| In recent years,"Factor investment" has gradually become one of the most important concepts in the field of asset management.Being different from the traditional portfolio theory,“Factor Investment” is not simply a diversified investment in traditional assets such as stocks and bonds.Instead,it uses factors as the asset allocation objects,and focuses on building the optimal factor exposure portfolio that can generate premiums.Foreign and domestic scholars also conducted a series of studies on "factor investment."This paper uses the concept of "factor investment" as the research basis,based on the data of China A-Shares during the research period,we constructed six different types of single-factor portfolios according to the selected factor indicators,and then,we selected nine single-factor portfolios as the main research objects by ta-king account of the level of cumulative returns of single-factor portfolios and the size of the correlation between the single-factor portfolios.After that,this paper analyzes the historical performance,momentum characteristics,risk characteristics,and correlation changes of the selected nine single-factor portfolios,also the different performances of the selected nine single-factor portfolios on the bull and bear market and their exposures to the fama factor.Based on this,this paper constructs multi-factor portfolios based on different construction methods.Using the returns and risks of the CSI 300 Market Index as a benchmark,we compare the returns and risk indicators of the different kinds of multi-factor portfolios over the same period.The research results show that the method of adding momentum and allocating same weights to the single-factor portfolios is the optimal multi-factor portfolio construction method. |
