How Smart Beta Strategies Work in the Hong Kong Market

Liyu Zeng, P. Luk
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Abstract

Factor-based investing shares some common characteristics with passive investing such as rules-based construction, transparency, and cost-efficiency, and it also shares features of active investing in that it aims to enhance return and reduce risk compared to market-cap-weighted indices. In this paper, we examined the effectiveness of six well-known factors including size, value, low volatility, momentum, quality, and dividend in the Hong Kong equity market, their investability in practice, as well as the behavior of these factors under different market regimes from June 30, 2006, to June 30, 2017.
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聪明贝塔策略如何在香港市场运作
因子投资与被动投资有一些共同的特点,如基于规则的结构、透明度和成本效益,它也具有主动投资的特点,即与市值加权指数相比,它旨在提高回报和降低风险。本文考察了2006年6月30日至2017年6月30日期间,香港股市中规模、价值、低波动、动量、质量和股息六个众所周知的因素的有效性,以及它们在实践中的可投资性,以及这些因素在不同市场制度下的行为。
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