中国投资策略-中国A股市场第3部分：在全球投资组合中的作用和阿尔法机会

Equity Research Quantitative Portfolio Strategy 7 June 2022 Barclays Capital Inc. and/or one of its affiliates does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision. PLEASE SEE ANALYST CERTIFICATION(S) AND IMPORTANT DISCLOSURES BEGINNING ON PAGE 17. Restricted - Internal FOCUS China A-share Market Part 3: Role in Global Portfolios and Alpha Opportunities • In the last report of our three-part series introducing China’s A-share market, we examine the market’s role in global portfolios and as a new venue for alpha opportunities. • We find that an allocation to A-shares leads to better performance of global equity-only and equity/bond portfolios, with most of the improvement being a result of its low correlation with other markets, rather than its strong in-sample historical performance. • Return correlations between the A-share and other major equity markets have been consistently below 0.5 during the past 17 years, partly because of the previous restriction imposed on foreign access. • However, the market is still likely to be an important diversifier after restrictions are relaxed, as there are various other factors contributing to the low correlation. • We argue that the market’s high retail investor participation could expose it to behavioural biases and lead to alpha opportunities. • In particular, we show that individual stock returns in the A-share market can be predicted by their past price and volume trends. This predictability could be related to the market’s high retail participation because the same predictability is weaker in the US, which has lower retail participation, and stronger in small- and mid-cap A-share names, which are more favoured by retail investors. • The trend predictability suggests that while a traditional momentum dynamic is absent in the A-share market, past price and volume are still informative of future returns when incorporated appropriately. Arik Ben Dor(v) +1 212 526 7713 arik.bendor@barclays.com BCI, US Jingling Guan(v) + 1 212 526 3623 jingling.guan@barclays.com BCI, US Xiaming Zeng(v) +1 212 526 6782 xiaming.zeng@barclays.com BCI, US www.barclays.com (v) This author is a registered US equity research analyst who is subject to US FINRA Rule 2241 and who may write debt research under FINRA Rule 2242. Barclays | China A-share Market 7 June 2022 2 Introduction This is the third in a series of three reports introducing China’s A-share market. You can read part one in the series here and part two here. China’s A-share market is an important venue when seeking exposure to the country’s growing economy, which is currently the second largest in the world, about 70% the size of the US, and contributing about 18% of global GDP in 2020.1 The mar