基于风格指数轮动效应的A股择时策略研究

A Study on the Timing Strategy of A Shares Based on the Rotation Effect of Style Index

我国资本市场的快速发展,使得风格配置策略逐渐成为量化投资领域新的热点。本文从价值/成长风格轮动视角出发,通过非参数符号检验A股市场价值/成长风格轮动现象的存在性,并将动量效应引入价值/成长风格指数的择时过程。实证结果表明:A股市场在存在价值溢价的同时,也存在不可忽视的价值/成长风格轮动现象,并且这种轮动现象可以被动量效应识别;相比于单一价值风格策略和成长风格策略,基于动量效应的价值/成长风格择时策略表现出更强的盈利能力和抗风险能力。因此,更多的价值/成长风格轮动相关金融产品是值得构建并进入市场的。

With the rapid development of Chinese capital market, style allocation strategy has gradually become a new hotpot in the field of quantitative investment. From the perspective of value/growth style rotation, this paper verifies the existence of A-share market value/growth style rotation through non-parametric sign test, and introduces momentum effect into the timing process of value/growth style index. The empirical results show that while there is a value premium in the A-share market, there is also a value/growth style rotation phenomenon which can be identified by the momentum effect, cannot be ignored. Compared with single value and growth style strategy, value/growth style timing strategy based on momentum effect shows stronger profitability and anti risk ability. Therefore, more value/growth style rotation related financial products are worth building and entering the market.