{"title":"基金管理的新革命:机器的ETF/指数设计","authors":"Jaehoon Lee","doi":"10.1080/1226508X.2019.1632217","DOIUrl":null,"url":null,"abstract":"ABSTRACT Two ETFs were listed to track the secondary-battery industry on 12 September 2018 in the Korea Stock Exchange market. They are virtually identical except that one is designed by humans while the other is made by machines. This paper compares the two ETFs and find little difference in their investment strategies except that machines are more likely to pick high book-to-market stocks than humans. Machines are also more likely to pick past losers and outperform human-designed ETF afterwards. The results suggest that machines can do equally good as humans as ETF/index designers.","PeriodicalId":45235,"journal":{"name":"Global Economic Review","volume":null,"pages":null},"PeriodicalIF":1.9000,"publicationDate":"2019-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"New Revolution in Fund Management: ETF/Index Design by Machines\",\"authors\":\"Jaehoon Lee\",\"doi\":\"10.1080/1226508X.2019.1632217\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"ABSTRACT Two ETFs were listed to track the secondary-battery industry on 12 September 2018 in the Korea Stock Exchange market. They are virtually identical except that one is designed by humans while the other is made by machines. This paper compares the two ETFs and find little difference in their investment strategies except that machines are more likely to pick high book-to-market stocks than humans. Machines are also more likely to pick past losers and outperform human-designed ETF afterwards. The results suggest that machines can do equally good as humans as ETF/index designers.\",\"PeriodicalId\":45235,\"journal\":{\"name\":\"Global Economic Review\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":1.9000,\"publicationDate\":\"2019-06-19\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Global Economic Review\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1080/1226508X.2019.1632217\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Global Economic Review","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/1226508X.2019.1632217","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
New Revolution in Fund Management: ETF/Index Design by Machines
ABSTRACT Two ETFs were listed to track the secondary-battery industry on 12 September 2018 in the Korea Stock Exchange market. They are virtually identical except that one is designed by humans while the other is made by machines. This paper compares the two ETFs and find little difference in their investment strategies except that machines are more likely to pick high book-to-market stocks than humans. Machines are also more likely to pick past losers and outperform human-designed ETF afterwards. The results suggest that machines can do equally good as humans as ETF/index designers.
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