Quantitative Investment And Empirical Research On Its Performance

Do not need to listen to the message, nor with the insider news, but just rely on the data, and models. In securities investment, quantitative investment is quite a different method of analysis compared with fundamental analysis, technical analysis. It is more based on computer technology and mathematical modeling to complete the investment strategy and investment philosophy process. As we all know, China’s stock market is always enduring long bear but short bull due to a variety of factors, resulting a big loss of confidence of many investors on the stock market, especially after the2008financial crisis in the Chinese stock market。But at the same time, the US math wizards-self-proclaimed "Model Sir "James Simons, by virtue of its excellent quantitative investment capacity for20consecutive years,reaped a60%income rate; never experienced a loss, won" the king of hedging "title in the international investment community. In China since2004August27th when the first quantitative funds appeared, there are59quantitative funds available in total to the end of2013, out of the overall size of about50billion yuan funds. Judging from this, quantitative investment is still at the starting line. The research on the effect of quantitative investment strategies and on rare domestic quantitative funds recently mushroomed. Although China’s quantitative funds market has big gap compared with the developed European countries with respect to the number and size, with introduction of more newly-produced products,gradually improved regulatory regime investors’deeper literacy in financial market, I believe China will embrace a vigorous development stage on quantitative investment several years later for its limitless prospects in the domestic market.Quantitative investment seeks to process information using scientific methods, and emphasizes discipline, information processing and investment decisions that can help people overcome the weakness of human nature. Observation on domestic investment strategy for quantitative funds reveals a serious homogeneous investment targets phenomenon. The reason that most fund managers are referring to a benefit via multi-factor stock selection model easily leads to a overlook on the fundamental reasons, industry factors and market style conversion also. There is no doubt that all these factors have a significant impact on investment performance and during bear period, fund managers are more likely to reduce losses through lightening up. As China launched index futures in2010, investors can use the stock index futures to increase operating income in neutral strategies. However the current imperfect trading mechanism, investor’s lack on knowledge and the restraint to freely use all financial derivative products prohibit the maximum return. The same situation also appears in the margin market:the limit of financing rates and amount make some strategies to seek profit in a bear market seem impossible.This paper starts from the style characteristics of the stock market to briefly describe the style of management strategies available in the market. Then it proceeds to conduct empirical test on generally controversial style reversion phenomenon in the market, and the empirical evidence show that the market style reversion phenomenon does exist. Furthermore, it uses the Bollinger strategy in style reversion management in stock market by characterizing the difference of market sentiment by the logarithm of the amplitude. Articles makes some optimization on multi-factor stock selection model,vitally proposes a reasonable way to select effective factors in various conditions based on market-driven style from CSI100and CSI500stock pool. According to all previous work done, it combines, multi-factor stock selection model and Bollinger strategy.Empirical evidence gets returns beyond the benchmark index. Article perfectly ends up with results show that the model is an effective model which can achieve more than the market average yields and can provide a reasonable proposal for the fund’s investment strategy.