TITLE:
Performance of Quantitative Investment Strategies in Different Market Cycles: A Comparative Analysis
AUTHORS:
Jiaxu Li
KEYWORDS:
Quantitative Investment, Market Cycle, Strategy Performance, Risk Management, Portfolio Theory
JOURNAL NAME:
Open Journal of Social Sciences,
Vol.12 No.12,
December
27,
2024
ABSTRACT: The cyclical fluctuations of financial markets have long been an important topic in investment theory research. Quantitative investment strategies, due to their systematic and objective nature, are gaining increasing attention in the investment field. This study focuses on the theoretical performance differences of quantitative investment strategies in different market cycles, aiming to assess their adaptability and robustness. The research deeply analyzes the theoretical foundations of typical quantitative strategies such as momentum strategies, value investing, and statistical arbitrage, and discusses their expected performance and risk characteristics in bull markets, bear markets, and oscillating markets. The study finds that different strategies may exhibit significant performance differences in various market environments. For example, momentum strategies are theoretically expected to excel in clear-trend bull markets but may face challenges at market turning points. Value investment strategies, on the other hand, are theoretically expected to show stronger defensive characteristics in bear markets. Based on these theoretical analyses, this study proposes a conceptual framework for dynamically adjusting strategy allocation according to market cycles to optimize the overall performance of investment portfolios. This research not only deepens the understanding of the essence of quantitative strategies but also provides new insights for constructing robust investment theories across full market cycles.