The Empirical Research Of Momentum Alpha Strategy Based On The A-share Market

Quantitative investment is a method which integrates mathematical model and computer program into the investment. Compared with overseas countries, the study and financial products of quantitative investment is quite backward in our country. And Chinese capital market is different from the overseas market, the system is still not perfect, and the investment ability of investors is in different level. With the popularity of Internet Finance, the age of everyone financial transaction is coming, people have high requirement the of investment strategy and investment products. In this situation, it is necessary to make the research of quantitative investment and strategy in Chinese capital market.The momentum alpha strategy is a very important one in quantitative investment. The theoretical foundation of this strategy is based on the behavioral finance theory. The strategy consider that the stock which has returns in the ranking period, will continue to rise in a certain period of time, so that investors could earn more money the market, and get the excess earnings. At present, the domestic scholars haven’t made the uniform conclusion on whether the alpha momentum investment strategy will make the investors earn excess returns. In recent years, the condition of Chinese capital market has changed a lot, the use of different data in different period may lead to the opposite conclusion. Therefore, it is necessary to use recent data to design the model in the research on momentum alpha strategy.In this paper, we use the Shanghai and Shenzhen 300 stock index from January 4th, 2010 to October 9th,2015 to calculate the yield, use the momentum alpha strategy to make the model and use R language to realize the model. We get the conclusion that using momentum alpha strategy surly can get the excess earnings. And according to the results of the modeling analysis, this strategy investment in the bull market will be more effective. After the completion of the model, it is found that there are some differences between the model investment and the actual investment. So, I improved the model based on the original one. According to the portfolio construction in the improvement of the model, the same can be drawn that using the momentum alpha strategy can earn the excess return in Chinese A-share market. And compared to the bear market, the momentum alpha strategy can bring greater returns in a bull market.