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论文编号：	14986
作者编号：	2320223877
上传时间：	2024/12/8 22:05:07
中文题目：	基于Smart Beta策略的数字经济主题ETF构建研究
英文题目：	Research on the Construction of a Digital Economy Theme ETF Based on Smart Beta Strategy
指导老师：	齐岳
中文关键字：	数字经济ETF；Smart Beta策略；实证研究；投资价值评估
英文关键字：	Digital Economy ETF; Smart Beta Strategy; Empirical Research; Investment Value Evaluation
中文摘要：	数字经济，作为继农业经济和工业经济之后的新一代经济形态，正通过现代信息网络技术的深度融合与应用，成为全球资源重组、经济结构重塑以及竞争格局变革的关键驱动力。ETF作为一种高效的指数化投资工具，可以为投资者提供了一个简单、透明、成本效益高的投资数字经济相关公司的方式，吸引更多的投资者参与数字经济领域的投资，有助于为这些公司提供资本，促进其增长和扩张。研究发现，目前国内市场的数字经济主题ETF产品多存在过度集中风险、忽视小市值股票的潜在价值、价格泡沫和价值低估、同质化、市场效率等问题。 本研究旨在探讨基于聪明的贝塔（文中统称Smart Beta）策略的数字经济ETF产品构建，并对其投资价值进行实证分析与评估。Smart Beta策略是在传统Beta策略的基础上融合了因子投资理论，采用系统化和规则化的方法对指数的股票选择和权重进行优化，实现风险调整后的超额收益，旨在实现超越传统市场指数的投资回报。相较传统的市值加权策略，Smart Beta有风险分散化、超额收益潜力、适合长期投资、市场适应性和提升市场效率等方面特点。 本研究首先回顾了Smart Beta策略的理论基础和数字经济主题ETF产品的相关文献，明确了研究的背景和意义。接着，通过构建一个包含多个因子的候选因子库，包括但不限于红利、价值、规模、成长等。利用历史数据，采用单因子和多因子模型对各因子的有效性进行了回溯测试，并基于超额收益确定因子权重。研究结果表明，所构建的数字经济ETF产品在风险调整后能够提供稳定的超额收益，具有显著的投资价值。进一步地，本文将构建的数字经济主题ETF产品与现有市场产品进行了对比分析。结果表明，本文开发的Smart Beta策略ETF产品在多个评估指标上优于传统市值加权ETF产品，尤其是在风险控制和收益稳定性方面。
英文摘要：	The digital economy, as a new generation of economic form following the agricultural and industrial economies, is becoming a key driver for the reorganization of global resources, the reshaping of economic structures, and the transformation of competitive landscapes through the deep integration and application of modern information network technology. ETFs, as an efficient index investment tool, provide investors with a simple, transparent, and cost-effective way to invest in companies related to the digital economy, attracting more investors to participate in the investment in the digital economy field, which helps to provide capital for these companies and promotes their growth and expansion. Research has found that the digital economy-themed ETF products in the domestic market currently have issues such as excessive concentration risk, neglect of the potential value of small-cap stocks, price bubbles and undervaluation, homogenization, and market efficiency. This study aims to explore the construction of digital economy ETF products based on the Smart Beta strategy and to conduct an empirical analysis and evaluation of their investment value. The Smart Beta strategy integrates factor investment theory on the basis of the traditional Beta strategy, using systematic and rule-based methods to optimize the selection and weighting of stocks in the index, achieving excess returns after risk adjustment, aiming to achieve investment returns that exceed traditional market indices. Compared with the traditional market value weighting strategy, Smart Beta has characteristics such as risk diversification, potential for excess returns, suitability for long-term investment, market adaptability, and enhancement of market efficiency. This study first reviews the theoretical foundations of the Smart Beta strategy and the relevant literature on digital economy-themed ETF products, clarifying the background and significance of the research.Then, by constructing a candidate factor library that includes multiple factors, including but not limited to dividends, value, size, growth, etc. Using historical data, single-factor and multi-factor models were used to conduct backtesting on the effectiveness of each factor, and factor weights were determined based on excess returns. The results show that the constructed digital economy ETF products can provide stable excess returns after risk adjustment, which has significant investment value. Furthermore, this paper conducts a comparative analysis between the constructed digital economy-themed ETF product and existing market products.The results show that the Smart Beta strategy ETF products developed in this paper are superior to traditional market-cap-weighted ETF products in many evaluation indicators, especially in risk control and return stability.
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