Research On Industry Allocation Strategies In China Stock Market

The industry allocation strategy is a strategy to get excess return of assets by changing industry allocation. As a kind of active investment strategy, the industry allocation strategy emphasizes income changes of industries from time span. It is a dynamic and long term process.On the basis of previous studies, this thesis attempts to integrate the macroscopic and microscopic methods into the industry configuration research.The front half of the paper analyses the background and characteristics of Chinese stock market from the macro, industrial and micro three aspects. A successful industry allocation strategy should consider both long term and short term. The long-term allocation should consider both economic cycle and industry structure in order to take advantage of value investing. The short-term allocation should consider lead lag relationship oriented in industries in order to get advantages of adopting a flexible mode of investment.The second part of the paper uses empirical research in order to get implementation details of long-term strategy and short-term strategy. Long term industry allocation should follow the next three ideas. Follow the concept of value investing. Take control of systemic risk and precaution systemic losses. Take advantage of economic cycle. Short term industry allocation should follow the next three ideas. Change allocation when the condition changes. Take the impact strength and duration as the reference. Concern about three types of index.