智能贝塔指数的要素投资

Q4 Economics, Econometrics and Finance
David Blitz
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引用次数: 9

摘要

众所周知,智能贝塔指数的附加值可以通过对既定要素溢价的敞口来解释,但这是否意味着这些指数适合实施要素投资策略呢?本文发现,流行的智能beta策略所提供的因素暴露量差异很大,它们对单个目标因素的关注程度也是如此。它还提供了“质量”和“高股息”指数与学术因素之间的关系。智能贝塔指数的表现与所提供的要素暴露量一致,但它们似乎没有释放要素溢价提供的全部潜力。总之,这些结果表明,使用智能贝塔指数进行因子投资并不像人们想象的那么简单。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Factor Investing with Smart Beta Indices
The added value of smart beta indexes is known to be explained by exposures to established factor premiums, but does that make these indexes suitable for implementing a factor investing strategy? This article finds that the amount of factor exposure provided by popular smart beta strategies differs considerably, as does their degree of focus on a single target factor. It also provides insight into how “quality” and “high dividend” indexes relate to academic factors. Smart beta indexes exhibit a performance that is in line with the amount of factor exposure provided, but it seems that they do not unlock the full potential offered by factor premiums. Altogether, these results imply that factor investing with smart beta indexes is not as straightforward as one might think.
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来源期刊
Journal of Index Investing
Journal of Index Investing Economics, Econometrics and Finance-Finance
CiteScore
0.70
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