Empirical Analysis Of Multi Factor Quantitative Stock Selection Model In China's A-share Market

Quantitative investment in overseas markets has developed very mature,but as an important investment tool,quantitative investment has developed slowly in the Chinese market.Therefore,research on quantitative investment models and strategies applicable to the Chinese capital market has strong practical significance and reference value.The multi-factor stock selection model is one of the most extensive and practical models in the quantitative model.The multi-factor scoring stock selection model studied in this article is intended to study the application of the multi-factor model in the domestic A-share market.In the process of empirical analysis of the multi-factor scoring stock selection model,this article takes all A-share stocks as the research object and the Shanghai and Shenzhen 300 Index as the market benchmark to construct a multi-factor quantitative stock selection model.This paper selects 20 representative factors such as valuation indicators,profit indicators,financial indicators,and technical indicators as candidate factors to test the validity of the factors.After removing redundant factors,the effective factors are screened out.Effective factors construct a multi-factor stock selection model.The sample stocks are scored according to effective factors,and the weighted average of the same weight is used to obtain the average score of each stock.The sample stocks are divided into 5 groups according to the average score,and the portfolio with the highest score is selected as the investment portfolio,and the multi-factor model is tested by backtesting market performance.The empirical test results show that the multi-factor model constructed in this article performed well during the backtest period from2012 to 2020.The stock portfolio returns of the group with the highest factor scores were higher than those of other groups,and at the same time higher than the Shanghai and Shenzhen 300 Index.The return,that is,the portfolio performance is better than the market benchmark.This article is based on the multi-factor stock selection model research based on the scoring method,mainly to find an effective investment model suitable for the domestic financial market,provide investors with valuable investment logic,and seek investment methods to obtain excess returns.