CSI 300 Quantitative Enhance Strategy Research

With the development of capital market in our country,quantitative investment has gradually emerged in China and has been rapidly developed when the traditional trading methods cannot fully support investors in mining investment laws from large amounts of data and construct a reasonable investment portfolio.This paper introduced the development status of quantitative investment and the mainstream quantitative stock selection model.The purpose was to study the method and the application value of the strengthening strategy of CSI 300 Index.Under the premise of the CSI 300 Index and the degree of deviation in a reasonable interval,we researched and analyzed the construction of enhancement strategy.First of all,we divided the factors that affect stock returns into seven categories:valuation factor,profitability factor,scale factor,solvency factor,operational efficiency factor,growth factor and technical factor.Then we analyzed the effects of different types of alternative factors on stock return.Secondly,through the method of scoring,we can select the effective factors and determine the weight of effective factors.Through constructing the CSI300 Index enhanced strategy,and compared the differences of different strategies,so we can select a better strategy.Through back testing the data of five years from October 2012 to October 2017,we can found that use the total market value,net market value,price-earnings ratio,operating profit growth rate,and quick ratio to filter stocks,we can create a higher return of a portfolio.Then in order to decrease the systemic risk to a certain extent,we chose an optimal hedging strategy to add in the former strategy.Finally,this paper analyzed the relationship between the return and the risk in CSI 300 Index enhancement strategy,then summarized and analyzed the process of constructing an enhancement strategy,the paper also discussed the practical significance and application value.