The Research On Quantitative Investment Strategy Based On Multi-factor Stock Selection Model

Quantitative investment is the process of using computer technology and adopting certain mathematical models to implement the investment philosophy and realize the investment strategy.In recent years,quantitative investment has developed rapidly,and the increase in quantitative funds far exceeds that of traditional investment funds.With the wide application of artificial intelligence technology and big data in the investment field,quantitative investment has great room for development in the future.The pricing of financial assets is the core issue in the financial field.The deviation of asset prices and the intrinsic value of assets determines the amount of income to a certain extent.The benefits come from taking risks,and the multi-factor model is one of the most important ways to find and portray these risks.In order to explore the risk factors that have the ability to interpret the stock return rate,this paper selects the factor screening period from January 2009 to December 2013 to extract the financial data and market data of all stocks in the A-share market,using statistical test methods.The candidate factors were analyzed for effectiveness,and the correlation factors were used to redundantly eliminate the effective factors.It was found that among the four types of candidate factors: value factor,growth factor,quality factor and technical factor,the effective factor was: P/B ratio,P/E ratio,net profit growth rate and monthly turnover rate.On the basis of effective factors,the multi-factor comprehensive scoring model is constructed by stock scoring method.This paper selects from January 2014 to December 2017 as the sample out-of-sample inspection period to extract the financial data and market data of all stocks in the A-share market.Based on this model,each model is continuously selected from the market for each new portfolio.Through backtesting to observe its risk-return indicators,it is found that the multi-factor stock selection model constructed in this paper can effectively select stocks and establish a portfolio that exceeds the market,confirming the validity and actual reference value of the model,and providing stock investors with investment advice and reference purposes.