{"id":144149,"date":"2021-05-31T11:49:43","date_gmt":"2021-05-31T03:49:43","guid":{"rendered":"https:\/\/www.fbe.hku.hk\/?post_type=media&#038;p=144149"},"modified":"2021-05-31T12:03:59","modified_gmt":"2021-05-31T04:03:59","slug":"%e6%89%93%e7%a0%b4%e5%82%b3%e7%b5%b1etf%e7%9a%84%e8%bf%b7%e6%80%9d-%ef%bc%8d-%e4%ba%86%e8%a7%a3%e6%b2%bd%e7%a9%baetf%e5%a6%82%e4%bd%95%e6%9c%89%e5%88%a9%e6%96%bc%e8%82%a1%e7%a5%a8%e5%b8%82%e5%a0%b4","status":"publish","type":"hkubs-media","link":"https:\/\/www.hkubs.hku.hk\/tc\/media\/school-news\/%e6%89%93%e7%a0%b4%e5%82%b3%e7%b5%b1etf%e7%9a%84%e8%bf%b7%e6%80%9d-%ef%bc%8d-%e4%ba%86%e8%a7%a3%e6%b2%bd%e7%a9%baetf%e5%a6%82%e4%bd%95%e6%9c%89%e5%88%a9%e6%96%bc%e8%82%a1%e7%a5%a8%e5%b8%82%e5%a0%b4\/","title":{"rendered":"\u6253\u7834\u50b3\u7d71ETF\u7684\u8ff7\u601d \uff0d \u4e86\u89e3\u6cbd\u7a7aETF\u5982\u4f55\u6709\u5229\u65bc\u80a1\u7968\u5e02\u5834"},"content":{"rendered":"<p>\u4ea4\u6613\u6240\u8cb7\u8ce3\u57fa\u91d1\uff08ETF\uff09\u6d41\u52d5\u6027\u9ad8\u800c\u4e14\u50f9\u683c\u76f8\u5c0d\u89aa\u6c11\uff0c\u88ab\u8996\u70ba\u4e92\u60e0\u57fa\u91d1\u4ee5\u5916\u7684\u53e6\u4e00\u9078\u64c7\u3002\u57282020\u5e74\uff0c\u74b0\u7403\u5e02\u5834\u4e0a\u6709\u8d85\u904e7,000\u7a2eETF\u7522\u54c1\uff0c\u7e3d\u503c\u9054 7.74 \u5146\u7f8e\u91d1\uff0c\u9060\u591a\u65bc2010\u5e74\u6642\u76841.3\u5146\u7f8e\u91d1\u3002ETF\u7522\u54c1\u5728\u5341\u5e74\u9593\u7684\u986f\u8457\u589e\u9577\uff0c\u53cd\u6620\u9019\u7a2e\u6307\u6578\u57fa\u91d1\u7684\u5de8\u5927\u767c\u5c55\u6f5b\u529b\u3002\u96d6\u7136\u6709\u8072\u97f3\u6279\u8a55\u50b3\u7d71\u7684ETF\u904e\u65bc\u88ab\u52d5\uff0c\u672a\u80fd\u6709\u6548\u53cd\u61c9\u5e02\u5834\u8a0a\u606f\uff0c\u7136\u800c\u6e2f\u5927\u7d93\u7ba1\u5b78\u9662\u91d1\u878d\u5b78\u526f\u6559\u6388\u9ec3\u8a69\u694a\u535a\u58eb\u53ca\u5176\u7814\u7a76\u5718\u968a\u537b\u767c\u73fe\uff0c\u884c\u696dETF\u5728\u7f8e\u570b\u5e02\u5834\u4e2d\u80fd\u6709\u6548\u898f\u907f\u98a8\u96aa\uff0c\u4e26\u80fd\u63d0\u5347\u5e02\u5834\u6548\u7387\u3002\u5176\u7814\u7a76\u66f4\u8b49\u5be6\u884c\u696dETF\u662f\u4e00\u7a2e\u5c0d\u6295\u8cc7\u8005\u548c\u5e02\u5834\u6709\u5229\u7684\u512a\u8cea\u91d1\u878d\u79d1\u6280\u5275\u65b0\u6280\u8853\uff0c\u56e0\u6b64\u5efa\u8b70\u76e3\u7ba1\u6a5f\u69cb\u61c9\u9f13\u52f5\u76f8\u95dc\u7522\u54c1\u7684\u767c\u5c55\u3002<\/p>\n<p><strong>\u4ee5\u300c\u9577\u77ed\u5009\u7b56\u7565\uff08<\/strong><strong>Long Short Strategy<\/strong><strong>\uff09\u300d\u63d0\u5347\u5e02\u5834\u6548\u7387<br \/>\n<\/strong>\u4ee5ETF\u4f5c\u70ba\u907f\u96aa\u5de5\u5177\u975e\u5e38\u666e\u904d\u3002\u64da\u5f6d\u535a\u65b0\u805e\u57282017\u5e74\u7684\u5831\u5c0e\uff0c\u5c0d\u6c96\u57fa\u91d1\u6301\u6709\u7684ETF\u77ed\u5009\u9ad8\u90541030\u5104\u7f8e\u91d1\uff0c\u76f8\u6bd4\u8d77\u4ed6\u5011\u6301\u6709\u768443\u5104\u7f8e\u91d1\u9577\u5009\uff0c\u76f8\u5dee\u8fd1\u5169\u500d\u4e4b\u591a\u3002\u4e00\u822c\u800c\u8a00\uff0c\u5e02\u5834\u4e0a\u7684\u6cbd\u7a7a\u9918\u984d\uff08\u5373\u88ab\u6cbd\u7a7a\u4f46\u672a\u88ab\u56de\u8cfc\u7684\u8b49\u5238\uff09\u8d8a\u9ad8\uff0c\u718a\u5e02\u6c23\u6c1b\u8d8a\u5f37\u3002\u4f46\u9ec3\u535a\u58eb\u767c\u73fe\uff0c\u64c1\u6709\u66f4\u591a\u6d88\u606f\u7684\u6295\u8cc7\u8005\u5f80\u5f80\u6703\u63a1\u53d6\u4e00\u7a2e \u300c\u9577\u6301\u80a1\u7968\uff0c\u6cbd\u7a7aETF\u300d\u7684\u300c<strong>\u9577\u77ed\u5009\u7b56\u7565<\/strong>\u300d\uff0c\u904b\u7528\u4f01\u696d\u6d88\u606f\u8cfa\u53d6\u5229\u76ca\uff0c\u540c\u6642\u5c0d\u6c96\u884c\u696d\u98a8\u96aa\u3002<\/p>\n<p>\u9ec3\u535a\u58eb\u89e3\u91cb\uff0c\u5373\u4f7f\u6295\u8cc7\u8005\u5728\u696d\u7e3e\u516c\u4f48\u524d\u5df2\u5f97\u6089\u80a1\u7968\u5373\u5c07\u7372\u5229\uff0c\u4f46\u80a1\u50f9\u7684\u5347\u5e45\uff0c\u5f80\u5f80\u4ecd\u6703\u53d7\u5230\u884c\u696d\u6574\u9ad4\u8868\u73fe\u548c\u5b8f\u89c0\u5e02\u5834\u6c23\u6c1b\u7b49\u5916\u570d\u98a8\u96aa\u5f71\u97ff\u3002\u70ba\u6709\u6548\u5730\u5c0d\u6c96\u98a8\u96aa\uff0c\u5c0d\u6c96\u57fa\u91d1\u6703\u9078\u64c7\u9577\u6301\u4ed6\u5011\u64c1\u6709\u5229\u597d\u6d88\u606f\u7684\u80a1\u7968\uff0c\u4e26\u6cbd\u7a7a\u8a72\u80a1\u7968\u6240\u5c6c\u7684\u884c\u696dETF\u3002\u9ec3\u535a\u58eb\u548c\u4ed6\u7684\u7814\u7a76\u5718\u968a\u767c\u73fe\uff0c\u9019\u7a2e\u300c\u9577\u6301\u80a1\u7968\uff0c\u6cbd\u7a7aETF\u300d\u7684\u7b56\u7565\u80fd\u5e6b\u52a9\u5e02\u5834\u5438\u6536\u76f8\u95dc\u8a0a\u606f\uff0c\u4e26\u6709\u6548\u6e1b\u4f4e\u76c8\u9918\u516c\u544a\u5f8c\u7684\u80a1\u50f9\u6ce2\u52d5\uff0c\u4ee4\u516c\u53f8\u7684\u771f\u5be6\u50f9\u503c\u80fd\u5be6\u6642\u53cd\u6620\u5728\u80a1\u50f9\u4e0a\u3002\u56e0\u6b64\uff0c\u5f15\u5165\u76f8\u95dc\u7684\u884c\u696dETF\u80fd\u6709\u6548\u7a69\u5b9a\u4f01\u696d\u7684\u80a1\u50f9\u3002<\/p>\n<p><strong>Smart Beta ETF <\/strong><strong>\u80fd\u5426\u70ba\u6295\u8cc7\u8005\u5275\u9020\u50f9\u503c\uff1f<br \/>\n<\/strong>\u5728\u773e\u591aETF\u7522\u54c1\u4e4b\u4e2d\uff0c\u5efa\u57fa\u65bc\u8cc7\u7522\u50f9\u683c\u6578\u64da\u7684Smart Beta ETF\u6700\u53d7\u5e02\u5834\u8ffd\u6367\u3002Smart Beta ETF\u7531\u4e0d\u540c\u7d44\u5408\u7684\u80a1\u7968<strong>\u50f9\u503c<\/strong>\u4e36<strong>\u589e\u9577\u503c<\/strong>\u4e36<strong>\u6578\u91cf<\/strong>\u4e36\u6216<strong>\u5e02\u5834\u8da8\u52e2<\/strong>\u7b49\u56e0\u5b50\u69cb\u6210\u3002\u622a\u81f32018\u5e74\uff0cSmart Beta ETF\u7522\u54c1\u4f54\u7f8e\u570bETF\u5e02\u5834\u7e3d\u9ad4\u768420%\u3002\u64da\u8c9d\u840a\u5fb7(Blackrock)\u7684\u9810\u6e2c\uff0cSmart-Beta ETF \u7684\u5e02\u5834\u7e3d\u503c\u5c07\u65bc2025\u5e74\u589e\u9577\u81f32\u5146\u7f8e\u91d1\u3002<\/p>\n<p>\u4f46\u540c\u6642\uff0c\u9ec3\u535a\u58eb\u7814\u7a76\u537b\u6307\u51faSmart-Beta ETF\u96d6\u5728\u56de\u6eaf\u6e2c\u8a66 (Backtest) \u4e2d\u5f97\u5230\u7406\u60f3\u7d50\u679c\uff0c\u5728\u6b63\u5f0f\u63a8\u51fa\u5e02\u5834\u5f8c\u8868\u73fe\u537b\u5f80\u5f80\u4e0d\u4f3c\u9810\u671f\u3002\u5728\u7814\u7a76238\u7a2e\u65bc2000\uff0d2018\u5e74\u9593\u5728\u7f8e\u570b\u4e0a\u5e02\u7684Smart-Beta ETF\u5f8c\uff0c\u9ec3\u535a\u58eb\u767c\u73feSmart-Beta ETF\u7684\u8868\u73fe\u843d\u5dee\u4e26\u975e\u7531\u300c\u5e02\u5834\u6548\u7387\u4e0a\u5347 \u300d\u4e36\u300c\u4e0a\u5e02\u6642\u6a5f\u5931\u8aa4\u300d\u4e36\u6216\u300c\u898f\u6a21\u6536\u76ca\u905e\u6e1b\u73fe\u8c61\u300d\u7b49\u56e0\u7d20\u5c0e\u81f4\u3002\u76f8\u53cd\uff0cSmart-Beta ETF\u7684\u8868\u73fe\u6b20\u4f73\u662f\u7531\u65bc\u5728\u56de\u6eaf\u6e2c\u8a66\u7684\u6578\u64da\u6316\u6398 (Data mining)\u904e\u7a0b\u4e2d\u53d7\u4eba\u70ba\u64cd\u4f5c\u5f71\u97ff\u6240\u81f4\u3002\u6578\u64da\u6316\u6398\u7684\u60c5\u6cc1\u5728\u8ffd\u8e64\u591a\u56e0\u5b50\u6307\u6578\u7684Smart-Beta ETF\u4e2d\u7279\u5225\u56b4\u91cd\uff0c\u4e3b\u8981\u662f\u56e0\u70baETF\u4fdd\u85a6\u4eba\u5728\u9078\u64c7\u53ca\u7d44\u6210Smart-Beta ETF\u8ffd\u8e64\u56e0\u5b50\u7684\u904e\u7a0b\u4e2d\u64c1\u6709\u5f88\u5927\u7684\u81ea\u4e3b\u6b0a\u3002\u7814\u7a76\u767c\u73fe\uff0c\u8ffd\u8e64\u591a\u56e0\u5b50\u6307\u6578\u7684Smart-Beta ETF\u5728\u4e0a\u5e02\u524d\u8072\u7a31\u80fd\u5e36\u4f86\u5e74\u5747 4.11% \u7684\u56de\u5831\u3002\u4f46\u4e0a\u5e02\u5f8c\uff0c\u4ed6\u5011\u537b\u9700\u627f\u53d7\u5e74\u57470.79%\u640d\u5931\u3002\u4ea6\u6709\u8072\u97f3\u6307\u51fa\uff0cSmart-Beta ETF\u7684\u8868\u73fe\u4e0d\u7406\u60f3\u662f\u56e0\u70ba\u7ba1\u7406\u8cbb\u7528\u904e\u9ad8\uff0c\u4f46\u7814\u7a76\u767c\u73fe\u5373\u4f7f\u53bb\u9664\u7ba1\u7406\u8cbb\u7684\u56e0\u7d20\uff0cSmart-Beta ETF\u7684\u5e02\u5834\u8868\u73fe\u4f9d\u7136\u6bd4\u4e0d\u4e0a\u50b3\u7d71\u7684\u6307\u6578\u578bETF\u3002<\/p>\n<p>\u96d6\u7136\u7814\u7a76\u986f\u793aSmart-Beta ETF\u4e0a\u5e02\u524d\u5f8c\u7684\u8868\u73fe\u6709\u660e\u986f\u5dee\u8ddd\uff0c\u4f46\u9ec3\u535a\u58eb\u6307\u51fa\uff0c\u5728\u7279\u6b8a\u7684\u60c5\u6cc1\u4e0b\uff0cSmart-Beta ETF\u7684\u8868\u73fe\u4f9d\u7136\u6709\u6a5f\u6703\u8d85\u8d8a\u50b3\u7d71ETF\u3002\u4f8b\u5982\u5728\u73fe\u6642\u7684\u300c\u96f6\u606f\u300d\u74b0\u5883\u4e0b\uff0c\u8ffd\u8e64\u9ad8\u80a1\u606f\u7684Smart-Beta ETF\u4ecd\u6709\u53ef\u80fd\u300c\u8dd1\u8d0f\u5927\u5e02\u300d\u3002\u56e0\u6b64\uff0c\u4ed6\u5efa\u8b70\u6295\u8cc7\u8005\u61c9\u5728\u8cfc\u8cb7\u6b64\u985e\u65b0\u578b\u6295\u8cc7\u7522\u54c1\u524d\u8b39\u614e\u8003\u616e\uff0c\u5207\u5fcc\u76f2\u76ee\u76f8\u4fe1Smart-Beta ETF\u500b\u5225\u56e0\u5b50\u6240\u53cd\u6620\u7684\u8868\u9762\u6578\u64da\u3002<\/p>\n<p>\u95b1\u8b80\u66f4\u591a\uff08\u53ea\u63d0\u4f9b\u82f1\u6587\u7248\u672c\uff09<br \/>\n<span><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3126970\">Innovation and Informed Trading: Evidence from Industry ETFs<\/a><br \/>\n<\/span><span><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3622753\">The Smart Beta Mirage<\/a><\/span><\/p>\n","protected":false},"featured_media":0,"template":"","meta":{"_lmt_disableupdate":"no","_lmt_disable":"","footnotes":""},"class_list":["post-144149","hkubs-media","type-hkubs-media","status-publish","hentry","media-categories-school-news-tc","media-topic-categories-research-tc"],"aioseo_notices":[],"_links":{"self":[{"href":"https:\/\/www.hkubs.hku.hk\/tc\/wp-json\/wp\/v2\/hkubs-media\/144149","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.hkubs.hku.hk\/tc\/wp-json\/wp\/v2\/hkubs-media"}],"about":[{"href":"https:\/\/www.hkubs.hku.hk\/tc\/wp-json\/wp\/v2\/types\/hkubs-media"}],"version-history":[{"count":2,"href":"https:\/\/www.hkubs.hku.hk\/tc\/wp-json\/wp\/v2\/hkubs-media\/144149\/revisions"}],"predecessor-version":[{"id":144153,"href":"https:\/\/www.hkubs.hku.hk\/tc\/wp-json\/wp\/v2\/hkubs-media\/144149\/revisions\/144153"}],"wp:attachment":[{"href":"https:\/\/www.hkubs.hku.hk\/tc\/wp-json\/wp\/v2\/media?parent=144149"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}