Gem ETF Product Design Based On Smart Beta Strategy

According to the experience of the development of public funds in the United States,the probability that the active management of equity products can beat the S&P 500 in one year is only 33.93%;In the long run,index investing can also outperform most stocks,with less volatility and a better investment experience;Due to the many advantages of ETF products,the scale of ETF products at home and abroad has increased rapidly in recent years,At present,most ETF products in the market adopt the method of market capitalization weighting,which has many disadvantages and often leads to investment returns that do not reach the expectation.At the same time,it leads to the homogenization of investment varieties,which cannot meet the differentiated investment needs of investors.On the other hand,ETF products with Smart Beta strategy are different from traditional wide-base index.Based on passive investment,they optimize the components and weights of traditional market size index to increase the exposure of the underlying index to specific factors or things,so that the index can obtain the unique investment income brought by this factor as a whole.In recent years,Smart Beta strategy has developed in China,but it is not mature yet.In particular,most of the products are focused on the main board market,most of the benchmark to Shanghai 50,Shanghai 300 and other blue-chip index;ETF products focused on gem Smart Beta strategy are few and far between,which is not conducive to investors' investment demand for gem.Therefore,this paper aims to focus on gem based on Smart Beta strategy,select stock selection factors,determine the factor weight based on excess returns,and then combine with the comprehensive Z score to form a stock selection model,build a portfolio based on equal weight,prepare a product tracking index,and design a Smart Beta ETF product.In this way,the disadvantages of traditional market value weighting can be avoided and the diversified investment needs of investors can be satisfied.After the completion of product index compilation,ETF products were retrospectively analyzed,compared with existing products in the market from two aspects of return level and risk level,draw relevant conclusions,and put forward reasonable Suggestions,in the hope of making contributions to the follow-up research and the portfolio design of gem.