什么是smart beta?

Smart beta,或smart-beta,是近年来美国金融投资领域一个较为热门的概念,常见于描述投资组合或基金的构建策略。Research Affiliates是应用Smart beta方法的先行者,其对smart beta的定义如下:

Smart beta strategies are designed to add value by systematically selecting, weighting, and rebalancing portfolio holdings on the basis of factors or characteristics other than market capitalization.

Smart beta is a rules-based portfolio construction process. Traditional index-linked strategies rely on price to decide which stocks to invest in and how much of each to hold… Smart beta strategies seek to exploit these market inefficiencies by anchoring on factors other than price. (Its) strategies break the link between price and portfolio weight in an effort to deliver better-than-market returns.

(来源:见参考链接(1)

以上内容的意思大体是说,常规的指数跟踪型投资组合或基金往往根据股票的价格(或市值,market capitalization)高低来确定其在投资组合中的权重,而smart beta则刻意避开这种做法,试图通过一些其他指标来确定组合中的股票所占权重,以求获取超越市场平均水平的收益。

Smart beta,中文里可以翻译为:聪明贝塔。

其常采用的指标包括:book value(账面价值), dividends(分红), sales(营收), cash flow(现金流),momentum(动能/趋势),volatility(流动性)等。

目前美国投资市场上被冠以smart beta名号的基金多达数百只,一些有代表性的知名smart beta基金包括:Vanguard Growth ETF,iShares Russell 1000 Growth ETF,JPMorgan Diversified Return Global Equity等。

参考链接:

(1) https://www.researchaffiliates.com/en_us/insights/smart-beta.html

(2) http://lexicon.ft.com/Term?term=smart-beta

(3) http://money.cnn.com/2014/06/19/investing/smart-beta-explained/index.html