20181206【充实计划】第912期

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maintain a tight financial control environment with respect to accounting controls and process. Incorporate a strategic approach to IT architecture to ensure data integrity, consistency and process controls while reducing reliance on human, manual processes—a source of risk and errors;
        ensure a robust budgeting and capital allocation process built on a strong financial planning & analysis team that is well integrated into the business. Push data transparency to business leaders. They are best positioned to make difficult trade-offs in the budgeting process, but often lack data granularity to make those choices and to see the imperative;
        culture matters: a culture of honest, frank debate that challenges the status quo and avoids homogeneity of thoughts makes the job more fun and leads to better results. A broad range of experience, and even some battle scars ensures the organization recognizes patterns to foresee emerging risks. In that regard, a diverse team with respect to gender, race, and socioeconomic background brings differentiated perspectives, contributing to effective risk management.
        Make tough calls early and ideally, once. Lead.
        CFO is now also the firm’s most senior global manager for guardianship and risk management. Guardianship includes accounting ( the controller function) and overseeing a comprehensive approach to IT systems. Risk management requires identifying sources of vulnerability, stress testing and planning against them. The CFO has become a trusted adviser to the CEO, board and business leaders, which includes budgeting, capital allocation, and sensitivity analysis.
        Three takeways from financial crisis relevant in both good and bad markets as well as across industries:
        Understand your greatest sources of vulnerability and defend against them. For financial services, liquidity access to cash was a weak point. Liquidity is oxygen for a financial system and without it, you choke. Without sufficient liquidity, banks were forced into a negative cycle of selling assets to raise cash.
        Build a robust control infrastructure ahead of needs, including financial and risk management controls, systems, and processes.
        Recognize that time is your enemy.  The glaring examples, in retrospect, were the clear signs of crisis in August 2007 and the March 2008 collapse of Bear Stearns, but reactions were slow and nonexistent. Even in good times, business leaders must focus on resource optimization to maximize the potential for highest returns on investment.

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挑战第二百七十五天   读25页书，完成当日目标

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今天学习和阅读约5小时，累计阅读约1365小时。
学习和投资心得：
ETF基金投资策略：Smart beta ETF的发展时间并不长，2002年美国发行了首批smartbeta ETF，2012年后获得了比较大的发展，目前全球9000只左右基金，总规模8000亿美元。Smart beta之所以会受到投资者追捧是因为它通过被动投资的方式投资产生超额收益的因子，能够满足投资者降低风险、增强收益等目标。而且smart beta策略的费用也比较低。只要因子收益的有效性长期存在，smart beta ETF就会有相应的发展空间。目前中证500的估值已经跌至历史低位，市场风险已经被大大释放。资金面机构投资者在大举加仓，跟踪中证500的基金规模获得了比较大的增长，也反映了大机构对于未来的预期。中证500的配置比例因人而异，因为历史的波动率要高于300等大盘股指数，风险相对较高。但是通过低波动选股策略，可以将中证500的波动风险大为降低，从而获得超越中证500指数的收益表现。中证500低波ETF对标的是中证500指数，该指数是中盘股的代表指数，兼具了价值性和成长性。而创业板50指数是优选了创业板100里面的蓝筹股，代表了具备一定基础的创新成长公司的整体表现。两个指数各有优势，都是比较好的配置标的。第一，该基金所跟踪的策略指数是中证500行业中性低波动指数，该指数选取了低波动因子作为选股和编制指数权重的标准。低波动因子是在国际上被验证过的长期有效的因子，具有穿越牛熊的表现。因为国内市场高波动的特点，低波动因子在国内的表现更为突出。第二，该基金是国内首只对标中证500的低波动策略的ETF。ETF本身具备费率低，运作透明，风险分散，交易灵活等特点。第三，该指数做到了行业中性，即行业权重与中证500一样，防止了因低波因子选股带来的行业偏离的风险。该基金上市后会有做市商参与做市提供流动性。没有固定分红方案。当指数收益超出业绩基准1%以上时可以进行分红。中证500低波ETF基金的管理费是0.5%。相对于其他500低波动的特点是该指数的行业权重与中证500指数行业权重一致，做到了行业中性。这样做的好处是防止单纯的用低波动因子选股造成的行业权重偏离的风险。行业中性也是指数增强基金通常会采用的策略。策略长期（一年及以上）都是有效的，短期内有时候策略的收益表现的没那么明显，但是也不能说策略是失效的。因为短期内市场的干扰因素比较多，不宜作为一个评判策略是否有效的标准。回测了指数1年数据，月胜率、信息比率、年化超额收益率分别为：58.33%、0.98、4.53%；回测了指数3年数据，月胜率、信息比率、年化超额收益率分别为：58.33%、0.8、3.1%；回测了指数5年数据，月胜率、信息比率、年化超额收益率分别为：61.67%、1.37、7.76%；回测了指数10年数据，月胜率、信息比率、年化超额收益率分别为：60%、2.05、11.26%。短期市场的波动有很多干扰因素，因此对smart beta因子的收益能力的考察不能太短期。如果稍微放长一点时间，譬如一年，在过去13年里，行业中性低波因子只有1年没有战胜中证500指数，年度胜率达到了92.3%。中证500行业中性低波动指数就是在中证500指数的各行业里面选取波动率最小的股票。波动是衡量股票风险的重要指标，因此低波动股票的风险相对于高波动股票更低。低波动因子长期具有超额收益，也是量化投资基金经常使用的策略，我们把低波动因子做成了指数基金，通过指数化投资的方式获取因子收益。

充实每一天 发表于 2018-12-6 06:01
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