Multi-Factor Quantitative Investment Strategy And Empirical Analysis

Quantitative investment is a kind of investment method, by which we study various kinds of trading strategies, search for efficient investment opportunities in the finance market and use the computers to realize these strategies. Compared to the traditional investment strategies, quantitative investment has many advantages:First of all, quantitative investment is more objective. The investment strategies are realized by many computer programs, which can avoid the impact of the subjective emotions about the data analysis by humans. Secondly, quantitative investment works more quickly. Quantitative investment quickly captures the useful information in the finance market by the accuracy and efficiency of the computer processing.With the spread of the concept of quantitative investment worldwide, quantitative investment has attracted more and more attentions from the securities workers in China. The researches in quantitative investment strategies and investment income have gradually become the hot issues for the investors. In China, the research in the quantitative investment has just started. Although there are still many areas we need to study more in China, compared with the researches from the Europe and the United States, there is still a very broad prospect in China’s stock market for quantitative investment. Meanwhile, China will continue to promote its financial reform and financial innovation, the perfection and development of the research on quantitative investment will make more contributions to China’s financial market.This paper explained the theory of the Alpha strategy, analyzed the characteristics of the Alpha strategy and provides many ways to seek Alpha in order to help investors to explore the incomes beyond the market returns. As to the empirical research, this paper focuses on all A shares in China’s stock market, the time series start from January 1,2010 to December 31, 2015.At first, we determined the possible factors which may have a big influence to the stock price of the companies, the factor selection mainly consider the following aspects: profitability, valuation, cash flow, growth, asset allocation, price momentum and danger signal (risk). Then according to the factor categories, we put all the suitable companies into five groups, those who didn’t meet the conditions were removed. This paper studied on different factors, if certain factors can make effect, such as the cash flow factor, we can study the quantitative investment in the single factor judgment based on the cash flow factor, which will probably bring excess returns. Finally, we take a number of factors into consideration, and do with the regression analysis, and then get the conclusion of this paper.