Empirical Study Of Multi-factor Alpha Strategy In A-share Market

Quantitative investment is a statistical arbitrage method that uses computer technology to convert data information into value signals.It can provide investors with objective and rational investment strategy,and is an emerging asset allocation analysis tool.In recent years,the domestic financial environment has become more stable,the institutional system has been more standardized,and the applicability of quantitative investment in the A-share market has improved.As quantitative investment is increasingly attracting investors’attention,the multi-factor alpha strategy has gained rapid development opportunities as a classic strategy for quantifying investment.The multi-factor alpha strategy stock picking model studied in this paper is intended to analyze the application of mainstream style factors in the domestic A-share market,and then build a stock picking model to obtain the alpha gain that beats the market.In the process of empirical analysis of multi-factor models,this paper follows the market investment logic,and divides the model construction and testing into three parts:pre-project preparation,investment management and post-investment analysis.In terms of pre-project preparation,this paper selects six categories of factors and a total of 16 sub-segment factors for validity and correlation test,and combs the influence of factors on stock price.In terms of investment management,this paper determines factors based on factor’s excess return contribution.Weights,build a suitable stock selection model;in post-investment analysis,this paper conducts index analysis and attribution analysis on model backtesting results,judges the source of excess returns,and hedges the strategy,and proposes reasonable optimization and improvement suggestions.Based on the empirical test results of the A-share market,the multi-factor model of the text construction can obtain the alpha return that beats the market during the backtesting period of the last three years,and the comprehensive indicator performance and the hedging result are in line with expectations.In this paper,theresearch on multi-factor alpha strategy hopes to improve the applicability ofmulti-factor model in domestic financial market,and provide investors with objective and effective investment ideas,and find investment models that obtain excess returns.