本文提出关键因素拟合指数化投资方法。该方法认为,指数化投资不必完全复制股票指数,股票指数中存在关键因素,利用这些关键因素构造的投资组合可以拟合出相应的股票指数,用来进行指数化投资。研究结果表明这种方法能够很好地拟合指数化投资并且操作更加灵活积极,基金经理可以结合其他的分析工具,根据市场的具体情况对拟合的投资组合进行调整,从而达到最佳的投资绩效。 This paper presents the key factors to fit an indexed investment approach. The method holds that index investment does not have to completely copy the stock index, and there are the key factors in the stock index. The portfolio constructed by these key factors can be used to fit the corresponding stock index for the investment in index. The results show that this approach fits well with indexed investments and operates more flexibly and actively, and fund managers can combine other analytical tools to adjust the portfolio to fit the market conditions to achieve the optimal investment Performance.