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Stock Future Implementation: CSI 300 Index Rebalance
Haoyu Wang, Peng Guo, Yuhan Wang 2019.09.11
In this essay, an investigation into the performance of Index Rebalancing strategy is explored. Specifically, the discussion is in the context of Shanghai-Shenzhen 300 Index (CSI 300), a Chinese equity index which replicates the performance of the top three hundred stocks in Shanghai-Shenzhen exchanges. When an index reconstitutes, it may result in significant buying power on the stocks which are added to the index and corresponding selling power on the stocks which are removed from the index. The strategy of Index Rebalancing thus takes advantages of the occurrence of price inefficiency. In evaluating the performance of Index Rebalancing on CSI 300, this essay will look into the profitability and volatility of the strategy referring to different benchmarks and taking consideration on how improvements of beta-portfolio, stop-loss, and maximum drawdown could bring change to the strategy performance. The information gathered and calculated has been analyzed to provide an overview of the overall performance of Index Rebalancing strategy on CSI 300. The out-of-sample test further outlines the performance of our Index Rebalancing strategy, in which a Win Ratio of 100% and the Sharpe Ratio and Information Ratio similar to in-sample ones imply the low risk of this strategy, while the lower average profit rate demonstrates limited profitability of the strategy. The investigation has led to the conclusion that as CSI 300 index retains a bearish trend, price inefficiencies after each index rebalance may not be significant enough to support highly profitable arbitrage. However, Index Rebalancing is still regarded as an advisable alternative investment strategy for the high Win Ratio and the low risk.
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