摘要
另类指数化投资是近年兴起的现代投资组合管理技术。本文在投资组合优化分析框架下解析另类加权指数,最后以风险加权指数和平均加权指数为例,测算其风险收益表现和因子偏离特征。实证分析表明另类加权指数均在未承担更多市场风险的前提下,获得了超越传统资本加权指数的收益率,尤其是风险加权指数在市场下行阶段具有较强抗跌性。另类指数化投资为机构投资者提供了更好的风险调整后收益,丰富了现代组合管理的应用实践。
Alternative equity index strategies developed quickly in recent years. This paper embedded the alternative index solution into the mean-variance framework, and selected the risk weighted index and simple average weighted index as examples to calculate the portfolio risk return features and factor exposures. Our empirical study showed that the alternative indices have achieved the excess return relative to the traditional Market Cap-weighted index without taking more risk. Especially, the risk-weighted index showed a relative strong resilience in the market downturn. The alternative index investment provides a better risk-adjusted return for institutional investors, which enrich the application of modem portfolio management.
出处
《投资研究》
北大核心
2014年第8期156-160,共5页
Review of Investment Studies
关键词
现代组合管理
另类指数
风险加权
量化投资
Modern Portfolio Management
Alternative Index
Risk Weighted
Quantitative Investment
