Research on MSCI Barra CNE5 Model and Stock Selection

DOI

10.2991/aebmr.k.220405.252How to use a DOI?

Keywords

MSCI Barra CNE5 model; multi-factor model; stock selection; model back-testing

Abstract

With the rapid development of the country’s economy, people’s disposable income is accumulating and the demand for financial management is growing. At the same time, the number of listed companies in China has exceeded 4,400 and the total market capitalization of the stock market. With a total market capitalization of over 91 trillion dollars, China has become the second largest stock market in the world [1]. Therefore, “how to select stocks scientifically and effectively” and “how to consistently beat the market in the stock market” are questions that stock market investors cannot avoid, and are also questions that people need to think about to improve their financial returns and control their investment risks. It is also a question that people need to think about to improve their financial returns and control investment risks. This paper focuses on stock selection strategies based on the style factors of the MSCI Barra China Equity Model (CNE5). The research target is the China A-share market. The logic of the study is to analyze the past market data by using the MSCI Barra China Equity Model (CNE5) style factors to identify the five factors that have a high degree of explanation and long-term validity in attributing performance to the Chinese equity market, and to verify the effectiveness of the stock selection strategy. The effectiveness of the stock selection strategy is verified by comparing the stock pool returns with the market indexes. The final results show that the strategy achieved 60.39%, with an annualized return of 10.17% and an excess return of 43.93% compared to the performance benchmark.

Copyright

© 2022 The Authors. Published by Atlantis Press International B.V.

Open Access

This is an open access article distributed under the CC BY-NC 4.0 license.

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TY  - CONF
AU  - Bingjie Cai
PY  - 2022
DA  - 2022/04/29
TI  - Research on MSCI Barra CNE5 Model and Stock Selection
BT  - Proceedings of the 2022 7th International Conference on Social Sciences and Economic Development (ICSSED 2022)
PB  - Atlantis Press
SP  - 1505
EP  - 1512
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.220405.252
DO  - 10.2991/aebmr.k.220405.252
ID  - Cai2022
ER  -