Industrial Wheeling Strategy Based On Dual Optimized Value Investment Model

Value investment started in the 1940 s,and has rich practice and theoretical discussion in the domestic and foreign markets.Since 2017,the Chinese market will become more mature and stable,and value investment will become more important.In recent years,people pay more attention to style investment,in which industry rotation is the focus of investors.For example,in 2016,cyclical and non-cyclical industries change frequently,and in 2017,cyclical stocks are strong,which shows the research value of the phenomenon of rotation.Based on the double optimization value investment model,this paper designs and improves the industry rotation strategy,which has certain practical significance.This paper tries to build a comprehensive strategy which has long-term effectiveness and can identify the strong industries in the short and medium term according to the rotation of cycle and non-cycle industries and the theory of value investment.The design steps of the strategy are as follows: Firstly,a nine-factor stock selection model with lower price-to-book ratio is established,but the benchmark model is not effective in Chinese stock market.Therefore,three methods are used to improve the benchmark model,i.e.,relaxing stock selection conditions by appropriately reducing indicators,screening the most effective factors by analyzing the intrinsic relations of factors,and eliminating " bad" stocks by using MACD to discriminate trends,and then obtaining a double-optimized value investment model;The second step is based on logistic model to identify and predict the cyclical and non-cyclical industry rotation phenomenon.The identification part is carried out by positive and negative changes of the index monthly income difference and building a " relatively perfect" rotation model.In the prediction part,logistic model is used to screen the eight variables which are the most significant and most representative of industry rotation from the three types of factors affecting cycle and non-cycle industry rotation,and rolling prediction model is built to predict the industry rotation probability of the test set outside the sample from January 2016 to December 2017.Compared with the actual market rotation situation,the prediction accuracy of the model reaches 62.5 %.Finally,the paper combines the double optimal value investment model with the industry rotation prediction results to form the final strategy.The results show that in 2016 and 2017,the total return of rotation strategy of double optimization model industry can reach 127.58 %,annual return is 51.20 %,sharp ratio is 1.5797,maximum retreat is 16.146 %,which is obviously superior to single cycle industry strategy(annual return is 34.58 %,sharp ratio is 1.17)and single non-cycle industry strategy(annual return is 21.97 %,sharp ratio is 0.80,maximum retreat is 21.37 %).Based on the value investment model,this paper proposes to optimize the model and improve the industry rotation strategy.The performance of strategy is better than that of single industry and index,which has good practical value.