A study of beta asymmetry and its application in asset management = 貝塔非對稱性及其在資產管理中的應用研究

Abstract

The Chinese capital market is still immature, and the synchronization of stock prices is relatively obvious, but different assets have different sensitivities to market ups and downs, they show obvious asymmetry to market ups and downs. Based on this phenomenon and its connotation in the capital market, this study attempts to construct an asymmetric Capital Asset Pricing Model (CAPM), which is based on the basic model for the study of asset pricing in modern finance. Then this study decomposes the market factor into two different states of market upside and downside, calculates the market beta gap indicator based on the exposure of assets to different market states. The value of the beta gap indicator in the stock market and public fund market is empirically investigated using May 1, 2013-May 31, 2023 as the study interval. It also proposes corresponding improvement solutions based on position management and other methods, with a view to bringing positive practical effects to fund managers in the field of equity asset management. The study finds that the beta gap indicator has significant stock or base selection ability. Regarding the application of the Beta Gap Index in the equity market, taking the CSI 300 Index and CSI 500 Index enhancement as examples, under the optimal position adjustment frequency and regression window width, the Beta Gap50 strategy portfolio shows significant excess return compared to the benchmark index, with cumulative return and annualized return significantly outperforming the major market indices, and the Sharpe and Sortino Ratio also have significant obvious advantages. Regarding the application of beta gap indicator in the public fund market, taking equity funds as an example, under the optimal frequency of position adjustment and regression window width, the FOF portfolio Beta Gap10 outperforms the bias fund index in terms of cumulative return and annualized return, and the Sharpe and Sortino Ratio also have certain advantages. The results of the empirical study show that the beta gap indicator has significant practical value in both the stock market and the public fund market. Since the beta gap equity strategy and FOF fund strategy are weak in controlling retracement and volatility, this study further adopts a combination of "one-size-fits-all" timing, flexible position management, and conditional position management techniques. The results show that all three position management techniques have significant effects in reducing retracement and volatility, and the conditional position management technique performs the best when considering the performance of the strategy portfolio. The beta gap indicator strategy is effective in both the equity market and the public fund market, and has certain application value and practical significance in conducting asset pool enhancement.