Empirical Research On Quantitative Investment In Chinese Stock Market

Quantitative investment is a kind of technology investment strategy in the financial markets,it depends on the data model and the computer processing to achieve investment ideas and concepts,identifying investment opportunities on the market,the quantitative investment strategies and the main difference is that the former traditional investment strategy will rely on information of investment decisionmaking process as quantitative as possible,and as far as possible use computers to make decisions instead of a person's decision,in order to reduce the influence of subjective factors of investors.With the continuous development of financial markets,the quantitative investment gradually paid great attention by the market,now more commonly used quantitative investment strategies can be divided into two categories: the first category is the fundamental strategy of the second category is the momentum strategy.This paper analyzed the fundamental strategy and the basic principle of momentum strategy,combined with China's a-share market situation of fundamental factor and momentum factor has carried on the back analysis,the purpose is to test the effectiveness of the two strategies in the Chinese market,the empirical analysis stage attempts to combine the two strategies,the realization of the rights of the inspection the excess of Alpha,the empirical analysis results show the effectiveness of the fundamental strategy and momentum strategy combination,constructed with excess Alpha portfolio returns,the empirical analysis of the finally joined the Shanghai and shenzhen 300 index futures hedging model,the stock portfolio of Alpha and Beta phase separation returns,locking Alpha benefits,so as to realize absolute return.