Research On Investment Strategy Of T Company Based On Multi-Factor Quantitative Model

Today,the price drivers of my country’s capital market are becoming increasingly complex and changeable,and investment activities require precise quantitative investment strategies as support.In recent years,multi-factor quantitative investment strategies have been favored by more and more institutional and individual investors.This paper aims to study the optimization of multi-factor quantitative investment strategies in order to achieve higher return on investment.First,the research status,concepts and characteristics of multi-factor quantitative investment strategies are outlined.Secondly,it focuses on the core principles and applications of multi-factor quantitative investment strategies,including factor model establishment,factor weight optimization and investment strategy evaluation.Then,taking T company as an example,use portfolio theory and capital asset pricing theory to disassemble the original quantitative investment strategy of T company.It is found that the risk control of T company’s investment strategy is insufficient,and there are many unreasonable situations in its factor weight distribution,and only the internal factors of the target are considered and the external environmental factors are ignored.As a result,its overall earnings underperformed.Then according to the portfolio theory and capital asset pricing theory,the corresponding solution is put forward.Finally,the data of the Shanghai and Shenzhen 300 index constituent stocks in the past 11 years were used for backtesting,showing that the average annualized rate of return of the optimized investment strategy increased from 17.75% to 24.02%,and other indicators have also been well improved,proving that T company quantifies the feasibility of the investment strategy optimization plan.