Paper Infomation
Quantitative Investment Study of Crowding Factor from Sector Rotation Perspective
Full Text(PDF, 1686KB)
Author: Sichen Ye
Abstract: This paper focuses on the crowding phenomenon existing in the A-share market. By fitting the most effective market crowding indicator through relevant validity tests of crowding proxy variables, high-quality industries and individual stocks in rotation using multi-factor composite crowding indicator then selects are selected to construct a dynamic stock pool. A return test of the crowding factor strategy is conducted using quantitative backtesting software to prove its validity and relevant ability. The risk of overheating in various industries is quantitatively analyzed through the composite congestion indicator, so as to construct industry allocation strategy. The continuous congestion indicators are constructed from the perspective of industry index and constituent stocks, and the validity of congestion indicators is verified using the logistic restriction regression method, in order to explore the indicator that can stably reveal the overheating state of market trading. After backtesting and optimization, the final composite congestion indicator is formed, according to which safe and risky industries are screened, and the final industry allocation strategy is constructed, which proves the uniqueness of congestion in the field of market trading.
Keywords: A-share Market, Sector Rotation, Congestion Proxy Variables, Quantitative Trading
References:
[1] 吴文超. 中国A股市场行业轮动现象分析--基于动量和反转交易策略的检验[J]. 金融理论与实践, 2014,000（009）:111-114.
[2] 吴宇阳. 股票市场因子拥挤度研究与实证分析[D]. 东北财经大学, 2020,015-020.
[3] 刘睿. 基于因子拥挤度的组合配置策略研究[D]. 上海财经大学, 2021,010-021.
[4] 石川等. 投资因子方法与实践[M]. 北京:电子工业出版社, 2020,001-360.
[5] 陈强. 机器学习与 python 应用[M]. 北京:高等教育出版社, 2020,001-360:高等教育出版社, 2020,377-456.
[6] 梁勇. 收敛率（BIAS）指标在报表分析中的应用研究[J]. 中国总会计师.
[7] 林晓明, 陈晔。华泰多因子系列之二: 华泰单因子的估值因子检验[R]. 华泰证券, 2016.
[8] 林晓明, 李聪, 刘志成, 王家兴. 拥挤指数在行业配置中的应用[R]. 华泰证券, 2020.
[9] 林志鹏, 刘福兵. 因子时点、因子动量、因子离散度、因子拥挤度的三个尺度[R]. 国盛证券, 2019.
[10] 尹明, 刘福兵．多因子系列之一:对多因子选股体系的思考[R]. 国盛证券, 2019.
[11] 于明明, 徐寅. 系统化资产配置系列之八．基于因子的资产配置研究[R]. 兴业证券, 2020.
[12] Chue,T., "Omitted Risks or Crowded Strategies: Why Mutual FundComovement Predicts Future Performance.", FMA working paper, 2015.
[13] Daniel,K., Moskowitz,T., "Momentum crashes."Journal of Financial Economics,2016,122,221-247.
[14] Pojarliev, M., Levich,R.M., "Detecting crowded trades in currencyfunds.”,Financial Analysts Journal,2011,67(1),26-39.
[15] Zhong,L., Ding.X.,Tay.N., "The impact on stock returns of crowding by mutual funds.” The Journal of Portfolio Management,2017,43,87-99.