The Alpha Arbitrager Research On Chinese Stock Market

At present, China’s financial market innovation, financial derivatives aregradually accepted by the market, but in recent years our country stock market’soverall performance is very low.In this case, we analyzed a new investment way inthe Chinese market, alpha arbitrage investment. Alpha concept was first proposed inthe capital asset pricing model, we will expand the concept of the alpha, we call allthe risk neutral cases which can produce excess returns of investment vehicles alphaarbitrage.We will analyze an alpha arbitrage asset management product-Guotai Tianqi,due to the lack of relevant data, this product only introduces the operation of theproduct.we embody this product, on the basis of the operation mode of the product.We use multi-factor mode select eligible factors, according to these factors to selectthe stock portfolio, we select derivatives through comparing with the shorting wayin Chinese financial market.We make out the ratio of capital stock portfolio andderivatives by eliminating beta value. Through our stock and stock futures marketin the historical data we examine the effects of alpha arbitrage, through ourfinancial markets nearly10years data to judge the alpha arbitrage means’feasibilityof the current financial market in our country. We compare the alpha arbitrageproducts with the traditional way of investment.Meanwhile we will analyze the riskof its advantage. We find out that alpha strategy have a wonderful performance inour stock market recent year. Meanwhile,as a longterm investment tool,alphastrategy has a wonderful market value.The innovation of this article is through the designing an alpha product to testthe alpha arbitrage’s availability in the Chinese market, hoping to bring someenlightenment to asset managers.