Author(s)

Cheng Ruoyu ¹, Ji Cheng ¹, Meng Xianglin ¹

Affiliation(s)

¹ China Reform Securities Co., Ltd., Beijing, 100020, China

Corresponding Author

Cheng Ruoyu

ABSTRACT

Based on the quarterly updated financial indicators, we defined the anchor stock for value and growth under GICS classifications. According to industry, style, structured data, regulation and trading environment, we built a benchmark model for active portfolio in A shares. This paper finds that this benchmark model achieved higher monthly return with lower risk compared to passive index. In the meantime, this model can better perform value investment strategy in the long-run. The active growth model realized a significant higher return than passive index during the year 2014-2015.

KEYWORDS

Active portfolio benchmark, anchor stock of value, anchor stock

CITE THIS PAPER

Cheng Ruoyu, Ji Cheng, Meng Xianglin, Active Portfolio Benchmarking Model: Optimizing Investment Decisions Based on Sector-Anchored Individual Stock Strategies under Strong Constraints. Financial Engineering and Risk Management (2024) Vol. 7: 70-76. DOI: http://dx.doi.org/10.23977/ferm.2024.070409.

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