A comprehensive study on smart beta strategies in the A-share market

Lixin Cai, Yong Jin, Qiulin Qi, Xin Xu

Research output: Journal article publicationJournal articleAcademic researchpeer-review

3 Citations (Scopus)


In this article, we explore how smart beta strategies are applied in the Chinese A-share market. Specifically, we empirically examine several popular smart beta strategies, including mean-variance optimization, minimum-variance portfolio, equal weighting, risk parity strategy, and fundamental indexation, and we do so using the Shanghai Stock Exchange (SSE) 50 index and SSE sector indices as our comparison benchmarks. We find that all smart beta strategies outperform these benchmarks from year 2006 to year 2015, and that all smart beta strategies outperform the SSE 50 index by an average of 2.57% per year. In turn, these strategies improve the Sharpe Ratio by 46.2% on average.

Original languageEnglish
Pages (from-to)6024-6033
Number of pages10
JournalApplied Economics
Issue number55
Publication statusPublished - 26 Nov 2018


  • Chinese A-share market
  • Smart beta strategies
  • Value-weighted index

ASJC Scopus subject areas

  • Economics and Econometrics

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