20190315【充实计划】第1009期

「鞋王」百丽转型的600天

https://mp.weixin.qq.com/s/uVnm-vp-2gcfFxOzVks4Kg

今天学习和阅读约5小时，累计阅读约1875小时。
学习和投资心得：
投资之Smart β基金：
如果收益因子选取得当，从长期来看智慧β策略是能够跑赢传统β，甚至大部分α产品的。但有时也会因为实践经验不足、数据回测不到位，从而设计出失效的Smart β。在此主要介绍三款智慧β产品，这两款产品无论从设计原理上还是数据回测上都证明有效。
（一）基本面50、50AH优选。
传统的上证50指数是选取沪市市值最大、流动性最好的50只大盘蓝筹股，但它的弊端同沪深300一样，甚至更为明显。过去5年上证50年化收益率为9.77%，过去3年的年化收益率为6.07%。
不同于上证50的是，基本面50指数选取了营业收入、现金流、净资产和分红四个因子进行重组，而50AH优选则是根据A股和H股价格孰低原则购买便宜的股票，数据显示基本面50指数近5年的年化收益为16.67%，50AH优选近3年的年化收益为8.96%，都高于同期的上证50指数。
（二）标普A股红利机会指数
作为一再被推荐的优质红利指数，标普A股红利机会指数被誉为“最强指数”。这里谈下与Smart β的关系。
不同于传统的红利指数，红利机会指数不仅看重一只股票的分红，还看重分红是否优质和可持续。有些周期性的公司，在其行业顶部时往往慷慨分红，但其被纳入红利指数后，行业见顶衰退，股价大跌拖累整个指数。通过引入“质量因子”，红利机会指数能够有效规避类似的陷阱。跟踪该指数的有华宝标普中国A股红利机会指数（501029）。
国外共同基金业经历了好几十年的发展，呈现出一种显著的特征：指数投资占据了市场主流，并且指数越发地“智慧”化。随着中国证券市场走向成熟，各类ETF产品规模不断攀升，同时许多主动型产品却沦为“迷你基金”从而被清盘。
国外数据显示，大多数主动产品都跑输市场指数，却收取着高额管理费，其实在国内情况也是如此。而Smart β策略作为一种结合了两者优点的产品，无论在费率、设计、管理还是收益上都具有明显优势，完全可以说，智慧β的未来发展之路还很长，必能大有作为。

昨天阅读1个小时，累积阅读58个小时。

Modern bank regulation has two complementary parts: capital and liquidity requirements. The first states that, for a given quantity and riskiness of their assets and off-balance sheet exposures, a bank must have a minimum prescribed level of equity financing. By contrast, based on the structure of their liabilities, liquidity requirements specify the quantity of a bank’s assets that must be easily convertible into cash. That is, one part of the regulatory framework restricts liabilities given the structure of assets (capital requirements) and the other limits assets based on the composition of liabilities (liquidity requirements). (See, for example, Cecchetti and Kashyap.)

While the structure of capital regulation―especially in its risk-based form―is a creation of the last quarter of the 20th century, liquidity regulation is much older. In fact, the newly implemented liquidity coverage ratio (LCR) harks back to the system in place over 100 years ago. In the United States, before the advent of the Federal Reserve in 1914, both national and state-chartered banks were required to hold substantial liquid reserves to back their deposits (see Carlson). These are the reserve requirements (RR) that remain in effect in most jurisdictions today, the United States included.   

In this post, we briefly examine the long experience with RR as a way to gain insight regarding the LCR. We draw two conclusions. First, we argue strongly against using the LCR as a monetary policy tool in advanced economies with well-developed financial markets. Like RR, it is simply too blunt and unpredictable. Second, for the LCR to work as a prudential policy tool, it should probably be supplemented by something like a fee-based line of credit at the central bank.

充实每一天 发表于 2019-3-15 06:14
该主题为【学道会】活动，点击了解详情

【加入充实计划】【了解充实计划】

20190315 昨日阅读3小时，累计阅读155小时

昨日阅读1小时，累计阅读1238小时。

昨日阅读1小时，累积阅读343小时

昨日阅读1小时，累计阅读398小时

昨天阅读1小时，累计阅读99小时。

充实每一天 发表于 2019-3-15 06:14
该主题为【学道会】活动，点击了解详情

【加入充实计划】【了解充实计划】

昨日阅读1小时，累计阅读214小时。

今天阅读1小时，持续每天阅读累计154小时。