of calculating the index. It is between the passive and active management. Using identical stock universe as the CSI 300, the author back tests the minimum-variance strategy and equal weighting strategy during the period starting from Jan. 2006 to Dec. 2014 in SAS software. This paper analyzes the impact of rebalancing frequency change on the outcome of the strategies. The paper estimates the trading costs and uses Fama-French three factor model for strategy analysis. The results show that minimum-variance strategy and equal weighting strategy both outperform CSI 300 in Chinese A-shares market. However the performance is influenced by the rebalancing frequency and investment capacity. This paper fills the gap of the research area of the non cap-weighted index investment strategy in Chinese A-shares market and provides objective references for the index fund investors.
???metadata.dc.identifier.uri???: http://hdl.handle.net/123456789/3672
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