A Quantitative Stock Selection Strategy Based On Alpha Mean Regression Characteristics

After more than two decades of continuous exploration and development,China’s capital market has grown from a seed to a towering tree.Today,as the capital market grows and develops,all players in the market hope to obtain high returns from this booming market.At the same time,as China’s capital market continues to improve and various financial derivatives have been launched,investors’ investment methods have changed,and the proportion of quantitative transactions has continued to increase.On April 16,2010,China officially launched the CSI 300 stock index futures,which provided domestic investors with a suitable financial derivative tool for hedging systematic risks in the stock market.The construction of hedge funds became possible.The main idea of this paper is to use Alpha strategy to construct a hedge fund portfolio.The Alpha strategy is derived from the capital asset pricing theory.This paper uses the initial single factor market model of capital asset pricing theory to obtain the Alpha value,and chooses stocks with positive Alpha value as the spot portfolio and stock index futures to construct hedge funds according to equal weight.The construction of hedge funds is divided into two cases: one is not to consider the risk of stocks within the stock portfolio to build hedge funds;the second is to consider the risk of stocks within the stock portfolio to build hedge funds.At the same time,this paper combines the mean return theory with Alpha earnings,explores the mean return characteristics of Alpha earnings,and combines it with the hedge fund earnings release period,so that hedge funds can obtain more stable and higher returns.For the sake of simplicity,this article only conducts related research based on the Alpha value calculated by the single factor market model.In practice,the theory of capital asset pricing has derived from the single-factor market model the F-F three-factor model and the F-F five-factor model.The research method of this paper can obviously obtain more stable and accurate Alpha value through F-F three-factor model and F-F five-factor model.Selecting hedge fund spot combination can make hedge fund obtain more stable and high excess return.