Advances in Economics, Management and Political Sciences

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Proceedings of the 7th International Conference on Economic Management and Green Development

Series Vol. 34 , 10 November 2023


Open Access | Article

Analysis of Multifactor Fundamentals Stock Selection Based on Backtesting

Yijun Wu * 1 , Yuzhuo Xi 2
1 Tianjin NO.21 high school
2 Foreign Language School Attached to Anhui Normal University

* Author to whom correspondence should be addressed.

Advances in Economics, Management and Political Sciences, Vol. 34, 92-98
Published 10 November 2023. © 2023 The Author(s). Published by EWA Publishing
This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Citation Yijun Wu, Yuzhuo Xi. Analysis of Multifactor Fundamentals Stock Selection Based on Backtesting. AEMPS (2023) Vol. 34: 92-98. DOI: 10.54254/2754-1169/34/20231680.

Abstract

In recent years, quantitative finance has become a major trend for investing which brings stable returns with controllable risks. Among various different quantitative strategies, multifactorial stock selection strategy based on fundamental data (e.g., financial statements, macro- and micro-economy data) is one of the widely investigated strategies. On this basis, this study chooses Chinese listed company to verify the feasibility and effectiveness of the stock selection strategy. To be specific, the Ricequant platform is utilized to realize the backtesting as well as data retrieving in order to estimate and evaluate the performances of the strategies. According to the analysis, several indicators show great ability to gain extra returns compared with systematic risks and market performances. In other words, the feasibility of explicability of the quantitative strategy based on multifactorial model is verified in Chinese market. Overall, these results shed light on guiding further exploration of fundamental analysis of different underlying assets based on multifactorial analysis.

Keywords

quantitative finance, multifactorial model, fundamental analysis

References

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Data Availability

The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.

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Volume Title
Proceedings of the 7th International Conference on Economic Management and Green Development
ISBN (Print)
978-1-83558-089-9
ISBN (Online)
978-1-83558-090-5
Published Date
10 November 2023
Series
Advances in Economics, Management and Political Sciences
ISSN (Print)
2754-1169
ISSN (Online)
2754-1177
DOI
10.54254/2754-1169/34/20231680
Copyright
© 2023 The Author(s)
Open Access
This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited

Copyright © 2023 EWA Publishing. Unless Otherwise Stated