惯性因子跟踪策略的有效性：来自中国股票市场的证据

基于惯性/反转效应普遍存在的现象以及中国股票市场上不能直接实施惯性/反转投资策略的事实，提出能灵活抓住惯性/反转效应的惯性因子跟踪策略。通过建立和求解惯性因子跟踪策略模型，我们发现，在允许卖空的条件下，最优惯性因子跟踪组合满足两基金分离定理，两基金分别是惯性因子模仿组合和最小方差组合。选择沪深300十大行业指数作为风险资产的代表，实证考察惯性因子跟踪组合的业绩，并与等权组合和最小方差组合的业绩进行比较。结果发现：惯性因子跟踪组合可以在保持和等权组合、最小方差组合风险水平相当的情况下带来更高的收益水平和夏普比率，平均而言，惯性因子跟踪组合的年化超额收益率(8.88%)比等权组合的年化超额收益率高出3.7%，夏普比率(0.42)高出0.18；即便在考虑交易成本的情况下，惯性因子跟踪组合的净夏普比率仍然高出等权组合0.16；综合上方获利和下方风险控制两个方面看，惯性因子跟踪组合优于等权组合。惯性因子跟踪策略的有效性相对于惯性因子的计算方法和样本数据选择区间具有稳健性。

The Effectiveness of Momentum Factor Tracking Strategy: Evidence from China Stock Market

It is documented in the literature that the momentum and reversal effects are very prevalent in both oversea and China stock market. However, Chinese investors cannot implement the well-known momentum/reversal strategy directly to make profit due to various trading restrictions. A momentum factor tracking strategy is proposed that minimizes the variance of the difference in returns between a target portfolio and momentum factor. The momentum factor tracking model is established and solved, and the properties of the optimal portfolio are analyzed. It is found that the optimal momentum factor tracking portfolio satisfies two-fund-separation theorem, in which the two funds are momentum factor mimicking portfolio and minimum-variance portfolio determined in the traditional mean-variance model. Using ten industry indices of HS300 as risky assets in the investment universe, the performance for various momentum factor tracking portfolios is investigated and is compared with that of equally weighted portfolio (EWP) and minimum-variance portfolio (MVP). The results show that, momentum factor tracking portfolios outperform EWP and MVP, measured by expected excess return, Sharpe ratio and net Sharpe ratio. The superior performance of the momentum factor tracking portfolios are attributed to these portfolios’ ability to capture the momentum or reversal effect in stock market. To a large extent, the effectiveness of momentum factor tracking strategy is justified so that the strategy can act as a reference for asset allocation in China stock market.