百年数据揭示的真相：什么基金能多赚

Core Viewpoint - The article emphasizes the potential of smart beta index funds, which utilize more sophisticated stock selection rules compared to traditional index funds, to achieve long-term excess returns in the market [3][4][11]. Group 1: Smart Beta Index Funds - Smart beta index funds represent a small portion of the market, with only 1.7 trillion yuan, accounting for approximately 0.5% of the total public fund size of 32.24 trillion yuan in China by the end of 2024 [2]. - These funds employ stock selection based on proven financial metrics or price characteristics, rather than just market capitalization [4][5]. - Common factors used in smart beta strategies include dividend yield, quality, value, low volatility, and momentum [15]. Group 2: Performance of Smart Beta Strategies - Historical data from 1927 to 2023 indicates that smart beta strategies can outperform the market, with various factors showing significant annualized returns above the overall market return of 9.5% [17][18]. - The long-term performance of factor-based strategies demonstrates that almost all factor long portfolios yield returns significantly higher than the market index, suggesting that holding a good smart beta fund is likely to provide better returns than traditional indices like the CSI 300 [20][23]. Group 3: Challenges and Considerations - Despite the effectiveness of smart beta strategies, they can experience prolonged periods of underperformance, which may lead to investor skepticism [24][26]. - Historical data shows that some factors can have long periods of underperformance, with the longest being four years for several factors [28][29]. - Diversifying across multiple factors can help mitigate risks associated with individual factor underperformance, as different factors may perform well at different times [30]. Group 4: Insights from Historical Data - Long-term data supports the reliability of smart beta index funds, indicating that missing out on these investment opportunities could be regrettable [32]. - Investors are advised to construct multi-factor portfolios to balance risk and return, incorporating defensive and aggressive strategies [35]. - A long-term investment horizon is essential for realizing the excess returns from smart beta strategies, as they may require enduring periods of underperformance [37][39]. - Risk management is crucial, as smart beta funds are still subject to market fluctuations and can decline during bear markets [40][41].