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Quantification Portfolio Strategy Research Based on the Alpha Earning

Author: QuYunXiang
Tutor: HuangQi
School: Chinese Geology University (Beijing)
Course: Applied Economics
Keywords: Quantification investment strategy HuShen300 stock index Alpha earnings Alpha strategic
CLC: F832.51
Type: Master's thesis
Year: 2011
Downloads: 288
Quote: 0
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Abstract


The purpose of this article is using 300 index and its component stocks as the research object, by establishing an effective quantitative investment model, making this combination to stabilize earnings beat 300 index returns, thus obtaining alpha excess profits. Based on April 8, 2005 to 2010 June 26 took five years, closing price of 300 index and its component for the original sample data through the stock, trying to establish the quantitative relationship between established quantification model, and find the stock portfolio, and quantitative methods using the quantitative method can overcome a combination, and obtain 300 benchmark index excess earnings.In order to guarantee the reliability of the strategy research, this paper altogether use three investment ideas to build quantitative models. The first method is only in order to obtain high returns as the goal, not many consider system risk for combination income may effective; The second approach is already launched in China the stock index futures trading as the foundation, consider using stock index futures to hedge that risk, stock portfolio system under consideration hedge mechanism is the combination of hedging strategy; And the third way is in our country has launched securities business, and on the basis of introducing the expected future stock market of shorting mechanism, the establishment of the portfolio strategy actively configuration type. And through the three investment framework and empirical results are compared with the choice of investors investment strategy advice, and hope to be able to derive makes professional investors begin to a-share market more in-depth research, thus benefit to the investors, and the role of the secondary market have stability.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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