Advances in Economics, Management and Political Sciences
- The Open Access Proceedings Series for Conferences
Proceedings of the 2nd International Conference on Financial Technology and Business Analysis
Series Vol. 64 , 28 December 2023
Open
Access | Article
Empirical Research on Multi-Factor Alpha Strategy in the A-Share Market
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Abstract
Among many quantitative investment means, Alpha strategy, as a typical strategy, has ushered in unprecedented development opportunities. Therefore, how to obtain excess Alpha returns stably and how to select the portfolio with higher future returns from the massive stock pool has attracted more and more attention from investors. This paper uses the ranking score method to determine the effective factors in the candidate factors and constructs a multi-factor Alpha strategy stock selection model in the A-share market. This paper first uses historical data to conduct sample analysis of stocks, studies the correlation between various indicators of listed companies and Alpha returns of individual stocks, and selects candidate factors that can effectively screen stocks with high Alpha returns. After that, the strategy model was established for back testing to test the application and feasibility of Alpha strategy in China's A-share market. Four effective factors are selected according to previous studies. And use the market data from January 2022 to December 2022 to back test the alpha strategy. The back test results show that the multi-factor Alpha strategy in this paper meets the expected performance in the A-stock market and can outperform the market to obtain excess returns. This paper studies the multi-factor Alpha strategy in the A-stock market, aiming to improve the feasibility of this strategy in the Chinese stock market, hoping to provide objective and effective investment ideas for asset managers and obtain investment methods that can obtain excess returns.
Keywords
Alpha strategy, Multi-factor model, Quantitative investment
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 2nd International Conference on Financial Technology and Business Analysis
- ISBN (Print)
- 978-1-83558-229-9
- ISBN (Online)
- 978-1-83558-230-5
- Published Date
- 28 December 2023
- Series
- Advances in Economics, Management and Political Sciences
- ISSN (Print)
- 2754-1169
- ISSN (Online)
- 2754-1177
- DOI
- 10.54254/2754-1169/64/20231496
- Copyright
- 28 December 2023
- 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