這是我們在2017年為加拿大多倫多大學的學弟學妹們寫的一篇金融投資組合論文代寫，文章的主題是討論PowerShare FTSE RAFI US 1000（PRF）採用基本加權策略來追蹤FTSE RAFI US 1000指數。 其基本的加權策略是根據四個基本因素（包括賬麵價值，現金流量，銷售額和股息）選擇FTSE RAFI US 1000指數化股票中的股票。
Recent year have seen the rise of the smart beta ETFs. Different from traditional type ofETFs which passively track indexes by simply constructing funds based market capitalizatismall PowerShare FTSE RAFI US 1000 ( PRF ) apply fundamental weighted strategy to track FTSE RAFI US 1000 index. Its fundamental weighted strategy select stocks among FTSE RAFI US 1000 indexed stocks based on four fundamental factors: book value, cash flow, sales and dividends. As is shown in Figure 1, the PRF overlap with its benchmark index in the first half the the sample period but underperform its benchmark index. Thus, the PowerShare FTSE RAFI US 1000 are not delivering on the objective to deliver higher risk adjusted return. PowerShare Russell 2000 pure value (PXSV) employ value strategy and tract Russell 2000 pure value TR USD index. Figure 2 shows that Cumulative return on PXSV outperform its benchmark index over the sample period. Thus deliver its aim with higher return compare to its benchmark.
Body部分通過文字和圖表的形式給出論證，提出PowerShare標普500高位（SPHB），PowerShare標普500增長（SPYQ），Vanguard Russell 2000 Growth沒有實現他們的目標，因為他們幾乎總是表現不佳。 PowerShare標準普爾500質量（SPHQ）有時會跑贏大盤，有時會低於其基準。 但總體而言，如果在樣本期內購買SPHQ，則他/她的收益率高於基準。
Similarly, Figure 3 shows that PowerShare S&P 500 High Beta (SPHB), PowerShare S&P 500 Growth(SPYQ), Vanguard Russell 2000 Growth are not deliver their objectives as they almost always underperform their benchmark. PowerShare S&P 500 Quality(SPHQ) sometimes outperform and sometimes underperform its benchmark. But overall, if one buys the SPHQ over the sample period, s/he earn higher return than its benchmark.
最後conclusion的部分給出最終的結論，並且給出相關的建議。提出為了更直觀地了解績效，計算了5個績效指標來評估6個智能Beta ETF的表現。 通過將業績衡量標準與上述數據分析相結合，可以為投資者提供ETF值得投資的投資建議。
To provide a more direct view of the performance, I calculate 5 performance measures to evaluate the performance of the 6 Smart Beta ETFs. Combining performance measures with above figure analysis, I can generate investment advice for investor in terms of which ETFs is worthy investing. For ETFs those outperform their benchmark(PXSV and SPHQ), they also have higher geometric average monthly return than those ETFs which underperform their benchmark. Especially, SPHQ has the highest geometric average monthly return, sharp ratio, and lowest CAPM beta. It means that SPHQ earn highest market adjusted return and bear less market related risk. In addition, Only the CAPM alpha of SPHQ is positive and significant. Finally, the SPHQ has the lowest correlation with its benchmark. It can be regarded as a sacrifice to earn better risk adjusted return. Overall, above measures consistently show that SPHQ earns better risk adjusted return. Thus, I will most likely to recommend the SPHQ to prospective investor.
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