Quantitative Opportunity Selection Method Research Basing On The Liquidity Factor

The evelopment history of ETFs in domestic is not long,but the speed is very fast.For ETF investment,average investors prefer to use the buy-and-hold strategy,but the effect is not ideal,and the choice of buying and selling point are random,this is not conducive to maximize investment returns.So,in order to solve the problem of buying and selling point randomness,this article attempts to construct a variety of quantitative investment strategies based on the quantitative timing method of liquidity factors,is helpful to improve the return on investment and has certain practical significance.Meanwhile,with the development of the securities lending and borrowing business,there are 9 ETFs become the underlying securities for short.And this number is still expected to gradually increase,and even spread to all the ETFs.At present the related theory research is very limited in our country,so to researching the shorting mechanism of ETFs has a certain theoretical significance.On the basis of sorting out the existing methods of quantitative investment and considering the current development stage and the status quo of China's stock market,this article chooses the quantitative method is based on liquidity as a factor,which mainly related to monetary policy,Shibor interest rate,even the rate of return in government securities repurchase,etc.In this article,the structure of the main is divided into five parts.The first part is introduction,mainly elaborated the research background and significance,which is expected to study a new ETF investment strategy to achieve stable profit and is different from the more commonly used buy-and-hold strategy,in the case of the introduction of quantitative investment and short mechanism.At the same time,it also expounds the research methods,innovative points and research ideas of this paper.The second part is about quantitative investment related theory and literature review.Firstly,it reviewed the related theory of quantitative investment,then review Chinese and foreign literature from the two angles of ETF products and the operation strategy and quantitative investment theory and Application.The third part briefly elaborated the main content of the theoretical model,the related formula and the design of research.Then it is the design of empirical research,including the selection of sample data,and the liquidity factor index definition and related concepts,finally,briefly discusses the research.The fourth part is Details of the empirical research.First it puts forward the premise hypothesis and empirical research.Then using the 5 factor mobility and integration of long short strategy to calculate with sample data,considering the time delay problem situation,till resulting the results and analyzing.Then test the liquidity factor effectively,to ensure the credibility of the conclusion,then use the winning sequence strategy of capital allocation strategy of risk control and optimization,with the buy-and-hold strategy for comparison at last.Part five is the main conclusions in this article.Through the empirical test,we can find that the strategies which taking the deposit rates with time delay for a three-month lending or five kinds of liquidity factor integration as liquidity factors are slightly better than the buy-and-hold strategy.And the strategies which taking the money supply without delay or the deposit reserve rate without delay as liquidity factors that there are no obvious advantage.The strategies which taking the Shibor interest rate as liquidity factors are slightly worse than the buy and hold strategy.The strategies which taking the rate of return in government securities repurchase as liquidity factors are invalid.Therefore,the better way to use the quantitative opportunity selection method with liquidity factor is operating when the five kinds of liquidity factor integration judge the cycle starting point or three months after lending and deposit rates cycle starting poin appearing.The index's more robust than buy-and-hold strategy in the use of sequence strategy for winning the optimized allocation and it applies to build the investment strategy of ETFs in order to realize the stable profit.