Structured Fund Quantitative Investment Strategy And Application Research

From second half of 2014 to the first half of 2015,the structured funds with leverage shared the results of the Chinese bull market and became one of the most dazzling stars in stock market.However,due to the complexity of the structured funds leveraged and conversion mechanism,it's hard to fully understand the risk of it.It is worthy to strengthen the study of structured funds investment strategy so that investors could get more reference for structured funds investment.Goal of this paper is to explore a quantitative structured funds investment strategy to achieve the over market average return,and provide reference for structured funds investment decisions.First of all,through the literature study of the structured funds,quantitative investment strategy,Markowitz model of portfolio theory,moving average investment strategies,it provides a theoretical basis and direction guidelines for our structured fund quantitative investment strategy.Then,it discusses the operation,recruitment channels of structured fund and the design procedure of quantitative investment strategy for our investment strategy design preparation.After that,this article studies it from different aspects,such as the trading model,construction of asset allocation models and risk management.Finally,build the structured funds quantitative investment strategy model and implement it in the JoinQuant quantitative trading platform.Through the back-tested result,it proves the effectiveness of our quantitative investment strategy in investment structured funds.The main study result and contribution:1.In the trading model study,it proves the effectiveness of the moving average trading strategy in the SSE(Shanghai Stock Exchange)Composite Index through quantitative analysis.By applying this optimal trading method with critical parameters optimization,it acquires the over market average returns in structured funds investment.2.In the asset allocation model study,it's found that the Markowitz optimal portfolio theory application in the structured fund investment,fixed portfolio could not acquire higher return than the average investment portfolio.The article further innovatively studies the application of dynamic optimal portfolio in structured fund of China.Basing on the 8 month sampling to build the dynamical optimal portfolio,the empirical comparative analysis shows that the dynamic optimal portfolio is better than the average investment portfolio and the fixed optimal portfolio.It proves the effectiveness of Markowitz optimal portfolio theory application in the structured fund investment of China.3.In the risk management study,it further discusses the risk of special reduction descending conversion mechanism of structured fund and risk coping strategies,so that it could provide better instruction for the risk management of investment strategy.4.After implementing the structured fund quantitative investment strategy model,in the perspective of return on investment and risk for the back-tested result,the back-tested result and comparison shows the performance of this moving average structured fund trading strategies basing on dynamic portfolio theory of Markowitz optimal portfolio is better than the simple buying keeping strategy and the open fund in the market.It could acquire the over market average return with the similar risk as the market average during inspection period.It could fully meet the research goals and provide reference for structured fund investment decisions.