基于Smart Beta策略的PGP-MVS动态择时组合与绩效评价  

PGP-MVS Dynamic Timing Portfolios and Performance Evaluation Based on Smart Beta

作　　者：周静 ZHOU Jing(School of Accounting,Guangdong University of Finance,Guangzhou 510521,China)

机构地区：[1]广东金融学院会计学院,广东广州510521

出　　处：《运筹与管理》2024年第12期100-107,I0044-I0047,共12页Operations Research and Management Science

基　　金：广东省哲学社会科学规划项目(GD20CYJ16)。

摘　　要：基于投资者对特征为基础的投资产品需要,以及对组合收益高阶矩的偏好。首先,本文以沪深300成份股为样本,构造月度再平衡基本面加权、等权、分散最小方差、分散风险平价Smart Beta策略组合,发现样本外收益夏普比率都大于市值加权组合,样本外日收益在四因子模型下,获得正的阿尔法超额收益。其次,为了进一步探索多阶矩组合的时变性及收益路径,采用改进的常相关矩估计,构建基于多项式目标规划权衡的均值、协方差、协偏矩组合策略(PGP-MVS),获得显著正的阿尔法收益,阿尔法、贝塔随着矩偏好参数变动呈现不同的数量特征。PGP-MVS动态择时策略在突出投资者风格偏好的同时,抓住市场的时变性,获的收益路径。该策略组合走出传统的均值方差模型框架,体现了宏观经济环境的变化对组合收益的实际影响,有利于投资者进行风险管理。After the financial crisis in 2008,investors preferred investment products with high transparency,simple principles,low cost,strong personalization,and effective risk control.Therefore,Smart Beta strategies based on certain algorithms or rules emerge quickly and are widely accepted by the market.Relatively,the number of Smart Beta strategic ETF funds in China is small,the size is small,the establishment time is short,and the strategy is simple.Based on the current situation and investors’preference for skewness in income distribution,this article first establishes simulated ETF portfolios of four Smart Beta strategies:fundamental weighted portfolios(FW),equally weighted portfolios(EW),diversified minimum variance portfolios(DMV),and diversified risk parity portfolios(DRP).Based on these,a multiorder moments combination model is constructed,and then a polynomial goal programming model is used to select the optimal portfolios to explore the time-varying nature of different strategies.It reflects the actual impact of changes in the macroeconomic environment on portfolios returns,and is beneficial for investors to conduct risk management.Because this article extends the PGP method to Smart Beta portfolios,explores market timing styles for different Smart Beta portfolios,and obtains revenue paths through mechanisms conversion among mean,covariance and coskewness,it is defined as the PGP-MVS model.In data analysis section,first of all,this paper constructs simulated ETF portfolios of monthly rebalanced Smart Beta strategies using the CSI300 Index component stocks from May 2005 to June 2022 as samples,analyzes the factor exposure and out-of-sample performance of these four simulated ETF portfolios,compares them with the market capitalization weighted CSI300 Index,and finds that the SP ratios of the four Smart Beta strategic portfolios are superior to the market capitalization weighted portfolios(CW).Under the Fama-French-Charhart four-factor model,the out-of-sample returns obtain positive alpha excess returns,which ar

关 键 词：Smart Beta 多项式目标规划 高阶矩 收益路径 

分 类 号：F830.59[经济管理—金融学]