The Structure Of The Sub-new Stock Selection Model And Trading Strategy Design

The popularity of the Sub-new stocks is from the IPO.Speculation in Sub-new stocks has become a special phenomenon in the securities market,with frequent highlights.Sub-new stocks are generally defined as stocks that have just from IPO,continuing the scarcity of new shares.As a product of institutional,and because of various investment chances,the investors expect high growth of sub-new stocks.From a practical point of view,in order to let investors better familiar with the Sub-new stock and capture investment opportunities,this paper will mainly use multi-factor model analysis,try to use quantitative methods to explain the partial factors of the Sub-new stocks,and design the corresponding trade strategy.This paper first selects the Wind sub-new stock index as the object,empirically analyzes the characteristics of the sub-new stock index and the fluctuation of the sector in the past few years.Subsequently,factor models were used to design trading strategies,and then obtain the back test performance of the factor using the RANK_IC method.After the initial observing of 30 major factors in 8 major categories,there are 9 factors remained,and then the correlation test is used to eliminate the factors with higher collinearity,finally leave 5 factors:circulation market value,ROE,capital per share,the 5-day relative return,and the 5-day turnover rate.Using the method of equal weighted ranking,to construct a five-factor stock selection method.In terms of strategy design,according to the performance of the five-factor stock selection method,some details are added to simulate the real trading results,and further study whether the market-timing method enhances the test performance.From the results,the five-factor stock selection method on the Sub-new stocks combined with the 20-day moving average market-timing method of the GEM index,and the performance after adding the market style factor is better,with certain investment reference value.