Research On The Improvement Of Quantitative Stock Selection Model Of Asset Management Company A

Quantitative Investment is a process which adopts certain mathematical model and computer technology to realize investment philosophy and strategies.Currently,as active investment brings many uncertainties while quantitative investment pursues absolute benefit,more and more investment companies begin to involve in the area of quantitative Investment.Furthermore,the quality of quantitative stock selection plays a crucial role in the performance of portfolio.Therefore,it is necessary to establish a complete stock selection system to improve the investment performance and achieve the target.Quantitative stock selection is an essential part for the investment department of the company.The thesis conducts a research on the quantitative stock selection of Assets Management Company Aand proposes advice on its improvement,that is,to establish the system of quantitative stock selection model oriented by the ratio between profits and risks,based on the analysis of the existing problems in the model.It is hoped that this research can help Company A improve the internal quantitative stock selection level and investment performance,further intensify the corporate competitiveness and provide reference for the model in other enterprises meanwhile.The overview of the thesis is as follows:The Chapter 1 "Introduction" briefs the background of the selected topic,research significance of the quantitative stock selection as well as the methodology adopted in the research and main contents thereafter.The Chapter 2 "Literature Review" elaborates the development process of quantitative investment both abroad and at home,relevant materials about multiple-factor quantitative stock selection and necessary theories on multiple-factor quantitative stock selection model,including the selection and process of the factor,the establishment and test of model,the quantitative selection of time and hedging,etc.Besides,the chapter briefs the difference between this study and the previous studies.The Chapter 3 "Case Introduction" presents the background of Company A and its current stock selection model as well as the necessity of improvement in its model.The Chapter 4 "Case Study",based on the theory of quantitative stock selection model,analyses the problems and relevant reasons existing in the stock selection model of from five aspects: quantitative factor analysis,transaction analysis,position adjustment analysis,systematic risk analysis and position risk analysis.The Chapter 5 "Suggestions",based on the existing problems in the model,combining five factors of model optimization with the practical situation of Company A,proposes the appropriate suggestions on the weakness of the current model strategy in Company A.The Chapter 6 "Conclusion" summarizes the thesis,offers reference for other enterprises within the industry and give limitations and direction for further study.