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利用看跌期权 p 指数风险指导股票策略

文章 arXiv papers · 作者: Xinzhao Xie et al.
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总结

本文使用欧式看跌期权构建 p 指数风险度量，用于评估股票投资策略。该指数表示为确保指定未来日期达到最低收益，每单位受保金额所需的保险成本。研究将其用于 SSE 50 和标普 500 在 2018–2023 年期间的数据，比较持有期不同的公允价格、动量和反向策略；对中国股票还按经济行业和情绪状态进行比较。

报告结果因市场和策略而异。对于 SSE 50，公允价格策略在一周和一个月期限表现最佳，材料行业股票的报告收益领先。在一周期限内，基于 p 指数的反向策略和动量策略会根据股票效率及情绪状况呈现不同排名。对于标普 500，有效率较高的股票延续动量，而效率较低的股票呈现均值回归；报告中排名靠前的策略年化收益相近。这些发现仅适用于所述时期、市场和策略定义。文中未提供不确定性估计，也未证明这些排名在样本期之后仍然成立。

核心观点

  • p 指数使用欧式看跌期权价格估算为最低未来收益投保的成本。
  • 研究比较 SSE 50 和标普 500 在 2018–2023 年期间的股票策略。
  • 报告中的中国市场结果因持有期限、行业和情绪状态而异。
  • 在报告所述 US 样本中，效率较高的股票延续动量，效率较低的股票则呈现均值回归。
  • 策略排名仅适用于该样本，所提供的摘要没有给出不确定性估计。

标签

股票期权风险管理动量均值回归中国市场
全文
# Stock Investment: The p-index Approach


# Stock Investment: The p-index Approach









This paper has used European put option to construct the p-index risk measure to evaluate the performance of different investment strategies in China's SSE 50 index and the US SP500 index during 2018-2023. The p-index measures the insurance fee for each insured dollar to guarantee that the asset achieves at least a delta rate of return on a specified future date. It is found that with the fair price strategy, one-week and one-month holding periods can earn more, and among seven economic sectors, materials sector stocks generated highest annualized rates of return: 11.04% (one-week period), 11.93% (two-week period) and 10.18% (one-month period). With momentum and contrarian strategies of one-week holding period, the p-ratio-efficient-contrarian strategy produced the highest annualized rate of return (9.97%), followed by the p-index-inefficient-momentum strategy (9.01%) and the p-index-efficient-contrarian strategy (6.48%), the MCIRS method employing the p-index consistently delivered higher returns than its beta-based approach, and efficient (outperforming) stocks failed to sustain their momentum while inefficient (underperforming) stocks exhibited no mean reversion. It is also found that the p-index-efficient-contrarian strategy outperformed in low-sentiment (low-volume) regimes, while the p-index-inefficient-momentum strategy outperformed during high-sentiment (high-volume) periods. For the five hundred stocks of the US S&P 500 index during 2018-2023, it is found that efficient stocks sustained their momentum while inefficient stocks exhibited mean reversion. The p-index-efficient-momentum strategy produced the highest annualized rate of return (3.69%), followed by the p-ratio-inefficient-contrarian strategy (3.67%) and the beta-efficient-momentum strategy (3.48%).

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。