MuSu: A medium-term investment strategy by integrating Multifactor model with industrial Supply chain

Yunchuan Sun, Lu Liu, Jingyu Fang, Xiaoping Zeng and Zijun Wan
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Yunchuan Sun: International Institute of Big Data in Finance, Business School, Beijing Normal University, 19, Xinjiekouwaida Street, Haidian, Beijing 100875, P. R. China2The Experimental High school attached to Beijing Normal University, Erlong-Road 14, Xicheng, Beijing 100032, P. R. China
Lu Liu: International Institute of Big Data in Finance, Business School, Beijing Normal University, 19, Xinjiekouwaida Street, Haidian, Beijing 100875, P. R. China2The Experimental High school attached to Beijing Normal University, Erlong-Road 14, Xicheng, Beijing 100032, P. R. China
Jingyu Fang: International Institute of Big Data in Finance, Business School, Beijing Normal University, 19, Xinjiekouwaida Street, Haidian, Beijing 100875, P. R. China2The Experimental High school attached to Beijing Normal University, Erlong-Road 14, Xicheng, Beijing 100032, P. R. China
Xiaoping Zeng: International Institute of Big Data in Finance, Business School, Beijing Normal University, 19, Xinjiekouwaida Street, Haidian, Beijing 100875, P. R. China2The Experimental High school attached to Beijing Normal University, Erlong-Road 14, Xicheng, Beijing 100032, P. R. China
Zijun Wan: International Institute of Big Data in Finance, Business School, Beijing Normal University, 19, Xinjiekouwaida Street, Haidian, Beijing 100875, P. R. China2The Experimental High school attached to Beijing Normal University, Erlong-Road 14, Xicheng, Beijing 100032, P. R. China

International Journal of Financial Engineering (IJFE), 2023, vol. 10, issue 02, 1-26

Abstract: Most experts try their best to enhance investment performance of multifactor strategy by appending new useful factors or by optimizing existing factors. However, few people take the supply chain into consideration during multifactor strategy designing. Indeed, supply and demand relationships in the industry can reflect the running situation of the relevant companies, so the relationships would be efficient in stock choosing. In this work, we propose a midterm strategy of multifactor, named MUSU, by introducing the industrial supply chain into the multifactor model. We verify the model by taking the industry of new Energy Vehicle as Example. The results show that MUSU performs much better than the traditional models, no matter with market value choosing mechanism or not. It reveals that the introduction of supply chain in multifactor model considerably improves multifactor strategy’s profitability and stability.

Keywords: Multifactor model; new energy vehicle; quantitative trading; supply chain (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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DOI: 10.1142/S2424786322500347

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