RT Journal Article
SR Electronic
T1 Asset Allocation in the Chinese Stock Market: <em>The Role of Return Predictability</em>
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 71
OP 83
DO 10.3905/jpm.2015.41.5.071
VO 41
IS 5
A1 Jian Chen
A1 Fuwei Jiang
A1 Jun Tu
YR 2015
UL https://pm-research.com/content/41/5/71.abstract
AB In this article the authors investigate asset allocation in the Chinese stock market from the perspective of incorporating return predictability. Based on a host of return predictors, they find significant out-of-sample return predictability in the Chinese stock market. They then examine the performance of active portfolio strategies—such as aggregate market timing as well as industry, size, and value-rotation strategies—designed to profitably exploit return predictability. Strong evidence is found by the authors that these portfolio strategies incorporating return predictability can deliver superior performance—up to 600 basis points per annum and almost double the Sharpe ratios—compared with the passive buy-and-hold benchmarks that ignore return predictability.TOPICS: Emerging, portfolio construction