A Research On The Asset Rptation Strategy-stocks Investment Funds Style Based On ANN

As China’s financial market becomes more sophisticated, theprocess of internationalization accelerates and the size of the securitiesinvestment funds continues to expand, style investment theory is paidmore and more attention by the majority of investors and financialresearchers. It becomes a hot issue of modern investment theory.This paper selects90open equity investment funds on China’sstock market for the sample.By using the method ofstyle-divide-first,these90funds can be divided into small cap type andmarket type in accordance with the size of their holdings to marketcapitalization (size). They also can be divided into value and growthtype in accordance with the size of stock weighted average price-earningsratio.By analyzing revenue difference of the Small/market cap type orvalue/growth type fund between2001and2011,we find that the yield ofsmall cap funds and market-type funds fluctuate around the mean in ainterchangeable manner. Neither of them can always maintain theadvantage. Market performance of value funds is significantly better thanthat of the growth funds, but growth funds,in a particular period, can gobeyond the value funds.This phenomenon indicates that style assetincome is cyclical on China’s securities investment fund market.Under the premise that style assets income on China’s securities market is cyclical, the author uses modern statistical analysis methods-artificial neural network method to establish the style capital gainsforecasting model, and predict earnings performance of small/marketstyle assets and value/growth style assets on China’s securitiesinvestment funds market between2010and2011.According toforecasting result, scale style asset rotation strategy and value/growthstyle asset rotation strategy are established.Comparing them with theperformance of passive investment strategy of holding a single styleassets, we found that:performance of active implementation of style assetrotation strategy on the China’s securities investment funds market issignificantly better than negative hold small/market-style investmentapproach; Performance of passive investment strategy of holding avalue-style asset is significantly better than that of the implementationof a positive value/growth style asset rotation strategy and passiveholder of the investment strategy of the growth style assets. All thisshows that the implementation of active style asset rotation strategy issuitable for China’s securities investment funds market instead of that ofthe positive value/growth type style asset rotation strategy.