Research On Quantitative Investment Strategy Based On Financial Analysis

Although China’s media industry faces many challenges such as increasing market competition and declining traditional business,the industry is also rapidly developing with the digital transformation and growth of new media businesses.The market is expected to be promising in the future,attracting investment from various institutions.Thesis focuses on the application of fundamental quantitative investment strategy in China’s A-share market,with an emphasis on financial analysis.Taking the media industry as an example,effective financial factors are extracted and a multi-factor model is established using quantitative investment methods,through backtesting to explore the effectiveness of the strategy in China’s A-share market.Firstly,thesis analyzes the composition of financial statements and related financial ratios and introduces and explains the relevant theories of quantitative investment.Then,the media industry is selected as the research object,and the market situation of the media industry is analyzed from the perspective of the industrial chain,including market size,development trends,and competition patterns.The five major sub-sectors of the media industry are selected,namely publishing,online music,film,games,and advertising,and the industrial chain and development status of each sub-sector are analyzed.Based on this,a factor library of 24 financial indicators is established,categorized into five groups.Through Rank IC screening method,four effective factors are selected,and the weight of each factor is determined through multiple regression analysis,forming a multi-factor model,which is then backtested to verify its effectiveness.The results show that the strategy constructed in thesis is effective,with an annualized return of 18.38%,while the CSI Media Index during the same period was-20.60%,indicating outstanding stock selection ability.The strategy’s Sharpe ratio is about0.506,the maximum drawdown is 32.56%,and the alpha value is 0.229,indicating that the strategy can achieve excess returns.The research results show that this strategy is practical and operational,and can improve investment returns and risk control capabilities to a certain extent.In summary,thesis explores a fundamental quantitative investment strategy based on financial analysis,using the media industry as a research object.Through this research,investors are presented with the operation mode and advantages of a multi-factor quantitative investment strategy based on financial analysis,providing references and inspirations for investors in stock selection,optimizing investment portfolios,and other investment decision-making.