Research On Quantitative Investment Portfolio Strategy Based On Alpha

After the financial crisis,both international capital markets and the domestic capital market have been impacted seriously.During the crisis,the traditional investment methods have showed its weakness and shortness.Quantitative investment,however,which relies on mathematical finance,behavioral finance,computer science and so on,has been shining strongly all the way in capital market and maintains prominent yields.In this paper,the author uses the multi-factor model to select the investment portfolio with high investment value in A shares.In total,20 factors,including valuation factor,profit factor,growth factor,cash flow factor,working ability and debt paying ability factor,are introduced in the model.Through the research on the relationship between the stock price fluctuation and the factor variation,the factors that can affect the stock return rate are selected out.Then we use them to pick out high-quality stocks and establish the quantitative investment portfolio with them,expecting the combination can surpass the market.In the foundation of the investment model,the author also uses the Shanghai and Shenzhen 300 stock index futures and CSI 500 stock index futures to hedge the investment model with the Ordinary Least Square regression model,so as to obtain excess returns alpha.Among them,the introduction of the hedging method hugely improves the practicability of the model.Finally,it turns out that in the 7 quantitative investment models which have been constructed,most of the investment portfolios are satisfactory in both aspects of income and risk.Moreover,although the investment portfolio yields after the hedge is reduced,but the risk has been effectively controlled.Hence it can give investors more stable excess returns.In this paper,through the theoretical and empirical research of how to use the quantitative investment model to obtain alpha earnings,we hope it can bring better investment income for investors.Futhermore,we also hope that with the relevant investment proposals given by this study,the study of quantitative investment can go further.