Research On Quantitative Selection And Timing Strategy Of Multi Factor Model

Since the quantitative investment theory came into being in 1952,as the core concept of quantitative investment,the investment fund has been popular for more than 40 years in the overseas financial market.By the end of 2016,the total amount of quantitative fund had exceeded 3 trillion dollars in the whole world,accounting for about 30%of the global fund scale,and the quantitative investment fund has become the most important force in the field of global asset management.Compared with traditional investment,quantitative investment has attracted more and more attention in China's fund market by virtue of more accurate risk control and relatively stable excess earrings.Quantitative funds originated in the Chinese fund market in 2004,the core of China Everbright quantitative,because the stock market at that time the lack of quantitative hedging tools,resulting in quantitative funds in the next few years,the development of slow.However,with the 2010 CSI 300 stock index futures market,China fund market has a quantitative tool to hedge,the major fund research institutions have established quantitative investment strategies,such as alpha strategy,stock index futures arbitrage strategy,domestic fund market officially entered the first year of quantitative investment.And in the bull market in 2015,quantitative fund products ushered in the outbreak,quantitative investment products almost all have achieved good earnings,quantitative funds entered a rapid development stage,the development boom of quantitative fund maybe inevitable.But it is worth noting that,get behind the rapid development in quantitative funds,there are still many problems,such as quantitative strategies currently used in domestic quantitative funds mostly imported from abroad,foreign investment funds in the past used quantitative strategies,not well adapted to the A stock market in china.In order to explore the quantitative strategy to adapt to the A stock market in our country,this paper established a multi factor quantitative stock selection model based on regression method,and designed the corresponding quantitative timing strategy by referring to the relevant research of domestic and foreign scholars.The article takes the stock index of Shanghai 180 index as the object of study.The sample period is from January 4,2007 to December 30,2016,totaling 2432 stock trading days.According to the different stock market trends during the sample period,the stock returns from 2007 to 2015 were studied,and a multiple factor quantitative stock selection model based on regression method was established.The stocks in the calculation model of potential growth potential,the portfolio of 10 stocks ranked as investors in investment in the coming year,and according to the actual return on investment portfolio model adaptability to multi factor quantitative stock model test.In addition,in order to control the investment risk,based on the average system trading strategy,OBV index trading strategy and stochastic trading strategy,design the corresponding quantitative selection strategy,and the timing of the transaction strategy back testing.The empirical study shows that the portfolio construction of multi factor quantitative stock selection model based on the relatively stable market outperformed the benchmark rate of return;when the volatility of stock market is relatively large and relatively frequent,the quantitative timing strategy has a greater income utility,which can help investors obtain positive returns.In the empirical study,by comparing the multi factor quantitative stock selection model established in different stock quotes,the actual investment effect of the model and the investment performance of the quantitative timing strategy,the following conclusions are drawn:First,the multi factor quantitative stock selection model based on the regression method is feasible and very effective.Second,in different stock market,the variables which affect the return on stock investment and the correlation between variables are different.Third,quantitative stock selection and quantitative timing strategy are inseparable,investors in order to control the investment risk and obtain relatively stable positive return on investment,quantitative timing strategy should be implemented.Fourth,quantitative stock selection and timing strategy are not omnipotent,there is still the possibility of loss of investment,investors want to get higher abnormal returns,long-term investment should be carried out.The article puts forward the following investment proposals:First,quantify stock selection and quantify timing,and maintain a relatively stable positive return on investment.Second,pay attention to the information of individual stocks,and guard against the loss of assets caused by unexpected circumstances.Third,manage the funds reasonably and enhance their ability to prevent risks.Fourth,strictly enforce the trading rules and moderately deal with the profits and losses in the transaction.