The Applicability of Time-varying Sharpe Ratio to Chinese Stock Market-Take CSI 300 Index as an Example

摘要

According to China's national conditions, this paper cites the factors related to the volatility of Shanghai and Shenzhen stock markets as explanatory variables and uses time-varying Sharpe ratio proposed by Robert Whitelaw to analyze the trend of CSI 300 index. The results show that the modified time-varying Sharpe ratio can predict the trend well, and the leading indication of the index's bottom reversal is more obvious. At the same time, the investment strategy constructed by using the ratio also achieves the desired profit. These results demonstrate the important role of time-varying Sharpe ratio in controlling risks and improving investment performance.