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A comprehensive study on smart beta strategies in the A-share market

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  • Lixin Cai
  • Yong Jin
  • Qiulin Qi
  • Xin Xu

Abstract

In this article, we explore how smart beta strategies are applied in the Chinese A-share market. Specifically, we empirically examine several popular smart beta strategies, including mean-variance optimization, minimum-variance portfolio, equal weighting, risk parity strategy, and fundamental indexation, and we do so using the Shanghai Stock Exchange (SSE) 50 index and SSE sector indices as our comparison benchmarks. We find that all smart beta strategies outperform these benchmarks from year 2006 to year 2015, and that all smart beta strategies outperform the SSE 50 index by an average of 2.57% per year. In turn, these strategies improve the Sharpe Ratio by 46.2% on average.

Suggested Citation

  • Lixin Cai & Yong Jin & Qiulin Qi & Xin Xu, 2018. "A comprehensive study on smart beta strategies in the A-share market," Applied Economics, Taylor & Francis Journals, vol. 50(55), pages 6024-6033, November.
    • Handle: RePEc:taf:applec:v:50:y:2018:i:55:p:6024-6033
    DOI: 10.1080/00036846.2018.1489113
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    Cited by:

    1. Reema Monga & Deepti Aggrawal & Jagvinder Singh, 2022. "Exploring new frontiers in indexing strategies: an optimization-based risk-efficient solution," International Journal of System Assurance Engineering and Management, Springer;The Society for Reliability, Engineering Quality and Operations Management (SREQOM),India, and Division of Operation and Maintenance, Lulea University of Technology, Sweden, vol. 13(2), pages 853-865, June.
    2. Alles Rodrigues, Alexandre & Casalin, Fabrizio, 2022. "Factor investing in Brazil: Diversifying across factor tilts and allocation strategies," Emerging Markets Review, Elsevier, vol. 52(C).

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