Research On Smart Beta Strategy Index Of China Market

In recent years,the traditional investment portfolio has been unable to meet people’s needs,and Smart beta strategy investment has attracted more and more attention.Smart beta strategy investment has the advantages of combining active investment and passive investment,which can obtain excess returns and perform well in domestic and foreign markets.Smart beta strategy has been mature in foreign market,but it is still in its infancy in domestic market.How Smart beta strategy performs in the Chinese market is worth studying.This paper introduces the construction method of Smart beta strategy and analyzes its operation in China.Based on the CSI 300 index,this paper analyzes the return,risk and robustness of China’s Smart beta strategy index.By comparing with the benchmark CSI 300 index,this paper shows the performance of Smart beta strategy index in China market.Based on the CSI 300 index,this paper selects nine Smart beta strategy indexes of Chinese market,which are CSI 300 momentum index,CSI 300 industry risk index,CSI 300 risk index,CSI 300 equal weight index,CSI 300 fundamental index,CSI 300 dividend index,CSI 300 volatility index,CSI 300 high Beta index and CSI 300 low Beta index.This paper selects the monthly data of 10 indexes from January 2006 to December 2019.Firstly,it makes a comparative analysis on the 14-year Cumulative Return of 10 indexes and analyzes smart the excess return of Beta strategic index is divided into nine indexes,which are only for stock selection and only for weight optimization.The three groups are first for stock selection and then for weight optimization and then for cumulative return comparative analysis with the benchmark CSI 300 index.Then the system risk and special risk of these indexes are analyzed,including three factor model,four factor model and five factor model.Finally,the paper discusses the robustness of the Smart beta strategy,discusses the possible reasons for the lack of the robustness of the Smart beta strategy index and the methods to improve the robustness,and calculates three indicators that can be used as a reference for the robustness:VaR,tracking error and information ratio.Through the income analysis,risk analysis and robustness discussion of Smart beta strategy index in China market.We find that the Smart beta strategy also performs well in the Chinese market,and the vast majority of Smart beta strategies have excess returns.However,the risk factors of different strategies will be different,and the robustness will also be different.The conclusion shows that the Smart beta strategy index has advantages over the traditional market capitalization weighted index in China market,and the research conclusion can also provide some reference for investors to invest in Smart beta strategy.