Comparison of the Performances for Mean Revision Strategy Based on Three Underlying Assets

The predictability of funds returns has always been a hot topic in academic circles. Relevant scholars have carried out lot empirical studies and found that prices tend to revert the mean after rising falling for while. In view fund long-term return forecast problem, this study investigates performances three underlying assets, i.e ., ZhongOu Medical And Health Hybrid A, Fullgoal China Securities New Energy Vehicle Index (LOF)A, ZhongRong Coal Index. To be specific, starts with introducing theory reversion. Three analytical metrics were adopted quantitative analysis: Sharpe Ratio, Mean-Variance Price Discovery. Based on evaluations, mean-reverting stock is estimated from both theoretical perspectives. Besides, revision strategy are compared. According analysis, while; therefore, reversion phenomenon track more obvious. These results indicate suitable higher market maturity. shed light guiding further exploration choosing appropriate investing time strategy.