Footnote:
In: International Journal of Financial Engineering 2023
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 28, 2023 erstellt
Description:
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 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