等权重组合管理超额收益实证研究—来自沪深300的证据

Empirical Study on the Excess Return of Equal-Weighted Portfolio Management—Evidence from CSI300y

摘要: 本文通过实证分析，运用Plyakha、Uppal和Vilkov (2012)的方法，从沪深300指数的成分股选取股票构建等权重组合与市值加权组合，对其10年的月收益率进行测算，发现等权重的投资组合在我国确实存在超额收益；然后，本文将总收益分解为系统性收益与alpha收益，从这两个方面分别探索等权重组合超额收益的来源。运用Fama-French三因子进行回归的结果显示市场风险因子和规模因子有助于解释等权重组合的超额系统性收益；而减少成分股调整频率的实验结果证明等权重组合的超额alpha来自于成分股的动态调整过程中执行的反转策略。

Abstract: Using the method of Plyakha, Uppal and Vilkov (2012), we construct equal-weighted portfolios and cap-weighted portfolios from the CSI 300 constituent stocks and it’s found that the equal-weighted portfolio in China does exist excess returns. Finally, we divide total return into systematical return and alpha return, finding that the excess of systematical return comes from high exposure to mar-ket factor and size factor based on the Fama-French model and the excess alpha comes from the rebalancing of the constituent stocks, which is actually a contrarian strategy.