| As a convenient indexed investment and asset allocation tool,exchange-traded funds(ETFs)are hailed as one of the most important financial innovations of the 20th century.Since the Shanghai Stock Exchange launched my country’s first ETFs product at the end of 2004,the ETFs market has achieved rapid development.In recent years,stock ETFs have been issued and listed intensively,and the number of issuances in 2021 has doubled compared to the previous year.However,there are not many investment research literatures on my country’s stock ETFs market.This paper will take macro research as the guide,strategy research as the core,industry index research as the foundation,and multi-factor model as the tool.Through fundamental and technical analysis,Constructing a set of quantitative investment strategies for ETFs in the stock industry and using data to prove that this strategy can achieve excess returns in the market,providing a theoretical analysis test for the academic community in empirical asset pricing,and also showing industry investors based on the Business cycle.It is feasible to allocate different types of sector ETFs strategies according to the basic laws of change in my country’s A-share market,and further avoid investment risks through industry rotation.In the process of research,this paper conducts validity tests in the aspects of modern asset allocation theory,Merrill Lynch clock theory,quantitative investment theory and industry rotation strategy.First,this paper selects the year-on-year GDP growth rate and CPI data trend from January 2012 to December 2021 to observe China’s Business cycle,and obtains the division of the Merrill Lynch China version of the Business cycle.Secondly,this paper ranks the performance of the SWS primary industry index according to the stages of the Merrill Lynch clock divided by the Business cycle,and obtains the top five primary industry categories corresponding to the four recovery stages.Then,take the time interval of the recovery stage as the interval for screening stock-type sector ETFs,and conduct technical factor analysis on the top ten weighted constituent stocks of the ETFs under the industry category through a multi-factor model to obtain the liquidity and momentum and residual volatility of the ETFs fund.After that,the technical factors and the fundamental factors of the ETFs fund are combined into a comprehensive multi-factor strategy,so as to screen out the sector ETFs with low valuation,good liquidity and momentum for backtesting.Finally,comparing the returns of this strategy with those of the CSI 300 Index,it verifies the conclusion that the multi-factor strategy of rotating ETFs in the industry is more effective.Overall,this paper combines academic application with investment practice to construct a systematic strategy study that combines top-down macro analysis with bottom-up micro analysis.From a quantitative perspective,financial engineering research is put into practice to provide decision-making basis for asset allocation. |
