Research On A Quantitative Stock Selection Strategy Based On Fundamental Factors

By the end of 2021,the scale of the domestic quantitative market will exceed trillion yuan,developing very rapidly,and showing a double growth trend compared with 2020.Among them,quantitative private equity funds have developed rapidly,with the market scale increasing rapidly from about 7% at the end of 2018 to about 21% at the end of June 2 0 2 1.Although the market scale of quantitative funds has expanded rapidly and outperformed the stock long funds in terms of yield,as of the end of 2021,when the quantitative funds face sudden changes in the market,their product returns have been withdrawn rapidly,mainly because most domestic quantitative stock selection models have borrowed from foreign quantitative multi factor strategies and have not combined with the specific situation of the domestic stock market,thus lacking innovation.Based on fundamental factors,this paper constructs a quantitative stock selection model using analytic hierarchy process and regression analysis.Under different market environments,the quantitative stock selection model is empirically tested to find a quantitative stock selection strategy suitable for the domestic stock market.This paper mainly uses the Guoren and Jukuan quantitative investment system as the trading operation platform,and the research objects are mainly the China Securities All Index constituent stocks,over-the-counter ETF and LOF funds,while the sample data selects the data of the entire range from December 1,2008 to March 31,2022.First of all,after completing the fundamental factor screening and feasibility test,this paper analyzes the performance of fundamental factors in bull market,bear market and shock market by testing to find effective fundamental factors.Then,the effective fundamental factor group is built into the optimal factor pool,and a stock selection model of fundamental factors is built through the combination of analytic hierarchy process and regression analysis.Finally,the empirical test and analysis of the stock selection model were carried out,specifically from the perspective of earnings,risk and multidimensional comparative analysis of the effectiveness of the strategy,and the part of the strategy that did not perform well was adjusted and optimized.Finally,the empirical results showed that the cash ratio,earnings per share and net operating cash flow were more prominent,and the improved strategy outperformed the performance benchmark.The main conclusions of this paper are as follows: First,the fundamental factor stock selection strategy can find market inflection points and investment opportunities in the changing process of A shares;Secondly,from the perspective of some time periods of the strategy,the quantitative model constructed by screening and sorting out the fundamental factors through the analytic hierarchy process and regression method can better adapt to the changes in the domestic A-share market;Thirdly,by analyzing the sensitivity of stock return rate to various factors,we can find that profit factors and cash flow factors have outstanding performance,among which earnings per share,cash ratio and net operating cash flow can be used as good stock selection factors to build a quantitative trading model for A-shares.