策略专题：指数增强投资之低波动投资策略

Core Insights - Empirical research indicates the existence of low volatility anomalies across various securities markets globally [1] - The low volatility investment strategy focuses on volatility as the core factor, supplemented by small-cap and low-price factors to construct a low volatility portfolio [1] - The strategy's backtesting results show an annual compound return of 37.3798%, an alpha of 28.5336, a beta of 4.2255, a maximum drawdown of 26.84%, and a Sharpe ratio of 1.0542, indicating excellent performance [1] Volatility - Volatility is a key indicator measuring the extent to which a set of data deviates from its average, typically calculated using standard deviation [4] - Stock price volatility is defined as the standard deviation of stock returns, reflecting the magnitude of price fluctuations and is widely recognized as a primary measure of stock risk [4] Low Volatility Anomaly - The capital asset pricing model suggests that stock returns are derived from risk premiums, leading to the belief that "high risk equals high return" and "low risk equals low return" [6] - However, extensive empirical studies reveal that low volatility stocks often yield higher returns than high volatility stocks, contradicting traditional risk-return assumptions [6] - Explanations for the low volatility anomaly include lottery effect, representativeness bias, overconfidence, and institutional effects [6][7] Low Volatility Investment Strategy - The strategy is built around the premise that low volatility anomalies are prevalent, using volatility as the core factor [8] - It emphasizes the importance of investor psychology and market performance of investment targets, suggesting the use of trading characteristic factors as auxiliary factors [8] Strategy Construction - The sample space for the strategy is based on the CSI All Share Index constituent stocks [9] - The selection method involves sorting stocks by volatility, market capitalization, and closing price to retain those meeting low volatility, small-cap, and low-price criteria [10][11][12][13] - The strategy employs equal weight allocation for stock positions [15] - Trading is designed to occur during the auction phase, with a stop-loss threshold set at -10% for each period [16][17][18] Strategy Evaluation - The performance benchmark for the low volatility investment strategy is the CSI All Share Index [19] - Over a 19-year period from May 2005 to April 2024, the CSI All Share Index increased by 395.78%, while the strategy achieved a remarkable increase of 41638.09% [25] - The strategy recorded positive excess returns in 47 out of 57 trading periods, resulting in a success rate of 82.46% [30] - The strategy's net value curve and annual performance evaluations indicate consistent outperformance against the benchmark [23][33] Rolling Period Evaluations - The rolling 3-year and 5-year evaluations show that the strategy consistently achieved positive excess returns across all periods, with success rates of 94.12% and 100% respectively [40][47] - The average excess return for the rolling 5-year periods was 595.89%, demonstrating the strategy's effectiveness over extended time frames [47]