Research On Applying Cross Section Type Multi-factor Model In CSI 300 Index

With the success of quantitative investment technology and ideas,quantitative investment in China has also been bloomingamong more and more financial investors.Since twenty-first Century,the basic concept of quantitative investment and related technologies are gradually emerging in the market,become an important issue of investment institutions.The huge volume of China's capital market,as well as the increasingly perfect product structure,provides a huge space for the development of quantitative investment in china.With the deepening of the financial reform in our country,it is an important task to study and explore the more specialized quantitative investment methods.Cross section type multi-factor model designed in this paper is to build a multi factor model of the international mainstream as the theoretical basis for selection and modeling by risk factors at the time of the section of income to the various risk factors of the risk analysis.On this basis,we can determine the investment weight of the pure factor combination,construct the investment trading strategy,and expect to get the excess return in China's stock market.Research on the cross section of pure factor model will have certain guiding significance for investors.At present,the domestic use of quantitative investment models are based on the multi factor model framework,thus further improvement and research for the factor modeling method of China's stock market is a very important field of quantitative investment proposition.In the first part of this paper,the development of quantitative investment and factor model in China is stated.In the second part,we points out the similarities and differences between the pure factor model and the multi factor model,and the innovation and advantage of the model.The third part is a detailed description and explanation of the construction method of the pure factor model.The fourth part is based on the Shanghai and Shenzhen stock index,the model back to test the application,to evaluate whether it is stable over the earnings of the risk.In the end,the model test result will reach 39.65%,and the yield will be 30.6%over the Shanghai and Shenzhen Stock 300 Index,and the risk is more controllable.In the process of constructing the model,the correlation of the factors and the stability of the benefits are discussed.In this paper,we focus on the practice and application of the cross section type multi factor model.In addition,the paper discusses the method of using stock index futures hedging,and introduces the method of stock index futures hedging into portfolio allocation.The introduction of stock index hedging also plays an important role in improving the practicability of the cross section pure factor.