| Because of the superior performance, quantitative investment has attracted extensive concern of investors, and overturned the traditional investment philosophy in the past 40 years, being credited by the investment community as the Investment Revolution. With the rapid development of computer technology, this investment mode has progressed and developed even faster. Many asset management companies that employ quantitative investment strategy as their main investment technology have become the leaders of their industry. This shows that the quantitative investment concept has been accepted by people thoroughly and widely and the quantitative investment technology has also gradually become one of the mainstream investment patterns.As for the quantitative investment, it started late at a low level, and was always relatively backward in the research on strategy, the development tools, the talents and the trading technology compared with our international counterparts. But through the joint efforts of all parties, the quantitative investment in our country is developing rapidly and has also achieved good results today. According to the statistics, by the first half of 2014, there had been more than 200 privately offered quant funds,87 public offering quant funds and nearly 200 quantitative brokerage financial products in China’s capital market. Apart from the numerous miniaturized separately managed accounts and limited partner investment companies, etc. These quantitative products are managing nearly one hundred billion yuan. From the proportion of quantitative products to financial funds, the number of the existing quantitative strategy methods in the capital market and the popularity and recognition of quantitative investment philosophy, we can see that quantitative investment has still very large development space in our country. As a necessary stage in the development of capital market, quantitative investment is also a trend that displays the improvement and development of market efficiency.In this paper, the multi-factor stock selection model and the sector rotation multi-factor stock selection model are constructed, and the CSI 300 stock pool data are employed to carry on the empirical analysis. The empirical results show that both the multi-factor stock selection model and the sector rotation multi-factor stock selection model can bring more returns than the CSI 300 index. Also, this paper proves from many different angles that the investment efficiency of the sector rotation multi-factor stock selection model which contains industry factor is better than that of the multi-factor stock selection model. In particular, the second chapter mainly introduces the development of quantitative investment, the relevant concepts of monetary cycle and the division of the economic cycle. After that, it demonstrates the effectiveness of the sector rotation tactics and the basis for the non-periodic division of the periodic industry based on the economic logic. Finally, it illustrates the constructing steps of the multi-factor stock selection model in detail. As the ending, the third chapter provides the empirical analysis for the methods and principles that have been interpreted in the second chapter. According to the results of the empirical analysis, the sector rotation multi-factor stock selection model is superior to the multi-factor stock selection model in either the probability of triumphing over the benchmark index or the information ratio and the accumulative returns. In the process of empirical analysis, we find that the better defense effect of the non-cyclical industry during the economic downturn is the key to the superior performance of the sector rotation multi-factor stock selection model. |
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