Is Smart Beta Really Smart?

被引：16

作者：

Malkiel, Burton G. ^{[1
]}

机构：

[1] Princeton Univ, Princeton, NJ 08544 USA

来源：

JOURNAL OF PORTFOLIO MANAGEMENT | 2014年 / 40卷 / 05期

关键词：

ANOMALIES; RETURNS;

D O I：

10.3905/jpm.2014.40.5.127

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

There is a popular new investment strategy in portfolio management called smart beta. With a catchy title and a promise of improved portfolio performance, the strategy has already attracted hundreds of billions of dollars and is growing by leaps and bounds. Unfortunately, according to the author smart beta portfolios do not consistently outperform and when they do produce appealing results, they flunk the risk test. © 2014, Institutional Investor, Inc. All rights reserved.

引用

页码：127 / 134

页数：8

共 15 条

[1]

Andrea Frazzini, 2011, 1217 SWISS FIN I

[2]

[Anonymous], 1934, SECURITY ANAL

[3] Leverage Aversion and Risk Parity [J].