Implementation of Index Rebalance Strategy Based on CSI800

Abstract

Index rebalancing is an investment strategy that takes advantage of changes in the components of specific indexes. It involves taking long positions when new assets are added and short positions when previous assets are removed. While this strategy has been widely applied in constructing hedge funds, most of the existing applications focus on indexes such as Russel or S&P 500, which primarily cover the US stock market. With the rapid development of the Chinese economy, there is a need for similar applications in the Chinese stock market. This paper selects CSI800, the representative index of the Chinese stock market, as the benchmark and constructs a portfolio based on it. The results of this study are intended to provide insights into the establishment of hedge funds in the Chinese stock market.