Research On Quantitative Investment Strategy Based On Analyst's Expectation Revision

Sell-side analysts express their views and expectations on a company's performance in the next year based on research and analysis of listed companies.Since sell-side analysts tend to give optimistic views,directly using analyst forecast data to construct factors will have a high degree of deviation.Constructing factors based on changes in analysts' expectations can,on the one hand,eliminate the situation that analysts have different objectivity to different stocks,and on the other hand,can capture the incremental information in analysts' opinions in a timely manner.Therefore,this article will focus on analyst recommendation revisions.This paper uses the Suntime Data Base,and averages the seller's forecast data within90 days with time weighted to obtain the consensus forecast.Based on this,the consensus forecast net profit correction factor,consensus forecast earnings per share correction factor and consensus forecast are respectively constructed.target price factor.The single-factor validity test found that the three types of factors were all effective in the A-share market,with IC values above 0.03,and the stratification effect was obvious.The index of the highest group was significantly better than the lowest group and the middle group.This verifies that analyst forecast revisions contain significant incremental information.This paper further builds a quantitative investment strategy based on the forecast revisions factor.The backtest finds that the strategy has excellent historical performance in the A-share market.Among them,the expected net profit and target price both raised event enhancement strategy is the best,with an annualized return of13.96%,outperformed the CSI 300 Index steadily,with a cumulative excess return of more than 90% in five years,and the maximum drawdown was controlled at around6%,and the information ratio reached 2.84.It is a quantitative investment strategy with both profitability and risk control.This verifies that excellent stock selection effect can be achieved on the basis of making full use of analyst forecast revision information.