宏观背景下运用多因子模型的投资策略研究
Research on Investment Strategy Using Multi-Factor Model in Macro Background

【目的】为了有助于投资者在认识宏观经济环境、监控市场趋势之下根据行业事实做出决策、选择正确的投资时机以及优化资产配置，从而实现收益最大化。【方法】在2023年的经济大背景下，首先选择表现活跃且具备利好因素的板块，并以此为基础构建一级股票池，其次运用多因子模型对股票基本面进行筛选构建二级股票池，运用技术面因子对其打分，最后根据确定的权重方法进行加权综合，构建出有效的投资组合。【结果】经过深入研究与分析，我们发现通过此种方法所构建的投资组合在市场表现上显著优于市场整体水平，这充分证明了该策略的有效性与实用性。【结论】这一研究成果不仅为投资者提供了新的投资思路与策略，同时也为推动中国量化投资市场的进一步发展提供了有力的支持。
[Objective] In order to help investors to make decisions in understanding the macroeconomic environment, monitor the market trend according to the industry facts, choose the right investment opportunity and optimize the asset allocation, so as to achieve the maximum income. [Method] In the context of 2023 economy, firstly, choose the sectors that are active and have favorable factors, and on this basis to build primary stock pool, secondly, use multi-factor model of stock fundamentals screening to build secondary stock pool, use technical factors to score; finally, based on the established weighting method, a weighted synthesis is performed to develop an effective investment portfolio. [Results] After in-depth research and analysis, we found that the portfolio constructed by this method significantly outperformed the overall market level in the market, which fully proved the effectiveness and practicability of this strategy. [Conclusion] This research result not only provides investors with new investment ideas and strategies, but also provides strong support for promoting the further development of China’s quantitative investment market.