Research On Stock Selection Strategy Of Public Fund Based On Individual Stock Sentiment Factor

With the end of the three-year transition period,the Guiding Opinions on Regulating the Asset Management Business of Financial Institutions(hereinafter referred to as “the New Asset Regulations”)was officially implemented in January 2022.With the promotion of the New Asset Regulations,the asset management industry has become a popular one in industries,and the asset management products have also developed.However,the convergence of fund and the similarity of awkwardness imply that sentimental investment also exists in institutional investors.At the moment when the quality of investors still needs to be improved,the quantification and application of sentiment is a problem worth exploring.This paper constructs the market investor sentiment index through principal component analysis,and carries out quantitative research and stock selection strategy research on individual stock sentiment factor through Python and other technical methods.Specifically,this paper is divided into three stages.Firstly,the market investor sentiment index is constructed by principal component analysis,and the causal relationship between market sentiment change and economic change is tested by Granger test.It is found that economic change has a significant one-way explanation for market sentiment change.Then,individual stock sentiment factor is created on the stock pool by the market investor sentiment index.Through single factor test,it is proved that the absolute value of individual stock sentiment factor has stock selection ability in part.Finally,the individual stock sentiment factor is added to the multi-factor stock selection model to form a strategy.And the effectiveness of the strategy,the effectiveness of the stock sentiment factor in model optimization and the difference between the strategy and fund returns are compared and analyzed.It is believed that the multi-factor stock selection strategy constructed in this paper has higher returns and lower drawdown,but the fund still has its short-term stock selection advantages.In the above research,this paper points out that the quantification of the market investor sentiment needs to be constructed for different periods,and the structure of historical sentiment should be avoided to explain the current market sentiment.Simultaneously,this paper innovatively provides an idea of using the market investor sentiment index to construct the individual sentiment stock factor,which is proved effective in stock selection.By adding this factor to the multi-factor stock selection model for strategic research,it also proves the application ability of this factor in the multi-factor model.