A Study On The Volatility And Correlation Of Alpha Hedging In A - Share Industry

because of a large amount of funds, large scale of investment, and a professional investment analysis of inherent advantage, Institutional investors will gradually replace individual investors to become the mainstream investors in financial markets. This makes the establishment of portfolio diversification to reduce risk has become the most widely used and eternal investment theme. This article aims at giving recommendations that institutional investors how to reduce the investment risk in A shares portfolio allocation for the industry, and a systematic exploration of the volatility and correlation of A shares market.According to the deficiency of previous related studies, in order to exclude the influence of risk factors on inter-industry volatility and correlation, This paper researchs on the volatility and correlation of the A shares industry based on the hedge of systemic risk with Shanghai and Shenzhen300index, and the systematic study of the amount of raw data analysis using data mining and clustering analysis method, to avoid the error brought by the econometric model of the complex.The results of this study show that:under the premise of alpha hedge, increasing number of portfolio will reduce the portfolio volatility, and covering the financial services industry will significantly reduce volatility. The alpha partial correlation coefficient of these6industries:agriculture machinery, equipment, information, biological medicine, textile and garment trade continues keeping large. The results of this study suggest on investment:fixed with certain weight (about15%-25%) in the financial services industry, and the residual weight to be diversified into other six industries (it can again include financial services). The weights of the6industry portfolios investment in agriculture, machinery and equipment, information equipment, textile and garment, biological medicine, commercial trade can not be more than30%.