The Choice Of Securities Portfolio Based On Industry Rotation

Quantitative investment has shown its amazing performance,and has aroused widespread concern of investors since its inception.It analyses stocks from many aspects,such as the macroeconomic,market environment,industry style,fundamentals and technicals of stocks,and investors’ emotional factors,to build a mathematical model which can explore the alpha profitability from market.The process of trade is completed by computers,which makes high-frequency transactions possible,can prevent the subjective emotional interference from investors in traditional investment,and makes investment decisions more rational and accurate.Quantitative investment has been up to 40 years of development process in overseas,and is increasingly mature in the 40 years of development.For our country,it is still in its infancy,still needs to explore the quantitative investment strategies that fit characteristics of China’s stock market.In addition,based on the background that China’s stock market is still a non-effective market,and the introduction of the registration system will increase the number of stocks,which will make that ordinary investors identify the quality of stocks more difficultly,China’s stock market is very suitable for the development of quantitative investment strategy.This paper starts from the phenomenon of industry rotation in A stock market,analyses the reasons of industry rotation from two aspects of the economic cycle and the currency cycle,combines multi-factor stock selection model which is commonly used in quantitative investment,divides the industry into cyclical industry and non-cyclical industry,finds out the effective factors of the two industries,and tries to use the model of Support Vector Machine based on Particle Swarm Optimization to identify dominant industry.It’s aim is to build an investment portfolio based on the phenomenon of industry rotation to optimize the profitability of multi-factor stock selection model.The demonstration result shows that the multi-factor stock selection strategy based on industry wheeling can well overcome the multi-factor stock selection strategy based on whole industry,multi-factor stock selection strategy based on fixed industry style,the reverse industry multi-factor stock selection strategy and the benchmark index,and get considerable excess return.And it also reduces the dependence on the industry fundamentals and corporate information,avoids the greater uncertainty caused by macroeconomic impact on different industries,and reduces the risk of investment in a degree.