An Empirical Study On Momentum Alpha Strategy Based On CSI 300 And CSI 50

Under the framework of classical financial theory,the returns of investing in stocks only come from the systemic risks they bear,and under the conditions of efficient market theory,it is impossible to obtain excess returns by investing in stocks.But according to research on foreign financial markets,long-term excess returns can be obtained in the financial market.In the A-share market,there are many investors,both institutional investors and retail investors,and how to obtain stable long-term returns has been a problem for investors.And with the reform of the A-share market,the difficulty of investment is also increasing,and investors urgently need new investment methods to obtain stable returns.Quantitative investment utilizes its advantages to solve the above problems and bring stable returns to investors in long-term investments.This article demonstrates that investors can obtain long-term excess returns in the A-share market by designing corresponding strategies,guiding them to establish the concept of long-term rational investment,and promoting the healthy development of the A-share market.This not only provides investors with long-term stable returns,but also makes the financing environment for listed companies more reliable.The investment strategy used in the argument is the momentum alpha strategy.Firstly,establish the momentum alpha strategy,then establish a dynamic stock pool,and finally validate the investment strategy based on the dynamic stock pool.The dynamic stock pool changes with the changes of index component stocks.The dynamic stock pool is divided into Shanghai and Shenzhen 300 component stocks,China Securities 500 component stocks,and hybrid stock pool.The hybrid stock pool includes both Shanghai and Shenzhen 300 component stocks and China Securities 500 component stocks.Based on the three stock pools constructed,use momentum alpha strategy to verify investment returns for each stock pool,and purchase corresponding stock index futures to hedge risks.The final result proves that excess returns can be obtained in the A-share market.The innovation points of this article are as follows: 1.Previously,momentum strategies were concentrated in the short to medium term,while this article studied momentum alpha strategies under long-term investment.After empirical testing,it was found that momentum alpha strategies can still achieve excess returns.2.Previous research has typically focused on a certain index and its constituent stocks,with little research on both indices and their constituent stocks simultaneously,and no research on mixing two index constituent stocks into a single stock pool.This article first studies the components of the Shanghai and Shenzhen 300 Index and the China Securities 500 Index,and then conducts empirical research by mixing the components of the Shanghai and Shenzhen 300 Index and the China Securities 500 Index.3.The stocks in the stock pool used in the previous verification of momentum alpha strategy were fixed and unchanged,while the stocks in the stock pool used in this study changed with the changes in index component stocks.In summary,momentum alpha strategies were constructed based on different stock pools.After studying these strategies,the following conclusions were found: 1.In the Shanghai and Shenzhen 300 stock pools,momentum alpha strategies performed well in terms of returns.2.In the CSI 500 stock pool,the momentum reversal alpha strategy performed well in terms of returns.3.Mix the components of the CSI 300 Index and the CSI 500 Index into a stock pool,establish a corresponding mixed index,and calculate the alpha of each stock in the mixed stock pool based on the mixed index.The momentum alpha strategy constructed based on this will yield the best returns.Based on the above empirical results,long-term investment in the A-share market can achieve stable excess returns.Based on empirical research results,this article proposes the following policy recommendations: in the regulation of the A-share market,to ensure the investment and financing needs of the A-share market,it is necessary to guide investors to establish the concept of long-term rational investment.Because investors establish the concept of long-term rational investment,it is not easy for the A-share market to experience sudden ups and downs.Moreover,after investors obtain rich and good investment returns,the more confident they are in the A-share market,the more they will naturally adhere to the concept of long-term rational investment,ultimately promoting efficient financing in the A-share market.