The strategy team of securities companies has played an important role in the development of China's securities market, not only promoting the development of the market, but also providing investors with important investment decision-making reference. However, whether its research report and industry configuration recommendations are really effective needs further exploration and evaluation. In this article, we will explore the judgment of the Securities Research Institute Strategy Group and the validity of the industry allocation, and how to deal with their opinions and suggestions.
Through the construction of corresponding backtests, we found that the comprehensive market judgment and industry allocation suggestions of the strategy group of the Securities Research Institute of the whole market are indeed of great positive help to investment. All investors can take this information as an important reference when investing. However, there are still many problems in the current research, such as missing data, too short data duration, and too subjective emotional scoring, etc. It is hoped that improvements can be made in follow-up research.
Table of contents
2 Status of the Strategy Group of the Securities Research Institute
3 The judgment of the strategy group and the validity of the industry allocation
3.1 The strategy group judges the accuracy of market conditions
4 Conclusions and Recommendations
1 introduction
The strategy team of China Securities Company is one of the important forces in China's securities market. Its main responsibilities are to analyze the macroeconomic situation and market environment, propose investment strategies and industry allocation suggestions, and provide customers with a full range of investment consulting services. Since the 1990s, with the continuous development and growth of China's securities market, the strategy team of securities companies has gradually emerged. The earliest securities company strategy group was mainly based on economic theory and quantitative analysis methods, and put forward investment suggestions by studying economic fundamentals and company financial data. With the continuous development of information technology, the strategy team of securities companies has gradually introduced new technologies such as big data and artificial intelligence to improve the efficiency and accuracy of research. In recent years, the rapid development of China's securities market and the promotion of reform and opening up policies have further strengthened the status and role of the strategy team of securities companies. More and more investors begin to rely on the investment advice of the strategy group to make decisions, which also promotes the professional and diversified development of the strategy group.
According to data from the Securities Association of China, as of the end of 2021, the strategy team of Chinese securities companies has covered more than 90% of securities companies, including more than 600 strategy analysts. In addition, as of the end of 2021, more than 8,000 institutional clients have opened strategic research services, and the coverage and influence continue to expand. According to statistics, in recent years, the research reports issued by the strategy groups of major securities companies have exceeded tens of thousands, forming a securities research report system with great market influence and becoming one of the important research forces in China's capital market.
In short, the strategy team of securities companies has played an important role in the development of China's securities market, not only promoting the development of the market, but also providing investors with important investment decision-making reference. However, whether its research report and industry configuration recommendations are really effective needs further exploration and evaluation. In this article, we will explore the judgment of the Securities Research Institute Strategy Group and the validity of the industry allocation, and how to deal with their opinions and suggestions.
2 Status of the Strategy Group of the Securities Research Institute
The strategy group of the securities research institute refers to a group of experts within the securities company, which is mainly responsible for formulating investment strategies and researching and analyzing information such as securities market conditions, industry trends and company performance, so as to assist customers to make correct investment decisions. With the continuous development of the securities market, the role of the strategy group of the Securities Research Institute has attracted more and more attention from the market.
The role of the strategy team of the Securities Research Institute mainly includes the following aspects:
- Market Trend Forecast: The strategy group predicts future market trends through research and analysis on macroeconomic situation, policy trends, industry development trends, etc., and provides investment references for customers.
- Industry analysis: The strategy team conducts in-depth research on the market structure of various industries, the operating conditions of major companies, and industry development trends, etc., to provide customers with industry configuration suggestions.
- Portfolio optimization: The strategy group provides clients with optimal investment portfolio recommendations by analyzing factors such as clients' investment needs and risk tolerance, so as to maximize the value-added of assets.
- Research on financial products: The strategy team conducts research and analysis on various financial products, provides investment advice and risk warnings for customers, and provides customers with more comprehensive investment choices.
- Market report writing: The strategy team regularly writes market reports based on market trends, industry changes and other factors to provide customers with the latest market intelligence and investment advice.
Through the above business, the strategy group provides customers with comprehensive and professional investment advice and risk warnings, helping customers grasp investment opportunities during the investment process, reduce investment risks, and realize investment value-added. The analysts of the strategy group of the Securities Research Institute provide the market with in-depth analysis and research on the economy, industry and companies by publishing research reports, and have an important influence on the market.
On the one hand, the analysis report of the strategy group may trigger an effect similar to public opinion in the investment community by exporting opinions to institutional investors and individual investors, thereby affecting the market. On the other hand, the analysis of the market by experts in the strategy group belongs to the top-level group in the securities market, and their analysis reports are usually in-depth and forward-looking. Therefore, if we can combine these analysts' judgments on market conditions and industry allocation suggestions to invest, we may be able to obtain considerable returns. This article upholds this point of view, and organizes the research reports released by the strategy groups of major brokerage research institutes on the WeChat public account platform every Sunday to form a weekly sentiment score, weekly industry configuration recommendations, and weekly market style configuration recommendations. Statistical data, and using data structuring factors, for backtesting.
3 The judgment of the strategy group and the validity of the industry allocation
3.1 The strategy group judges the accuracy of market conditions
Collected the reports sent by the strategy groups of major securities companies every weekend starting from 2021-08-16 (including Industrial Securities, GF Securities, Haitong Securities, Tianfeng Securities, China Merchants Securities, China Securities, Guosheng Securities, Minsheng Securities, Cinda Securities, CICC, Huaxi Securities, Essence Securities and Guojun Securities), extract core views and industry configuration data from them, and rate the sentiment of each report. This is a subjective score, with 1 being extremely pessimistic and 5 being Neutral, 10 is extremely optimistic. The picture below shows the core viewpoint extraction and sentiment scoring of the market strategy group for 20210816-20210822.
*It should be noted that due to the long duration of data collection, the data during 2022/9/26-2022/11/20 is missing, and the data from 2022/11/21-2023/3/19 has not been configured by industry statistics.
The study found that the rise and fall of the Shanghai and Shenzhen 300 Index next week is significantly positively correlated with the sentiment of the research report released by the strategy group on Sunday. The graph of the rise and fall of the Shanghai and Shenzhen 300 next week, sentiment judgment, and this week's sentiment changes is shown below .
Figure 1. The rise and fall of the Shanghai and Shenzhen 300 Index next week is significantly positively correlated with the sentiment of the research report released by the strategy group on Sunday
When the sentiment judgment score is high, the probability of the market rising next week is greater, and when the sentiment change is positive, the probability of the market rising next week is also greater.
Then build a strategy backtest, use sentiment changes as factors, hold the CSI 300 index portfolio when the sentiment changes are positive, and short positions when the sentiment changes are negative. The returns of the strategy relative to the CSI 300 are as follows.
Figure 2. The excess return of the Shanghai and Shenzhen 300 Index is positive after the strengthening
The dotted line box in the above figure belongs to the time period when the data is missing. The position during this period is the default short position. It can be seen that except for the sharp drop during this period, there is no sharp drop and retracement in other time periods. The excess return curve There is a clear upward trend. This shows that using the sentiment indicators reported by the strategy group over the weekend to build strategies can obtain excess returns in the market.
3.2 The effectiveness of the industry configuration of the strategy group and the effectiveness of the market style judgment
In addition to forecasting market trends, another important task of the strategy group is to make industry configuration recommendations. If we can carry out excellent industry allocation, or even only need to control the broader market style, we can continue to obtain more returns from the previous excess returns of the CSI 300.
Collected the industry configuration recommendations of the strategy group research reports of major securities companies every weekend starting from 2021-08-16, summarized them according to the first-level industry classification of Shenwan, and calculated the recommended industries belonging to different market styles and calculate the proportion. The figure below shows the recommended statistics of the market strategy group industry configuration for 20210816-20210822.
*It should be noted that due to the long duration of data collection, the data during 2022/9/26-2022/11/20 is missing, and the data from 2022/11/21-2023/3/19 has not been configured by industry statistics.
First, judge the effect of market style control, using 931447.CSI (Technology Pioneer), 510150.sh (Consumer ETF), 510650.sh (Financial Real Estate ETF) and 510110.sh (Cycle ETF) as the benchmarks of the four styles Market data, then build a strategy backtest, use the proportion of the style of the recommended configuration industry as a factor, hold the corresponding index or ETF when the proportion rises, and short the position when the proportion declines, the excess returns of the strategy relative to their respective benchmarks are as follows.
Figure 3. There is a significant positive correlation between the rise and fall of technology pioneers and the proportion of financial real estate in the recommended allocation industry
Figure 4. There is a significant positive correlation between the rise and fall of financial real estate ETFs and the proportion of financial real estate in the recommended allocation industry
Figure 5. There is a significant positive correlation between the rise and fall of financial real estate ETFs and the proportion of financial real estate in the recommended allocation industry
Figure 6. The rise and fall of cyclical ETFs is significantly positively correlated with the proportion of financial real estate in the recommended allocation industry
Figure 7. Excess return after index enhancement (super-corresponding index)
Figure 8. Excess return after index enhancement (exceeding CSI 300)
The dotted line box in the above figure belongs to the time period when the data is missing. The position during this period is the default short position. It can be seen that except for the sharp drop during this period, there is no sharp drop and retracement in other time periods. The excess return curve There is a clear upward trend. Moreover, the excess returns of three of the four styles of trading have exceeded the CSI 300.
In order to judge the effectiveness of industry allocation, the number of recommended industry allocations per week was counted and arranged from high to low, and then the backtest was constructed on the basis of rising sentiment (Figure 2 backtest results), and industry allocation was carried out, while No longer just buy the Shanghai and Shenzhen 300 index portfolio. The results of holding positions in 1 industry to 5 industries were tested respectively, and the top five industries every week are as follows.
| first day of the week |
end of week |
0 |
1 |
2 |
3 |
4 |
| 2021/8/16 |
2021/8/22 |
electronic |
National defense industry |
Electrical Equipment |
Equipment |
building materials |
| 2021/8/23 |
2021/8/29 |
electronic |
National defense industry |
Electrical Equipment |
chemical industry |
Equipment |
| 2021/8/30 |
2021/9/5 |
Electrical Equipment |
non-bank finance |
National defense industry |
Non-ferrous metals |
computer |
| 2021/9/6 |
2021/9/12 |
non-bank finance |
building materials |
National defense industry |
Electrical Equipment |
mining |
| 2021/9/13 |
2021/9/19 |
Electrical Equipment |
National defense industry |
non-bank finance |
chemical industry |
Non-ferrous metals |
| 2021/9/20 |
2021/9/26 |
Electrical Equipment |
non-bank finance |
utilities |
mining |
Equipment |
| 2021/10/11 |
2021/10/17 |
Electrical Equipment |
mining |
car |
Equipment |
real estate |
| 2021/10/18 |
2021/10/24 |
Electrical Equipment |
car |
electronic |
mining |
National defense industry |
| 2021/10/18 |
2021/10/24 |
car |
Electrical Equipment |
non-bank finance |
National defense industry |
food and drink |
| 2021/11/1 |
2021/11/5 |
Electrical Equipment |
food and drink |
car |
National defense industry |
non-bank finance |
| 2021/11/15 |
2021/11/19 |
food and drink |
car |
National defense industry |
Electrical Equipment |
non-bank finance |
| 2021/11/22 |
2021/11/26 |
Electrical Equipment |
food and drink |
car |
National defense industry |
utilities |
| 2021/11/29 |
2021/12/3 |
Electrical Equipment |
electronic |
food and drink |
National defense industry |
non-bank finance |
| 2021/12/6 |
2021/12/10 |
National defense industry |
food and drink |
computer |
car |
Electrical Equipment |
| 2021/12/13 |
2021/12/17 |
National defense industry |
computer |
car |
food and drink |
household appliances |
| 2021/12/20 |
2021/12/24 |
computer |
real estate |
Electrical Equipment |
car |
electronic |
| 2021/12/27 |
2021/12/31 |
computer |
car |
National defense industry |
Electrical Equipment |
real estate |
| 2022/1/4 |
2022/1/7 |
Electrical Equipment |
computer |
real estate |
car |
communication |
| 2022/1/10 |
2022/1/14 |
Electrical Equipment |
car |
computer |
National defense industry |
real estate |
| 2022/1/17 |
2022/1/21 |
Electrical Equipment |
real estate |
car |
bank |
household appliances |
| 2022/2/7 |
2022/2/13 |
non-bank finance |
bank |
computer |
real estate |
building materials |
| 2022/2/14 |
2022/2/20 |
real estate |
computer |
building materials |
bank |
communication |
| 2022/2/21 |
2022/2/27 |
computer |
real estate |
bank |
car |
building materials |
| 2022/2/28 |
2022/3/6 |
computer |
real estate |
bank |
Electrical Equipment |
building materials |
| 2022/3/7 |
2022/3/13 |
utilities |
Electrical Equipment |
communication |
electronic |
bank |
| 2022/3/14 |
2022/3/20 |
Electrical Equipment |
electronic |
real estate |
bank |
computer |
| 2022/3/21 |
2022/3/27 |
real estate |
bank |
Agriculture, forestry, animal husbandry and fisheries |
Electrical Equipment |
Medical Biology |
| 2022/3/28 |
2022/4/3 |
real estate |
Electrical Equipment |
building materials |
bank |
computer |
| 2022/4/4 |
2022/4/10 |
real estate |
building materials |
bank |
Agriculture, forestry, animal husbandry and fisheries |
chemical industry |
| 2022/4/11 |
2022/4/17 |
real estate |
building materials |
Agriculture, forestry, animal husbandry and fisheries |
bank |
Building Decoration |
| 2022/4/18 |
2022/4/24 |
real estate |
bank |
building materials |
Electrical Equipment |
Agriculture, forestry, animal husbandry and fisheries |
| 2022/4/25 |
2022/5/1 |
real estate |
building materials |
bank |
Electrical Equipment |
food and drink |
| 2022/5/2 |
2022/5/8 |
Electrical Equipment |
real estate |
food and drink |
bank |
building materials |
| 2022/5/9 |
2022/5/15 |
real estate |
building materials |
bank |
Electrical Equipment |
food and drink |
| 2022/5/16 |
2022/5/22 |
real estate |
building materials |
Electrical Equipment |
bank |
food and drink |
| 2022/5/23 |
2022/5/29 |
Electrical Equipment |
real estate |
building materials |
National defense industry |
bank |
| 2022/5/30 |
2022/6/5 |
Electrical Equipment |
real estate |
National defense industry |
building materials |
Agriculture, forestry, animal husbandry and fisheries |
| 2022/6/6 |
2022/6/12 |
Electrical Equipment |
real estate |
car |
National defense industry |
Agriculture, forestry, animal husbandry and fisheries |
| 2022/6/13 |
2022/6/19 |
Electrical Equipment |
car |
National defense industry |
food and drink |
Agriculture, forestry, animal husbandry and fisheries |
| 2022/6/20 |
2022/6/26 |
Electrical Equipment |
National defense industry |
car |
Agriculture, forestry, animal husbandry and fisheries |
Medical Biology |
| 2022/6/27 |
2022/7/3 |
Electrical Equipment |
food and drink |
Medical Biology |
car |
National defense industry |
| 2022/7/4 |
2022/7/10 |
Agriculture, forestry, animal husbandry and fisheries |
Medical Biology |
National defense industry |
Electrical Equipment |
car |
| 2022/7/11 |
2022/7/17 |
Electrical Equipment |
Medical Biology |
Agriculture, forestry, animal husbandry and fisheries |
National defense industry |
food and drink |
| 2022/7/18 |
2022/7/24 |
Medical Biology |
National defense industry |
food and drink |
Electrical Equipment |
car |
| 2022/7/25 |
2022/7/31 |
Medical Biology |
car |
Electrical Equipment |
National defense industry |
food and drink |
| 2022/8/1 |
2022/8/7 |
Electrical Equipment |
food and drink |
Medical Biology |
National defense industry |
computer |
| 2022/8/8 |
2022/8/14 |
car |
Medical Biology |
National defense industry |
computer |
Electrical Equipment |
| 2022/8/15 |
2022/8/21 |
Electrical Equipment |
computer |
Medical Biology |
car |
electronic |
| 2022/8/22 |
2022/8/28 |
Electrical Equipment |
food and drink |
Medical Biology |
car |
Agriculture, forestry, animal husbandry and fisheries |
| 2022/8/29 |
2022/9/4 |
Electrical Equipment |
Medical Biology |
National defense industry |
food and drink |
computer |
| 2022/9/5 |
2022/9/12 |
Electrical Equipment |
real estate |
car |
National defense industry |
food and drink |
| 2022/9/12 |
2022/9/18 |
Electrical Equipment |
real estate |
car |
food and drink |
National defense industry |
| 2022/9/19 |
2022/9/25 |
Electrical Equipment |
National defense industry |
real estate |
food and drink |
electronic |
| 2022/9/26 |
2022/10/2 |
computer |
media |
communication |
electronic |
National defense industry |
| 2022/10/3 |
2022/10/9 |
computer |
media |
communication |
electronic |
National defense industry |
| 2022/10/10 |
2022/10/16 |
computer |
media |
communication |
electronic |
National defense industry |
| 2022/10/17 |
2022/10/23 |
computer |
media |
communication |
electronic |
National defense industry |
| 2022/10/24 |
2022/10/30 |
computer |
media |
communication |
electronic |
National defense industry |
| 2022/10/31 |
2022/11/20 |
computer |
media |
communication |
electronic |
National defense industry |
| 2022/11/21 |
2022/11/27 |
Electrical Equipment |
National defense industry |
real estate |
food and drink |
electronic |
| 2022/11/28 |
2022/12/4 |
Electrical Equipment |
National defense industry |
real estate |
food and drink |
electronic |
| 2022/12/5 |
2022/12/11 |
Electrical Equipment |
National defense industry |
real estate |
food and drink |
electronic |
| 2022/12/19 |
2022/12/25 |
Electrical Equipment |
National defense industry |
real estate |
food and drink |
electronic |
| 2023/1/30 |
2023/2/5 |
Electrical Equipment |
National defense industry |
real estate |
food and drink |
electronic |
| 2023/2/5 |
2023/2/12 |
Electrical Equipment |
National defense industry |
real estate |
food and drink |
electronic |
| 2023/2/13 |
2023/2/19 |
Electrical Equipment |
National defense industry |
real estate |
food and drink |
electronic |
| 2023/2/20 |
2023/2/26 |
Electrical Equipment |
National defense industry |
real estate |
food and drink |
electronic |
| 2023/2/27 |
2023/3/5 |
Electrical Equipment |
National defense industry |
real estate |
food and drink |
electronic |
| 2023/3/6 |
2023/3/12 |
Electrical Equipment |
National defense industry |
real estate |
food and drink |
electronic |
| 2023/3/13 |
2023/3/19 |
Electrical Equipment |
National defense industry |
real estate |
food and drink |
electronic |
| 2023/3/20 |
2023/3/26 |
computer |
media |
communication |
electronic |
Electrical Equipment |
| 2023/3/27 |
2023/4/2 |
computer |
household appliances |
Medical Biology |
communication |
Building Decoration |
回测结果如下图，在进行了行业配置之后获得了更高的超额收益，配置前1和前2行业时能获得最高的超额收益，这与一周内不会有太多行业进行轮动有关（2个行业每周或许是一个比较合理的数量）。
图9、进行行业配置后实现了更高的超额收益
4结论和建议
通过构建相应的回测，我们发现，综合全市场券商研究所策略组的市场行情判断和行业配置建议确实对投资有极大的正向帮助。各位投资者完全可以将这一方面的信息作为投资时的重要参考。但当前研究还存在诸多问题，如数据有缺失、数据的时长太短、情绪打分过于主观等，希望在后续研究中能够进行改进。
*一个可能的设想，可以结合爬虫和chatgpt等工具，将各大券商的研究所策略组的每一篇报告都进行实时爬取并用chatgpt工具对情绪进行更为客观的打分，对所推荐配置的行业进行识别，并输出结构化数据进行交易。
欢迎对该研究感兴趣的童鞋评论、私信交流~