Research On ALPHA Strategy Based On The Test Of Effectiveness Of Security Market

The quantitative investment strategy,which was developed in 1970s,is of great significance to the highly competitive securities market.In the process of rapid development of quantitative investment,the selection and construction of quantitative investment strategy has been a hot issue in the field of theory and practice.In this paper,using 2012 to 2016 in Shanghai and Shenzhen 300 index and statistical data of the index,based on the related theories of Alpha strategy as a guide,on the basis of testing the effectiveness of China's securities market,discusses how to use Alpha strategy for investment management and obtain excess returns.This paper starts with the basic concept of Alpha strategy,discusses the relationship between Alpha strategy and quantitative investment,and compares the characteristics and advantages of Alpha strategy with traditional investment;This paper expounds the relationship between Alpha strategy and the effectiveness of securities market,that is,under the premise that the securities market is invalid or weak,the appropriate Alpha strategy can bring more market returns to investors.In this paper,the method of checking the validity of securities market is combed.After the comparison of the methods,the sequential autocorrelation test of the error term is used to test the effectiveness of the securities market in china.The results show that the stock price of China's stock market has sequence correlation,and does not obey the random walk model,and the securities market in China has not reached the weak form.This paper analyzes the relationship between Alpha strategy and portfolio theory and capital asset pricing model,deduces the Alpha return model,and then discusses the growth and value strategy and momentum and Contrarian strategy.In this paper,principal component analysis is applied to the basic stock selection,and the corresponding stock index evaluation system is established and evaluated.On the growth and value strategy and momentum and Contrarian Strategies for the empirical research,and the Shanghai and Shenzhen 300 index yield compared to that of Alpha strategy is effective in Chiinese stock market,Ihas great application prospect and practical significance.