A Design Of Alpha Strategy In The Domestic Stock Market

Alpha strategy is a very popular investment strategy in the field of quantitative investment.The strategy divides the Alpha returns and the Beta returns from the portfolio by longing a basket of stocks while shorting some stock index futures.Alpha strategy locks the Alpha returns to achieve absolute returns.With the listing of stock index futures on April 16,2010,Alpha strategy came into being in the domestic stock market.From 2012 to 2014 the strategy has been rapidly developed,the characteristics of small drawdown and stable returns are favored by investment institutions and investors.But since October 2014,Alpha strategy cannot achieve positive returns by the domestic stock market style fast wheeled,stock index futures trading limit,stock index futures constant negative basis and repeated retracement.,.Based on the analysis of the source of the Alpha strategy and the reasons for the drawdown,this paper designs an Alpha strategy,which can obtain relatively stable absolute returns in the historical market,and can also be applied to the current market conditions.Designing Alpha strategy,divided into two parts,first is to build excess returns of the stock portfolio to obtain Alpha;and the second is through the stock index futures hedge Beta.This paper uses the momentum reversal factor of the Alpha strategy as the stock picking method,and optimizes the position according to the volatility.At the same time,the CCC-GARCH method is used to dynamically hedge the Beta.In February 2017,China's financial futures exchange start to relax the policy restrictions on stock index futures,and then stock index futures liquidity and negative fundamentals mitigate on a certain degree,I believe that with the stock index futures to further relax,the designed Alpha Strategy on this article can achieve better results.