| dc.description.abstract | The trading strategy proposed in this study is to use the net purchases of stocks by institutional investors in mutual funds as buy signals, and to use technical analysis based on moving averages and trading volumes as auxiliary indicators for trading. The performance of the trading strategy is measured by time-weighted rate of return (TWRR) and Sharpe ratio, based on the analysis of data from January 1, 2013 to December 31, 2022.
Based on the empirical trading backtesting results, the trading strategy proposed in this study yielded an average total return of 6.01% over a ten-year period (2013-2022). Looking at individual years, the best performing year was 2016 with a return of 11.25%, while the worst performing year was 2022 with a return of -5.23%. By calculating the time-weighted average return for each month within the 120-month (10-year) period, the average monthly trading return was obtained. The strategy′s Sharpe Ratio, calculated by comparing the average monthly trading returns with risk-free interest rates, was determined to be 0.4522. Comparing the strategy′s performance with a simulated benchmark trading based on 0050, it was observed that, overall, the strategy had better average monthly excess returns compared to the benchmark. However, the benchmark trading based on 0050 had a higher Sharpe Ratio, indicating better performance in terms of risk-adjusted returns.
Therefore, following the continuous net buying signals from mutual funds and investing in the corresponding individual stocks may potentially yield a certain proportion of positive returns. However, it is important to note that the strategy also comes with significantly higher risks.. | en_US |