智能Beta幻影

IF 3.9 2区经济学 Q1 Economics, Econometrics and Finance

Journal of Financial and Quantitative Analysis Pub Date : 2023-05-11 DOI:10.1017/s0022109023000674

Shiyang Huang, Yang Song, Hong Xiang

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引用次数: 0

摘要

摘要本文记录并解释了智能贝塔指数在相应的交易所交易基金(etf)投入投资后表现的急剧恶化。虽然smart beta据称通过因子敞口提供超额回报，但经过市场调整的smart beta指数的回报率从ETF上市前的“账面”约3%下降到ETF上市后的- 0.50%至- 1%左右。这种业绩下降不能用要素溢价、战略时机或规模收益递减来解释。相反，我们在智能贝塔指数的构建中发现了强有力的数据挖掘证据，这有助于etf吸引资金流动，因为投资者对回测做出了积极的反应。

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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The Smart Beta Mirage

Abstract We document and explain the sharp performance deterioration of smart beta indexes after the corresponding exchange-traded funds (ETFs) are launched for investment. While smart beta is purported to deliver excess returns through factor exposures, the market-adjusted return of smart beta indexes drops from about 3% “on paper” before ETF listings to about −0.50% to −1% after ETF listings. This performance decline cannot be explained by variation in factor premia, strategic timing, or diminishing returns to scale. Instead, we find strong evidence of data mining in the construction of smart beta indexes, which helps ETFs attract flows, as investors respond positively to backtests.

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来源期刊

Journal of Financial and Quantitative Analysis Multiple-

CiteScore

6.60

自引率

5.10%

发文量

131

期刊介绍： The Journal of Financial and Quantitative Analysis (JFQA) publishes theoretical and empirical research in financial economics. Topics include corporate finance, investments, capital and security markets, and quantitative methods of particular relevance to financial researchers. With a circulation of 3000 libraries, firms, and individuals in 70 nations, the JFQA serves an international community of sophisticated finance scholars—academics and practitioners alike. The JFQA prints less than 10% of the more than 600 unsolicited manuscripts submitted annually. An intensive blind review process and exacting editorial standards contribute to the JFQA’s reputation as a top finance journal.