Journal of Portfolio Management, v. 42, iss. 2, pp. 21-36, Winter 2016

指數是什麼？

作者: Lo, Andrew W.

摘要：通信、證券交易、算法交易上的技術變革推動了新的被動式投資産品的出現。這些産品放棄使用傳統市值加權組合，轉而追蹤主題指數。在本文中，作者從函數的視角拓寬了指數的定義，滿足下面三個屬性的投資組合可以視為指數：（1）完全透明，（2）可投資，（3）系統性（例如完全依據既定的規則不摻雜任何判斷或特别的投資技巧）。滿足這些性質、卻不是按照市值比配置的投資組合被賦予了一個新的名字：動态指數。這種函數的定義擴展了可能性集合，更重要的是，它将風險管理與産生alpha收益分割為兩部分。被動式的策略能夠并且應該主動進行風險管理，作者就此給出了一個簡單的實現實例。動态指數也帶來了新的挑戰，其中最重要的一點是回測偏誤，作者也就控制此風險提出了建議。

關鍵詞：指數基金，指數化，被動投資，智能beta，流動性替代，風險管理

What Is an Index?

Lo, Andrew W.

ABSTRACT

Technological advances in telecommunications, securities exchanges, and algorithmic trading have facilitated a host of new investment products that resemble theme-based passive indexes, but depart from traditional market-cap-weighted portfolios. In this article, the author proposes broadening the definition of an index using a functional perspective. Any portfolio strategy that satisfies three properties should be considered an index: (1) it is completely transparent, (2) it is investable, and (3) it is systematic (i.e., it is entirely rules-based and involves no judgment or unique investment skill). Portfolios satisfying these properties that are not market-cap-weighted are given a new name: dynamic indices. This functional definition widens the universe of possibilities and, most importantly, decouples risk management from alpha generation. Passive strategies can and should be actively risk managed, and the author provides a simple example of how this can be achieved. Dynamic indices also create new challenges; the most significant of these is backtest bias, and the author concludes with a proposal for managing this risk.

Keywords：Index Funds, Indexation, Passive Investing, Smart Beta, Liquid Alternatives, Risk Management

原文鍊接：

https://www.researchgate.net/publication/291359536_What_Is_an_Index

翻譯：陳爽