Stock Selection Based On Multi-factor Model To Quantify And Performance Analysis

With the economy development, people’s investment philosophy become more scientific, besides more and more investor use quantify melthod other than feeling and experience. Quantifiable concept gradually and investment combined. Quantitative investment originated with the 1950s, due to the need to deal with complex data until the computer is widely used for nearly 20 years to get the rapid development of technology to quantify the amount of investment funds based on the amount of investment and growth has become more than a Heritage Foundation. Quantitative investment strategy plays an increasingly important role in today’s financial markets, whether it is the case of success or failure, are well known.More and more financial institutions appear to quantify products, more and more financial institutions to obtain quantitative investment income. The main quantitative investment is a multi-factor stock selection model, multi-factor model is the basis of evolution from the three-factor model. Factor and the number of species increases, considering the effects of different kinds of factors on yields. Candidate number of factors are taken into account, the more comprehensive model of the set.The first part describes the prospects and significance of quantitative investment research and development, introduces the situation of foreign investment and quantify investment research status, and introduces the basic structure and the lack of innovation in this paper. The second part focuses on the development of some of our representative and meaningful quantitative investment fund’s quantitative investment abroad. Introduces the basic concepts and analytical methods to calculate the size of the disk-style wheeled.The third part of the choice of the CSI 300 Index and the CSI 500 index as the size of the disksignature style wheeled study, by calculation and analysis of small cap stocks than large-cap stocks. Select the CSI 300 Index and factor analysis as a stock pond. Select Value Factor:earnings, earnings yield, book value, Book value ratio, cash yields; growth factors:ROE changes, changes in the total of the capital gains rate, reinvestment yields, the main business growth; quality factors:debt ratio, the proportion of fixed assets, inventory turnover, accounts receivable turnover ratio, total asset turnover; technical factor:3 months,6 months,9 months,12 months, momentum, turnover, turnover as a candidate factor, according to the effective factor test, redundancy factor removed, the final remaining earnings, book value, cash yields, changes in return on assets, asset-liability ratio and volume six effective factor. Use a valid factor stock selection, with 300 stocks in Shanghai and Shenzhen stock pool for selected front of the 20 stocks scoring build a portfolio, the portfolio average yield and the CSI 300 Index yield study compares the performance of the portfolio. The last part is the conclusion, based on six through effective factor for the third quarter and the fourth quarter in 14 years to quantify the picking, according to the ranking score of 30 selected stocks, combined into a portfolio, the portfolio by an average of yields and yield the CSI 300 Index can be seen by comparing the portfolio yield than the CSI 300 Index yield, indicating that the portfolio will is well.The use of Boolean model combined with multi-factor line strategy in this paper, there are still many shortcomings. The selection of the candidate factors, this paper selected the CSI300 and CSI 500 as a small cap and large cap stocks pool,only selected a group of data were studied and compared, relatively simple. There ara deficiencies in the selection of candidate factors. Consideration, in this paper only with wheeled style while ignoring the importance of wheeled industry. The stock market sector rotation is also more obvious, industry wheeled to the position of the combination has great. Secondly, the subjective factors exist in the choice of factors, may cause deficiency of factor selection. The last procedure is to I check the result that the investment portfolio. Through the inspecting the investment portfolio is effective and the multi-factor and the style-change is succeed.This essay also has many shortcomings, firstly I only use the Hushen 300 and Zhongzheng 500 make compare. This will lead to a limited results. Besides the factor that I have chose is limit and is will not enough to research the multi-factor model.