Research On Quantitative Investment Strategy Based On Social Security Funds

With the advancement of computers and the development of people's investment ideas,quantitative investment methods have become increasingly popular investment methods due to their own science and rationality,compared to the traditional way of qualitative investment relying on individual observation and operation behaviors.It is widely used in the investment field.Event-driven strategy as a complementary strategy to quantify investment is to look for the impact of a particular event on the stock price.As one of the mainstream strategies,event-driven strategy has a bright market performance in the investment community,and it has been increasingly recognized.attention.The event-driven quantitative investment strategy first needs to define events,then use data to calculate and verify the market reaction brought about by the incident,and establish a corresponding investment strategy.From the performance of social security funds since they entered the market,we can see social security fund management companies have greater advantages in terms of fund size,research capability,etc.The investment behavior of social security funds has also received much more attention from market.Therefore,studying the social security fund's investment strategy and building a corresponding quantitative investment strategy based on this has a realistic basis.This paper uses the social security fund as an example to conduct an event-driven strategy study.We selected social security funds bought pharmaceutical bio-industry stocks for the first time during 2013,2014,2015 and 2016Q1 as the research object.Event study method select 120 trading days as the window period.The estimation window selected 150 trading days.And we can see that there was a significant negative cumulative abnormal return(CAR)after the event,and the absolute value of the cumulative value was largest at the 92 nd day after the event.Therefor this paper proposes a corresponding quantitative investment strategy and conducts backtesting.We selected 11 short-selling companies in China's A-share market from 2016Q2 to 2017Q2 and the results show that event-driven strategies can achieve significant cumulative excess returns(CER).