Factor Analysis And Investment Strategy Construction Of New Energy Power Generation Enterprises

China’s new energy industry is developing rapidly and belongs to an emerging industry,which has a large development space and investment value.However,due to its great policy influence and high risks of technological innovation,quantitative analysis of the investment value of such enterprises has always been difficult.This paper hopes to build a reasonable evaluation system based on the characteristics of new energy power generation enterprises,quantitatively analyze enterprise value,help identify high-quality enterprises,and form a low-risk,good return quantitative investment strategy.According to the relevant theory of the industry chain,the stocks of listed companies of new energy power generation are selected to be included in the stock pool.Choose impact factors of different dimensions from the industry level and the enterprise level,and introduce the unique factors of the new energy power generation industry,such as renewable energy benchmark on-grid electricity prices and their changes.According to the factor stratification analysis method,the impact factors are tested in the stock pool and effective factors are selected.In the multi-factor combination,the comprehensive scoring method,OLS estimation method,CART-random forest classification method is used to determine the factor combination method and predict the future performance of the stock.Among them,due to the constantly changing policy environment of the industry,the comprehensive scoring method,which does not fit historical data to optimize the weight of factors,has better performance.The market volatility from 2015 to 2016 is too large,resulting in a poor model effect.Since then,the market has gradually stabilized,and the effectiveness of each model has gradually improved.Analyze the impact of sub-industry factor differences on model performance,and find that policy changes have a greater impact on the model.Therefore,the policy change impact is used as a factor to establish a policy impact rotation model and combine it with the original model.This strategy can indirectly quantify policy impact and market preference shifts to solve industry differences.The combined strategies performed significantly better than the individual strategies from 2016 to 2018,and the combination of the two models improved the model’s effectiveness.Attribution analysis found that the overall performance of the industry itself is weaker than the CSI 500 Index,while the policy impact rotation model and multi-factor model have made a significant positive contribution to the portfolio return,enabling the portfolio strategy to select high-quality stocks among the weakly performing industries that outperform the broader market.The development of emerging industries is in line with social needs and national long-term plans,so investment is necessary.However,investing in industries such as the new energy power generation industry that are weaker than the market will bring losses to investors.This paper proposes a combination model based on the multi-factor model and combining the characteristics of the new energy power generation industry.This model can select high-quality and strong-performing stocks in the industry,make up for the disadvantages in the industry and obtain positive excess returns.