主成分分析在投资组合中的应用——以中芯概念股为例

Application of Principal Component Analysis in Investment Portfolio——Taking SMIC Concept Stock as an Example

在内部市场和外部环境的压力下,我国股市近期呈现波动趋势,单个股票投资的风险呈上升趋势(此处的风险包含股价上涨的积极方面,也包括股价下降的消极方面),使用投资组合的方式投资能够改善此现象。运用主成分分析法,提选出2021年一季度中芯概念股票财务表现排名靠前的5只股票,构建投资组合。研究发现,投资组合的收益率相对于单个股票来说更加平稳,且组合收益率接近于上证指数的收益率。此方法对挑选股票池中股票构建投资组合也有一定参考作用。

Under the pressure of internal market and external environment,China’s stock market has shown a fluctuating trend in recent two years,and the risk of single stock investment shows an upward trend(the risk here includes both the positive aspects of stock price rise and the negative aspects of stock price decline).Using portfolio investment can improve this phenomenon.Using the principal component analysis method,this paper selects the top five stocks in the financial performance of SMIC concept stocks in the first quarter of 2021 to build a portfolio.It is found that the return of the portfolio is more stable than that of a single stock,and the return of the portfolio is close to that of the Shanghai index.The method used in this paper can also be used as a reference for selecting stocks in the stock pool to build a portfolio.