New Revolution in Fund Management: ETF/Index Design by Machines

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2019-06-19 DOI:10.1080/1226508X.2019.1632217

Jaehoon Lee

引用次数: 2

Abstract

ABSTRACT Two ETFs were listed to track the secondary-battery industry on 12 September 2018 in the Korea Stock Exchange market. They are virtually identical except that one is designed by humans while the other is made by machines. This paper compares the two ETFs and find little difference in their investment strategies except that machines are more likely to pick high book-to-market stocks than humans. Machines are also more likely to pick past losers and outperform human-designed ETF afterwards. The results suggest that machines can do equally good as humans as ETF/index designers.

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基金管理的新革命:机器的ETF/指数设计

2018年9月12日，两只追踪二次电池行业的etf在韩国证券交易所上市。除了一个是人类设计的，另一个是机器制造的，它们实际上是一样的。本文比较了这两种etf，发现它们的投资策略几乎没有什么不同，除了机器比人类更有可能选择账面市值比高的股票。机器也更有可能挑选过去的失败者，并在之后超越人为设计的ETF。结果表明，作为ETF/指数设计者，机器可以做得和人类一样好。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.