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问题，发现基于多个预测因子的样本外预测显著有效，主动投资策略（如市场择时、行业轮动等）相比被动持有策略每年可多获得高达600个基点的超额收益，夏普比率几乎翻倍。
While numerous studies have analyzed the asset allocation issue of US stock market from various angles, much less attention has been paid to the asset allocation issue of Chinese stock market. This article investigates the asset allocation in Chinese stock market from a perspective of incorporating return predictability. We find significant out-of-sample return predictability in Chinese stock market based on a host of return predictors. We then examine the performance of active portfolio strategies such as aggregate market timing strategy, and industry, size, and value rotation strategies to profitably exploit return predictability. We provide strong evidence that these portfolio strategies incorporating return predictability can deliver superior outperformance up to 600 basis points per annum and almost double the Sharpe ratios compared to the passive buy-and-hold benchmarks ignoring return predictability.