{"title":"通过因子模型和基本面分析进行行业轮换","authors":"Runjia Yang, Beining Shi","doi":"arxiv-2401.00001","DOIUrl":null,"url":null,"abstract":"This study presents an analytical approach to sector rotation, leveraging\nboth factor models and fundamental metrics. We initiate with a systematic\nclassification of sectors, followed by an empirical investigation into their\nreturns. Through factor analysis, the paper underscores the significance of\nmomentum and short-term reversion in dictating sectoral shifts. A subsequent\nin-depth fundamental analysis evaluates metrics such as PE, PB, EV-to-EBITDA,\nDividend Yield, among others. Our primary contribution lies in developing a\npredictive framework based on these fundamental indicators. The constructed\nmodels, post rigorous training, exhibit noteworthy predictive capabilities. The\nfindings furnish a nuanced understanding of sector rotation strategies, with\nimplications for asset management and portfolio construction in the financial\ndomain.","PeriodicalId":501045,"journal":{"name":"arXiv - QuantFin - Portfolio Management","volume":"244 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2023-11-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Sector Rotation by Factor Model and Fundamental Analysis\",\"authors\":\"Runjia Yang, Beining Shi\",\"doi\":\"arxiv-2401.00001\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This study presents an analytical approach to sector rotation, leveraging\\nboth factor models and fundamental metrics. We initiate with a systematic\\nclassification of sectors, followed by an empirical investigation into their\\nreturns. Through factor analysis, the paper underscores the significance of\\nmomentum and short-term reversion in dictating sectoral shifts. A subsequent\\nin-depth fundamental analysis evaluates metrics such as PE, PB, EV-to-EBITDA,\\nDividend Yield, among others. Our primary contribution lies in developing a\\npredictive framework based on these fundamental indicators. The constructed\\nmodels, post rigorous training, exhibit noteworthy predictive capabilities. The\\nfindings furnish a nuanced understanding of sector rotation strategies, with\\nimplications for asset management and portfolio construction in the financial\\ndomain.\",\"PeriodicalId\":501045,\"journal\":{\"name\":\"arXiv - QuantFin - Portfolio Management\",\"volume\":\"244 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-11-18\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - QuantFin - Portfolio Management\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2401.00001\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Portfolio Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2401.00001","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Sector Rotation by Factor Model and Fundamental Analysis
This study presents an analytical approach to sector rotation, leveraging
both factor models and fundamental metrics. We initiate with a systematic
classification of sectors, followed by an empirical investigation into their
returns. Through factor analysis, the paper underscores the significance of
momentum and short-term reversion in dictating sectoral shifts. A subsequent
in-depth fundamental analysis evaluates metrics such as PE, PB, EV-to-EBITDA,
Dividend Yield, among others. Our primary contribution lies in developing a
predictive framework based on these fundamental indicators. The constructed
models, post rigorous training, exhibit noteworthy predictive capabilities. The
findings furnish a nuanced understanding of sector rotation strategies, with
implications for asset management and portfolio construction in the financial
domain.