The Applications Of Dynamic Portfolio Strategies In The U.S.'s And China's Stock Markets

Quantitative investment is the main direction of development of Chinese stock market investment in the future.Through stock selection,portfolio construction,so that the return of the portfolio can try to continue without inversion,and can adapt to the changes of market environment,have a stable income,to avoid the momentum collapse,that is the ultimate goal.First of all,sort out the data in the United States stock market and China's stock market.The sample of the U.S.stock market include three stock exchange data from January 1960 to December 2015:the New York stock exchange,the American Stock Exchange and Nasdaq Stock Exchange;the sample of Chinese stock market include two stock exchange data from January 1997 to December 2015:Shanghai A shares market and Shenzhen A shares market.Secondly,based on the related literature of the value strategy and momentum strategy,we construct strategy 1 that based on the operation mode of FOF fund and strategy 2 that based on the stock prediction in the U.S.stock market and the Chinese stock market.At the same time,copy traditional momentum strategy proposed by Jagadeesh and Titman in 1993 and copy residual strategy proposed by Blitz,David,Joop and Martens in 2011.Thirdly,analysis the return rate of the portfolio from the following aspects:the analysis of returns in the whole sample and sub sample,confirm the existence of momentum strategy;the analysis of abnormal returns after take off the market factor and three factor;analyze market liquidity for the regression coefficient of income the rate.At the end of the article,we found that Strategy 1 and strategy 2 are both superior to traditional momentum strategies and residual strategies in terms of yields and Sharpe ratios.In addition,the most important is the income skewness of strategy 1 and strategy 2 is positive,which greatly reduces the probability of momentum collapse when the market environment changes.Fund managers can choose stock portfolio,get a stable income through this way,while the sensitivity of the portfolio returns to the market is very low,which greatly increases the persistence of positive earnings,reducing the risk.