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

指数是什么？

作者: Lo, Andrew W.

摘要：通信、证券交易、算法交易上的技术变革推动了新的被动式投资产品的出现。这些产品放弃使用传统市值加权组合，转而追踪主题指数。在本文中，作者从函数的视角拓宽了指数的定义，满足下面三个属性的投资组合可以视为指数：（1）完全透明，（2）可投资，（3）系统性（例如完全依据既定的规则不掺杂任何判断或特别的投资技巧）。满足这些性质、却不是按照市值比配置的投资组合被赋予了一个新的名字：动态指数。这种函数的定义扩展了可能性集合，更重要的是，它将风险管理与产生alpha收益分割为两部分。被动式的策略能够并且应该主动进行风险管理，作者就此给出了一个简单的实现实例。动态指数也带来了新的挑战，其中最重要的一点是回测偏误，作者也就控制此风险提出了建议。

关键词：指数基金，指数化，被动投资，智能beta，流动性替代，风险管理

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

原文链接：

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

翻译：陈爽