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[财经时事] Fund: The rise of smart beta 基金管理smart-beta崛起 [推广有奖]

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caoc1983 发表于 2013-7-11 15:50:54 |显示全部楼层
[2013.07.06] Fund: The rise of smart beta 基金管理smart-beta崛起
http://ecolion.cn/thread-193444-1-1.html
(出处: ECO中文网)
Fund management
基金管理
The rise of smart beta
Smart beta的流行

Terrible name, interesting trend
糟糕的名称,有趣的趋势

Jul 6th 2013 |From the print edition


The competition
竞争

  1 INVESTORS face a quandary. Cash offers a return of virtually zero in many developed countries; government-bond yields may have risen in recent weeks but they are still unattractive. Equities have suffered two big bear markets since 2000 and are wobbling again. It is hardly surprising that pension funds, insurers and endowments are searching for new sources of return.

投资者面临着困境。在大多数发达国家,现金仅能提供接近于零的收益;最近几周ZF债券收益率虽然已经上涨,但仍不具备吸引力;自2000年以后,股票已经经历了两轮大熊市,而现在又开始有走软迹象。养老基金,保险公司以及捐献基金寻找新的回报来源就没什么奇怪的了。

  2 Step forward “smart beta”, the latest bit of jargon from the fund-management industry. “Alpha” is the skill required to choose individual assets that will outperform the market; “beta” is the return achieved from exposure to the overall market, for example via an index fund. “Smart beta” is an approach that tries to enhance the return from tracking an asset class by deviating from the traditional “cap-weighted” approach, in which investors simply buy shares or bonds in proportion to their market value.

“smart-beta”正是最新的基金管理业的术语。“Alpha”是选择单个标的资产超越大盘的技能。“beta”则是资产组合相对于整体市场(如以某个指数基金为代表)的相对收益。传统的“市值加权”法,是投资者按市值等比例购买股票或者债券的方法,而“smart beta”则是尝试在跟踪某一大类资产的同时,调整成份证券权重,以获取增强性收益的投资方法。

  3 The sector is still small: there is just $142 billion in smart-beta funds, compared with more than $2 trillion stashed in hedge funds. But the concept is catching on. According to State Street Global Advisors, smart-beta funds received inflows of $15 billion in the first quarter of 2013, up by 45% on the same period a year earlier.

与超过2万亿规模的对冲基金相比,smart-beta型基金规模仍然不大,目前仅1420亿美元。但其理念正在逐渐升温。据State Street Global Advisors统计,smart-beta型基金在2013年第一季度录得了150亿美金的资金流入,与去年同期相比上升了45%。

  4 Such enthusiasm is another sign that the quants are taking over. Traditional fund managers were able to charge a fee for their alleged skill and judgment. The quants are showing that when such managers did outperform, the excess return was driven by factors that can be identified and commoditised. Fees for smart-beta funds tend to be higher than those charged by cap-weighted index funds but far lower than those charged by other managers.

这样的热度同时也是量化投资兴起的标志。传统的基金管理人通过他们所谓的选股技能与择时能力收取管理费。而量化投资研究表明当这些基金管理人表现优异时,超额收益的驱动因子是可以被分离出来并且大规模复制的。Smart-beta基金的管理费高于那些市值加权的指数型基金,但远低于其它类型的基金管理人收取的费用。

  5 There is a variety of smart-beta approaches. The simplest is to give each market constituent equal weight. If there are 100 stocks, then each would have a weighting of 1%. A second approach, dubbed “fundamental indexing”, is to weight each company by its financial characteristics—sales, dividends, assets or cashflow. A third is to weight the index in terms of the volatility of the stocks, with the least volatile being favoured. A fourth is to use the “momentum effect” to buy stocks that have recently risen in price. That’s just for starters.

Smart-beta的投资策略有很多。最简单的就是给予每个市场成分股相等的权重。假如一共有100个股票,那么每只股票的权重均为1%。第二种被称为“基本面指标”,根据每个公司的财务指标,如销售额、分红、总资产或者现金流,来赋予权重。第三类则是根据每个股票的波动率来赋予权重,波动性越小越受推崇。第四类根据“动量效应”原理,追买近期上涨的股票。类似的策略还有许多。

  6 A two-part study by academics at the Cass Business School found that all these alternative indices beat a cap-weighted index over the long run, and had a better risk-adjusted return. The study also found that a system that randomly chose constituent weights for stocks, like chimpanzees throwing darts at share-price listings, beat the market. As Jason Hsu of Research Affiliates, a firm that has pioneered fundamental indexing, says, these findings suggest big flaws in the cap-weighted approach.

卡斯商学院进行的一项学术研究发现,从长期来看,以上所有的替代指数都跑赢了市值加权指数,并且拥有更好的风险调整收益。该研究同样发现,像黑猩猩掷飞镖选择股票一样,一个随机选择成分股权重的系统,同样也战胜了市场。Research Affiliates(一家最先倡导基本面指数化的公司)的Jason Hsu声称,这些发现说明市值加权法有很大的缺陷。

Cap analysis
市值分析

  7 When a company’s share price rises faster than the rest of the market, this means that it has a bigger weight in a traditional index. When its share price falls, its weight reduces. A strategy that attempts to match the cap-weighted index is thus buying high and selling low; put another way, it has a big exposure to the most expensive stocks. That makes it easier for alternative indices to outperform over the long run.

当一家公司的股价快速飙升,超过了市场中其它公司时,这意味着它将在传统指数中占有更大的权重。当股价下跌时,其权重减少。跟踪市值加权指数的策略需要不断买入高价股,卖出低价股。换句话说,这种策略有较高的高价股票风险敞口。从长期来看,这使其他替代指数较容易超越市值加权指数

  8 The low-volatility approach exploits a similar anomaly. In theory, the riskier the asset, the higher the potential return for investors. In practice, however, low-volatility shares have performed much better than theory would suggest. According to Churchill Franklin of Acadian, a fund-management group, a dollar invested in the least volatile American shares (by quintile) in January 1968 was worth $59.55 by December 2008; in the most-volatile quintile, $1 fell to 58 cents.

低波动率策略利用了类似的反常特征。理论上,资产的风险越大,其潜在收益也将越高。但在真实市场,低波动率的股票表现远比理论中要好。Acadian(一家基金管理公司)的Churchill Franklin发现,若在1968年1月投资1美元在波动率最低的20%的美国股票,到2008年12月,将增值到59.55美元;单若投资在波动率最高的20%,这1美元将跌至58美分。

  9 This may reflect the fact that fund managers get rewarded for picking stocks that beat the market. So they opt for volatile stocks that appear to offer high returns, which makes less volatile stocks relatively cheap. Managers could just buy the less volatile stocks and lever up the return with borrowed money; regulations and client wishes usually prevent that.

这个结论反映出由于基金管理人可以通过选股战胜市场而获得丰厚的奖金,所以他们乐意选择波动性高的股票,这样的股票似乎能带来高回报。这样的操作使得那些低波动的股票更加便宜。基金管理人可以通过买入低波动率股票同时通过融资杠杆将其收益放大;但监管法规以及客户通常会阻止他们这么做。

10 Not everyone is convinced about the low-volatility approach. “Very few things are a free lunch,” says Glyn Jones of P-Solve, an investment consultancy. “If you push down on one risk, it pops up elsewhere.” A low-volatility strategy might result in a heavy exposure to utility stocks, and to the risk that governments will change the rules that govern their profits.

并不是每个人都相信低波动率策略。“天下没有免费的午餐” P-Solve(一家投资咨询机构)的Glyn Jones如是说,“如果你降低了某一方面的风险,但同时风险会在其它方面累积。”低波动率策略极有可能导致在公用事业类股票上较重的风险敞口(注:公用事业类股票分红率较高,增长率较低,是典型的低波动率股票),ZF一旦改变规则,导致其利润发生变化,将会给该策略带来不可控的风险。

11 This problem of “style bias” can make smart-beta investing riskier than it appears. The equal-weighting approach takes advantage of the fact that small stocks tend to outperform large ones. Fundamental indexing depends on the tendency of so-called “value” stocks to beat those favoured because of rapid profits growth. But the shares of smaller companies are often illiquid, and so it can be expensive for a fund manager to buy a big stake. The kind of stocks that fall into the value category may be risky: there is a reason they look cheap, after all.

“风格偏差”会使smart-beta类投资的风险比其表现出来的要大得多。等权重策略实际上是利用了小股票容易走赢大股票的现象。基本面指标则依赖于所谓“价值股”通过快速的利润增长走赢其他股票。但小公司的股票往往缺乏流动性,因此基金管理人想要重仓的成本是十分昂贵的。而当股票分类跌落至价值股范畴时也可能极具风险,毕竟,一只股票看上去便宜总归是有其背后的原因的。

12 Another problem is that rebalancing a smart-beta portfolio may involve transaction costs that are higher than for a cap-weighted index fund. The latter does not have to do anything to its portfolio as prices move; an equal-weighting fund, by contrast, has to readjust its holdings. These extra costs will weigh on performance.

另一个问题在于smart-beta组合的调仓成本大大高于市值加权的指数基金。当价格变动时,后者无需对其组合进行操作;与之相反,等权重基金则需要对其持仓进行重新调整。这些额外的开销将会对其业绩造成不利影响。

13 Smart-beta enthusiasts think these problems can be solved. To tackle style bias, EDHEC, a French business school, offers what it inevitably calls “smart beta 2.0”—over 2,000 indices that allow investors to, for example, diversify exposure to one industry. Mr Hsu says that fundamental indices need rebalancing once a year, meaning that only around 12% of the portfolio will get turned over. Conventional fund managers often turn over their entire portfolio in a year.

Smart-beta策略的拥趸认为这些问题都能够解决。为了克服风格偏差,一家法国商学院EDHEC,提出了其升级版本”smart beta 2.0”-超过2000个指标使投资者可以分散其对于某一行业的敞口。Hsu认为基本面指标仅需一年调整一次,这意味着组合中仅大约12%的仓位需要进行换仓。传统的基金管理人经常一年之内就将其整个组合进行了更替。

14 If enough money flows into these smart-beta products, then they will start to look more like cap-weighted indices that replicate the holdings of the average investor. As Mr Jones of P-Solve says: “There are things that individual pension schemes can do to beat the average scheme, but all of these ideas are tiny compared with the amount of capital seeking an extra return.” For now the industry is set to grow. If you are a pension trustee, get used to the jargon.

如果足够多的钱涌进这些smart-beta的产品,那么他们将会越来越类似于复制投资者们平均持仓的市值加权指数。正如P-Solve的Jones所言“个人养老金计划可以有很多策略来战胜平均方案,但所有这些策略在寻求额外收益的庞大资金量面前,都显得微不足道。”当然这个行当目前正处在增长之中,作为一名养老金管理人,你需要习惯这些术语。




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zanchess 发表于 2014-6-16 20:50:51 |显示全部楼层
http://www.sse.com.cn/market/sseindex/diclosure/c/c_20140616_3816553.shtml 远见卓识
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zsuphoenix 发表于 2014-10-31 02:44:25 |显示全部楼层
A股市场的smart beta策略最近表现非常好啊
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开心时刻001 发表于 2015-1-21 01:32:37 |显示全部楼层
谢谢提供
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娜娜酱2015 发表于 2015-12-24 16:27:19 |显示全部楼层
谢谢提供
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