题目：Active Factor Investing: Hedge Funds vs. the Rest of Us

　　报告人：端木俊，美国路易斯安那理工大学，助理教授

　　时间：2018年7月5日(周四)15:00~17:00

　　地点：经管院B226

　　报告摘要如下：

　　We argue that only hedge funds whose returns are driven by beta management of exposures to latent risk factors could be successfully replicated. We develop a methodology for creating a portfolio of ETFs that replicates risk factor exposures taken by successful beta active cloneable hedge funds. The methodology allows any investor to access active factor strategies employed by hedge funds. It could be interpreted as cloning beta exposures of the best beta active hedge funds, delivering outstanding long-term risk-adjusted performance. The active factor ETF portfolio only requires annual rebalancing, and is constructed with a transparent algorithmic approach, which conforms to a definition of a smart beta strategy.

　　报告人简介：

　　端木俊，2015年毕业于美国阿肯色大学，获金融学博士学位，现为美国路易斯安那理工大学助理教授，美国大通银行荣誉金融教授，目前已在Journal of Financial and Quantitative Analysis、Journal of Banking and Finance发表论文多篇。