| This article focuses on the empirical research of the alpha strategy.It selects constituent stocks of the CSI 300 Index as stock selection stock pool,uses the CSI 300 Index as the market benchmark,and the data time period is from April 9,2013 to May 2,2017.The alpha strategy has a total of 990 daily stock trading data and build a model that establish and hold the dynamic investment portfolio using the Matlab program.Finally make an empirical analysis according to the trend of the value of funds holding the portfolio.In this paper,we consider the cost of commissions and other issues based on the previous alpha model to making the results more authentic.A sensitivity analysis was conducted on the ranking period and holding period,and 50 days with good returns were selected as the ranking period and holding period.In terms of fund allocation,Treynor-Black fund allocation method was adopted that is different from the previous allocation of equal fund.In addition,the model does not limit the increase rate in the volatile market,but when the cumulative loss reached 5%the model implement the mandatory liquidation strategy and the CSI 300 stock index futures hedging strategy.The empirical results of this paper show that the alpha strategy can enable investors to obtain excess returns,T-B fund allocation is better than the equal allocation,and in the shock market,the T-B fund allocation alpha strategy combined with the mandatory liquidation strategy is better. |
