Factor-Scoring Ranking Strategy in S&P 500: A Quantitative Approach to Stock Selection and Performance Optimization

DOI

10.2991/978-94-6463-748-9_92How to use a DOI?

Keywords

Factor-Scoring Ranking Strategy; Technical Factors; Investment Decision-Making

Abstract

This paper investigates the factor-scoring ranking stock selection strategy within the US S&P 500 stock market, employing a quantitative approach that integrates multiple technical factors to generate trading signals. Focusing on a period that mitigated the influence of extreme events, the analysis provided a nuanced examination of the market’s long-term trends and the efficacy of investment strategies. The research scrutinized the predictive capabilities of various technical factors through a rolling window framework and assessed the impact of different window sizes on strategy performance. Findings indicated that the strategy yields positive annualized returns across all selected stocks, yet it was accompanied by significant volatility, particularly for specific stocks. The study highlights the significance of factor selection and the dynamic adjustment of thresholds in optimizing strategy performance. By suggesting the integration of qualitative insights and advanced methodologies, such as machine learning for factor selection and dynamic thresholding, the research pointed to potential enhancements to the strategy. Enhancing the strategy with these elements is expected to bolster its capacity to manoeuvre through the intricacies of financial markets, consequently fortifying its resilience and flexibility to facilitate prudent investment choices.

Copyright

© 2025 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Xuan Ye
PY  - 2025
DA  - 2025/07/03
TI  - Factor-Scoring Ranking Strategy in S&P 500: A Quantitative Approach to Stock Selection and Performance Optimization
BT  - Proceedings of the 2025 International Conference on Financial Risk and Investment Management (ICFRIM 2025)
PB  - Atlantis Press
SP  - 840
EP  - 848
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-748-9_92
DO  - 10.2991/978-94-6463-748-9_92
ID  - Ye2025
ER  -