An Empirical Analysis Of Quantitative Stock Selection Model Based On CSI 300

Quantitative investment models were used in western countries in the1970s and have revealed huge potential in giving investment suggestions. As the development of Chinese capital market and financial derivatives, the time is ripe for quantitative investment models to be put into use in domestic financial market. This article takes Alpha strategies as principal, CSI300index future and its constitute stocks for empirical research, through models such as factor’s analysis to build stocks selection model. And in consideration of the phenomenon which different industry’s stocks always get higher earnings by turns, this paper also use industry-rotation model to allocate assets. At last CSI300index future is applied to hedging the risk of index fluctuate in order to get steady yield.