Empirical Study Of The Alpha Strategy Quantitative Stock In China SME Board

With the introduction of stock index futures, China’s stock market can only do moreunilateral situation has become history, stock index futures provides the necessary tools forthe alpha investment strategy. Looking at the domestic and international investmentexperience, when the capital market is relatively weak validity, alpha investment strategy canget persistent excess returns, and our small plates is an emerging market, the relatively lowefficiency of the market, this paper aims to in the study of alpha strategy based on quantitativestock market in China is feasible for small plates.First, we use historical data to study the relationship between the company indicators andthe company’s stock excess return, in order to filter out high alpha stocks; secondly, bybuilding a model to test the alpha investment strategy ‘s feasibility.Through the financial analysis of the May2007to December2011period of81types ofstocks and non-financial indicators and stock excess returns, we found that by using the ROEgrowth, current asset turnover, ownership concentration2. cash flow ratio of these fourindicators on the stock filter we can get high-yield stocks, then build a portfolio based onthese four indicators in January2012to October2013period to evaluate the performance ofthe portfolio, and finally found in the Chinese market, small plates can get more objectiveexcess returns through stock selection and proper quantification short index futures, shortselling mechanism conducive to the introduction of market stability, improve mobility andincrease investment income Aggressive investors. Relative to the stock index futures yield,the alpha strategies portfolio yield more stable, effectively avoiding investment income "rollercoaster" phenomenon.