Study On The Application Situation And Effect Of Market-Neutral Strategy In China

In2010，Securities lending and borrowing and stock index futures start piloting in China，someinvestment firms began to try to use the short-selling mechanism to build portfolio and makenew products. Among them，market-neutral products increased rapidly in nearly two years andhave outstanding performance.Through normative analysis，this article analysis the basic principle，the risk and benefitsfeatures of market-neutral strategy，and also analysis the application of market-neutral strategyin China and introduced three main institutions.Through empirical analysis，this article collected the data of nearly two years of market-neutralproducts， using performance evaluation mode，correlation test，T-m model，H-m model andC-L model to estimate the effect of market-neutral strategy. The results reflect that most of themarket-neutral strategy products can outperform the market index and get a certain absolutepositive returns in weak market，but worse in strong market. Most of the correlations of returnon the sample products and market index are low.The evaluation results of two products bythree management capability models reflect that the sample products lack of stock-pickingability，which is also the risk management capability of the products.This article made a conclusion is that market-neutral strategy in China is unable to play fullrole， strategy effect is not obvious，too. Based on this conclusion，this article gives some briefsuggestions and summarizes the deficiencies and the future development direction of this paper.