スマートベータ運用がファンダメンタル運用に与える影響について

DOI
  • 西山 昇
    Dragons' Desk Ltd. 千葉商科大学会計大学院

書誌事項

タイトル別名
  • Impact to the market fluctuations from Smart Beta Investing through Fundamental Investing

抄録

<p>Smart beta investments have recently enjoyed popularity among Japan market investors, leading to a substantial increase of Minimum Variance strategies in the form of ETF products. While each investment product, whether smart beta or traditional active fund, is designed to fulfill its investor expectations, many wonder whether there are any market effects from the trading of smart beta strategies on the more traditional strategies. I discuss if it is possible to find the background of phenomena and if there are methods to avoid the impact from smart beta strategies. I try to construct an optimal portfolio that seeks alpha by estimating a robust factor model and conduct a simulation that employs advanced techniques, including the use of residual variance scalars to correct for the Simultaneous Estimation Bias problem. </p>

収録刊行物

詳細情報 詳細情報について

  • CRID
    1390294485104611456
  • DOI
    10.11517/jsaisigtwo.2016.fin-017_43
  • ISSN
    24365556
  • 本文言語コード
    ja
  • データソース種別
    • JaLC
  • 抄録ライセンスフラグ
    使用可

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