论文部分内容阅读
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 index investment is the rise of modern portfolio management techniques in recent years. In this paper, we analyze the alternative weighting index under the framework of portfolio optimization analysis. Finally, take the risk weighted index and the average weighted index as an example to measure the risk-return performance and factor deviation characteristics. Empirical analysis shows that the alternative weighting indexes all obtain yields exceeding the traditional capital weighted index under the premise of not taking more market risk. In particular, the risk-weighted index has strong defensiveness during the downward phase of the market. Alternative index investment provides better risk-adjusted returns to institutional investors and enriches the application of modern portfolio management.