An Empirical Research Of Alpha Strategies Based On Historical Data

With the increasing of attention and researching on quantitative investment in domestic,more and more quantitative strategies have been used in actual investment.However,compared with abroad,quantitative investment in china is still in its infancy.It is the right time to further study proper quantitative strategies for Chinese "A shares"market.First,this paper introduced quantitative investment research status at home and abroad.Then,this paper introduced basic financial theories and concepts related to the quantitative investment and carried on detailed introductions to alpha strategies.And then,this paper proposed thoughts and methods for building Momentum Reversal Model and Multi-factor Model,which are alpha strategies,based on historical data of Chinese "A shares”market.After that,this paper tested the two models' performance in volatile market,rising market and falling market separately,analyzed and summarized the test result of the two models used in large-cap universe(HS300)and small-cap universe(ZZ500).At last,this paper used the test conclusion to build a composite model,which integrated the two models,and tested the composited model's long-term performance in HS300 and ZZ500 from January 1,2012 to December 31,2016.This paper proved:Chinese "A shares" market has not reached the weak form efficient market.Stock fundamental analysis and technical analysis are still valid in Chinese "A shares" market.By selecting appropriate quantitative strategies,investors can achieve excess returns.