At present, there are 60 smart beta indexes of China securities index fund companies. According to the factors, there are fundamentals, dynamics, volatility, high beta, momentum, growth, value, quality and shrewdness. Here is an introduction:
1. Fundamental factor: according to 5-year revenue, 5-year cash flow, net assets and 5-year dividend. At present, there are three types of fundamentals smart beta:
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1.1. The basic smart beta indexes of Shanghai Stock Exchange 50, Shanghai Stock Exchange 180 and Shanghai Stock Exchange 380 are still 50, 180 and 380, but the weight is adjusted according to the fundamentals. But for now, there seems to be no excess return. As of September 18, 2020, the 50 year-on-year trend of Shanghai Stock Exchange is 7.48%, and the 50 fundamentals are 6.67%; the 180 year-on-year growth rate of Shanghai Stock Exchange is 6.20%, and the annual rate of 180 fundamentals is 6.77%; the 380 year-on-year change of Shanghai Stock Exchange is 11.13%, and the annual change of 380 fundamentals is 11.98%. There are no corresponding funds for 50 fundamentals, 180 fundamentals and 380 fundamentals.
1.2. 50 fundamentals, 200 fundamentals, 400 fundamentals and 600 fundamentals are selected. The 50 stocks with the largest fundamental value, the largest 200 stocks, the second largest 400 stocks and the largest 600 stocks are selected. The biggest difference from the previous fundamental index is that it crosses the Shanghai and Shenzhen stock markets. In addition, it is worth noting that fundamental 400 is composed of 400 stocks with fundamental value ranging from 201 to 600. The worst 50 and the best 400 are 9.50% and 13.34% respectively. Fundamental 50 has corresponding fund of Jiashi China Securities fundamental 50, while fundamentals 400 is corresponding fund of AXA Pudong Bank and Taixin fund respectively
1.3. Fundamentals 300 and fundamentals 500 are different from fundamentals 50, fundamentals 200, fundamentals 400, and fundamentals 600. The bottom 30% of the stocks in health score ranking should be excluded from fundamentals 300 and fundamentals 500. Fundamentals 300 is the top 300 stocks with fundamental value score, while fundamentals 500 is the stocks ranking 301-800. From the perspective of the former, the fundamental is 13.300%, and the latter is 13.300%, which is similar to that of the latter. The result is better than the original after excluding the stocks with low health score. Unfortunately, these fundamentals 300 and 500 have no corresponding funds.
2. Dynamic factor is used to calculate the sensitivity score of stocks in sample space. According to the 52 cycle wave rate and 36
Monthly volatility calculates the volatility factor based on debt equity ratio, total assets / net profit, profitability variability and cash flow
According to the volatility factor and quality factor, the sensitivity of stock is determined
Sex score. The first half of the stocks constitute a dynamic index, and the second half constitute a stable index.
180 dynamic is to select 90 stocks with the top 50% sensitivity score of Shanghai Stock Exchange 180 index, and 380 dynamic is to select 190 stocks of the top 50% of Shanghai Stock Exchange 380. 300 dynamic is to select the top 150 stocks of CSI 300, 500 dynamic is to select the top 250 stocks of CSI 500, H300 dynamic is to select the top 150 stocks of CSI Hong Kong 300 index, 100 dynamic is to select the top 50 stocks of CSI 100 index, and 200 dynamic is to select the top 50 stocks of CSI 200 index.
However, compared with the original index, the dynamic factor has not reflected the abnormal return in history. For example, the annualized rate of CSI 300 is 10.40%, while that of 300 is only 8.80%; the annualized rate of CSI 500 is 12.62%, while that of 500 is only 9.73%. And the dynamic factor index has no corresponding index fund.
3. Volatility factor generally speaking, volatility factor is the selection of relatively low volatility stocks. 180 volatility, 380 volatility, 300 volatility and 500 volatility are the top 100 stocks with low volatility selected from the Shanghai Stock Exchange 180, Shanghai 380, Shanghai Shenzhen 300 and China Securities 500 index respectively.
Compared with the original index, the situation is much better: Shanghai Stock Exchange 180 annualized 6.20%, 180 volatility annualized 7.87%; Shanghai Stock Exchange 380 annualized 11.13%, 380 volatility annualized 14.50%, Shanghai Shenzhen 300 annualized 10.40%, 300 volatility annualized 12.94%; China Securities 500 annualized 12.62%, 500 volatility annualized 16.76%. Unfortunately, there is no corresponding smart beta fund.
4. High beta, high beta, generally speaking, is relatively high risk. Among the 180 high beta, 380 high beta, 300 high beta and 500 high beta, the top 60, 100, 100 and 150 stocks of gaobeta were selected from Shanghai Stock Exchange 180, Shanghai Stock 380, Shanghai Shenzhen 300 and China Securities 500 respectively.
But from the comparison of the index values, whether 180 high beta, 380 high beta, 300 high beta, 500 high beta are not as good as the original index itself and the corresponding low beta. There is a smart beta fund corresponding to the investment promotion fund of 300 high beta.
5. Generally speaking, momentum factor means chasing up and killing down. Among them, China's 500 momentum, 300 momentum, 800 momentum, Hong Kong 100 momentum, Hong Kong 200 momentum, 180 momentum and 380 momentum are the top indexes of China 500, Shanghai Shenzhen 300, China Stock Exchange 800, Hong Kong 100, Hong Kong 200, Shanghai 180 and Shanghai 380 index.
In contrast, the annualized momentum of China's 500 momentum is 5.71%, which is seriously lower than 12.08% of the China 500 index itself. However, 300 momentum, Hong Kong 100 momentum, Hong Kong 200 momentum, 180 momentum and 380 momentum all outperform the original index by about 2% - 4%. Momentum at 800 is basically the same. There is a feeling that the performance of the original index is relatively weak, such as Hong Kong 100 and Hong Kong 200, and the momentum index is easy to win; on the contrary, if the China 500 index is already relatively strong, the corresponding momentum index is weak. However, there is no corresponding fund for the smart beta index of these momentum factors.
6. Growth factor, mainly considering profit growth,
7. Value factor, mainly considering the level of PE
8. Quality factor, mainly considering roe, ROA, etc
9. Smart factor, mainly considering a / h price difference
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