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可持续多因子股票指数

可持续多因子股票指数

以可持续方式通过指数投资有效利用经实际验证的因子

要点:

  • 有效利用四种因子,包括价值、动量、低波幅和质量因子
  • 确保环境、社会和公司治理(ESG)表现卓越、生态足迹较低且排除备受非议的商业价值企业
  • 采用荷宝专有的因子变量来避免无效益风险和获取最大收益

投资理念

荷宝的量化投资策略基于以下信念:

以实证数据为基础。识别出具有最有效之风险收益特征的因子。研究过程涵盖在不同市场的长时间经验验证。

以理解实证数据背后之经济、市场原由为依托。 我们希望超越统计数据的形态,探究这些因子背后的经济动力,同时回避无效益的风险。

构建有效及审慎的投资组合。 投资组合透明度高,易于理解说明,避免不必要的交易成本,并整合环境、社会和公司治理(ESG)因素。

投资过程

荷宝的多元因子股票指数策略方案是纯量化的股票策略,其中充分挖掘经实际验证的四种溢价因子:价值、动量、低波幅和质量。荷宝并不采用通用因子而是采用专有的因子变量来避免无效益风险和获取最大收益。此指数的母指数为标准普尔道琼斯指数,荷宝研究员根据量化股票排名和专有指数构建算法建立新指数数据。标准普尔道琼斯指数基于市场事件而更新指数,然后将定制指数交付资产管理公司以构建投资组合,该定制指数可高效能地投资于多元因子。

联系我们

如果您想了解更多关于此策略的详情,请联系我们。

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