Asset Allocation in the Chinese Stock Market: The Role of Return Predictability
研究了中国股市中利用回报可预测性的资产配置策略，发现主动投资组合策略（如市场择时、行业轮动）相比被动持有策略，年化收益可高出600个基点，夏普比率几乎翻倍。
In this article the authors investigate asset allocation in the Chinese stock market from the perspective of incorporating return predictability. Based on a host of return predictors, they find significant out-of-sample return predictability in the Chinese stock market. They then examine the performance of active portfolio strategies—such as aggregate market timing as well as industry, size, and value-rotation strategies—designed to profitably exploit return predictability. Strong evidence is found by the authors that these portfolio strategies incorporating return predictability can deliver superior performance—up to 600 basis points per annum and almost double the Sharpe ratios—compared with the passive buy-and-hold benchmarks that ignore return predictability. <bold>TOPICS:</bold> <ext-link>Emerging</ext-link>, <ext-link>portfolio construction</ext-link>