Research On Quantitative Investment Strategies Based On Alpha Reversal,Turnover Rate And Beta

June 2015,the stock market suffered heavy losses,from more than 5000 points down to 3000 points below.Since the downturn of the stock market happened,the fund's sales and development has been gaining attention.Quantitative investment in China is in its infancy,but the application of quantitative investment in recent years is steadily developing,that the scale is expanding,the team continues to grow.Market data show that currently that 60% of the funds using quantitative investment strategies on the market performance a good performance,these funds have outperformed the market,indicating that most quantitative funds is to beat the market to obtain excess returns.Currently the quantization products on the market is fundamental to achieve the desired return,however,existing in the current market quantitative funds in the use of quantitative investment strategies,or to industry to quantify the asset allocation and quantitative stock strategy based and factors are converging,so long will cause the homogenization of products,the income of the fund will be greatly reduced.Although a variety of quantitative products on the market,these products designing concept will relatively limited.Though product models are different,the designer's thinking is not enough divergence,innovation insufficient.The final product will face the homogenization of the situation,so the products have a new urgent need of brainstorming.This paper attempts to from the quantitative investment stock picking strategy of in theory research based on the attempt to establish a suitable for Chinese stock market stock selection model,proposed a new way of thinking,and validated,the final work is to design effective products.In this paper,we use the existing Alpha reverse investment strategy on the market,and then continue to optimize on the basis of Alpha's inversion strategy.After product yield analysis of the comparison between the two products are effective.At the same time the cumulative gain rate are significantly better than the market index and the alpha reversal of portfolio returns and the comparison found that the advantage of the two products is not low profit,but the interest rate doubled.Compared with the 4 products emerged on the market,the two products in this paper are not inferior.The progress of science,the development and popularization of computer technology,the reduction of transaction costs and so on,guarantee a bright future for quantitative products that the market is bound to receive more and more quantitative investment,investors will find that the value of quantitative investment.