Factor Investing Strategy Investigation and Optimization for Chinese Stock Market with Backtesting and Implementation
These authors contributed equally.
- DOI
- 10.2991/assehr.k.211209.190How to use a DOI?
- Keywords
- Factor Investing Strategy; Chinese Stock Market; Quantitative investment
- Abstract
Quantitative investment has a 50-year-history in the world and a much shorter history in China, which is about 10 years. In 1991, the securities market was established in China. Compared with traditional investment strategy, which is based on investors’ active decisions, quantitative investment is passive. It evaluates the performances of stocks by mathematical and statistical factors, which can be divided into the profit factor, the fiscal factor, the market factor, valuation and scale factor and growth factor. Single-factor and are two analysis methods. Multi-factor selection strategy uses investment models involving multiple factors and gives a comprehensive and fair measurement to the stocks. But it’s very difficult to decide which factors to be included and whether the prediction is accurate. The research involved three typical factors: emotional factor, TTM EPS_ ttm and TTM operating: _ revenue_ per_ share_ ttm. The first one has been performing well in recent two years. The second one performed badly before and well recently. The third one performed poor
- Copyright
- © 2021 The Authors. Published by Atlantis Press International B.V.
- Open Access
- This is an open access article under the CC BY-NC license.
Cite this article
TY - CONF AU - Xiangru Cui AU - Qizhen Tang AU - Yiyun Yang PY - 2021 DA - 2021/12/15 TI - Factor Investing Strategy Investigation and Optimization for Chinese Stock Market with Backtesting and Implementation BT - Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021) PB - Atlantis Press SP - 1169 EP - 1181 SN - 2352-5428 UR - https://doi.org/10.2991/assehr.k.211209.190 DO - 10.2991/assehr.k.211209.190 ID - Cui2021 ER -