Research On The Quantitative Strategy Of The Industry Chain Investment

The purpose of industry chain investment is to establish portfoliosmade up with companies across the industries in an industry chain, so as todiminish the relative risks among the industries of the chain and obtain abetter investment result on the measurement of returns and risks, which hasbeen verified by the former research. However, industry chain investmentitself is a complicated process, and any manual method of stock pickingwould result in a lack of efficiency. Quantitative investment as aninvestment method, applies mathematics and computer technology toinvest and trade financial products with disciplines, which is scalable andcan be appropriately applied to the industry chain investment. With thisidea, this paper implements a featured industry chain quantitative strategyresearch platform, and conducts the research of quantitative strategy basedon the industry chain investment. We use the quantitative factor-model topick the stocks from the industries in an industry chain, and we design a multi-factor model based on the single factors which have goodperformances during the backtesting scenarios. The paper uses variousmarket indexes including CSI300index, Hang Seng China EnterprisesIndex, Shanghai Composite Index and so on to compare with theperformance with the strategy, and also incorporates out-of-sample testingand statistical sampling to demonstrate the effect of quantitative strategybased on the industry chain investment. In addition, the paper talks aboutthe essence of investment performance measurements, and utilizes othermeasurements to measure the performance of the above strategy. In the last,we give the performance of quantitative industry chain investment in thecondition of short-selling the corresponding market index, and it showsthat excluding the market risk, the strategy is very stable and has strongprofitability.