The Design Of Private Equity Investment Fund Based On Smart Beta Strategy

In recent years,many quantitative investment strategy funds have outstanding performance,quantitative investment strategy has become a hot topic in the capital market.Smart Beta strategy has attracted the attention of many investors because it combines the advantages of active investment and passive investment.The funds based on Smart Beta strategy have performed very well and have a large amount of capital inflows.According to ETF provider INVESCO Power shares,from 2010 to 2015,Smart Beta ETFs took in more than 21% of U.S.equity ETF inflows,representing 12% of total ETF industry assets.According to Morningstar,smart beta assets under management in 2008 amounted to approximately $108 billion.As of 2015 that figure had grown to approximately $616 billion.This article designed a private equity investment fund based on Smart Beta strategy.In order to achieve a higher return while ensuring certain risks,I made improvements to the style factor screening and component stock re-arrangement of the strategy.This will enable the strategy can perform better than the CSI 300.In the process of designing the fund,this article mainly uses the style factor screening and weighting optimization strategy of the Smart Beta concept.By comparing different style factors and weighting optimization strategies,the value factor strategy is selected as the stock selection strategy,and the equal weighting arrangement strategy is used as the weighting optimization strategy.In the selection of the value factor,the historical data was back-tested through the control variable method on the 20-day volatility,the 60-day volatility,the 120-day volatility,and the 250-day volatility,and the back-test results were compared.The 60-day volatility is used as a ranking indicator to strengthen the value factor strategy.When selecting the weight optimization method,this paper theoretically elaborates on different weight optimization strategies,and uses the historical data from 2006 to 2016 to conduct back-testing and comparison.Taking into account the risk control and maximizing the benefits,I finally selected the equal weighting strategy as the weight optimization strategy for this fund.In the analysis of the strategy,this article uses the CSI 300 as a benchmark.Identifying the main factors that contributed to the fund's overall revenue,I analyzed the benefits of this product in terms of industry,market value,valuation,growth,profitability,momentum,andvolatility.Then,I use the three indicators of maximum drawdown rate,return volatility and Beta to analysis the Fund's ability to withstand risks.I analyze the advantages and innovations of the fund relative to other products by comparing the three revenue indicators of cumulative income,Sharpe ratio and information ratio with other Smart Beta strategy products and similar private equity investment fund products.Through the analysis of the design and back test of Smart Beta strategy private equity investment fund product,this article provides a new idea for fund product design,and also provides investment reference for investors to configure their own assets.