【作者】 李媛；

【导师】 范闽； 贾肖明；

【作者基本信息】 华南理工大学 ， 金融（专业学位）， 2021， 硕士

【摘要】 量化投资技术以其高效、纪律、分散的特点广受投资者青睐,传统多因子模型多从基本面和技术面出发,挑选对上市公司影响较大的因子进行分析,但由于中国股票市场的有效性较弱,传统证券投资分析不能完整地反映股票市场的实际情况,随着量化投资技术的介入,利用量化技术构建的投资组合策略取得了不错的成效。前人的研究发现,基于价值和成长投资策略的选股模型有较好的结果表现,两种策略相结合目的在于能够选出在具有一定价值和成长性的企业,此外,许多研究表明市场存在明显的风格轮动现象,价值投资与成长投资作为两种投资风格也在市场上存在一定的风格周期,基于价值投资与成长投资进行风格轮动可以改进传统模式下的投资策略。本文结合价值投资和成长投资方式,参考GARP策略量化投资的方法,以沪深300指数与中证500指数的成分股为股票池,选取市盈率、市净率、市销率、市现率、PEG、营业收入增长率、利润总额增长率、净利润增长率、总资产增长率、经营净现金流增长率为指标,然后对各项因子指标进行有效性检验,选出了四个价值指标与一个成长指标,根据有效因子构建选股模型,将组合模型在样本外期的收益情况进行对比分析,选出最合适的方案,实证结果表明选取的因子构建的投资组合均战胜了基准指数收益。最后本文还检验了市场上的价值成长风格轮动的情况,通过构建强弱指标结合布林带线的方法确定风格轮换的时机,运用分层次分析法赋予价值指标与成长指标的不同的权重并构建投资组合,结果表明在价值成长投资轮动的策略下组合的收益较传统多因子组合策略的收益有了明显的提升,并且能够明显的跑赢沪深300指数与中证500指数。本文针对不同的股票池对有效因子进行筛选,目的是为了加强了选股模型的有效性,然后在价值成长投资策略的基础上,引入风格轮动改进选股模型,实证结果表明考虑风格轮动的价值成长选股策略较传统选股模型的收益效果有了显著的提升。更多还原

【Abstract】 Quantitative investment technology is widely favored by investors due to its high efficiency,discipline,and decentralization.Traditional multi-factor models mostly start from the fundamentals and technical aspects,and select factors that have a greater impact on listed companies for analysis.However,due to the weak effectiveness of the Chinese stock market,traditional securities investment analysis cannot fully reflect the actual situation of the stock market.With the intervention of quantitative investment technology,the investment portfolio strategy based on the use of quantitative technology has achieved good results.Previous studies have found that the stock selection model based on value and growth investment strategies has better results.The combination of the two strategies aims to select companies with a certain value and growth potential.In addition,many studies have shown that there exists an obvious phenomenon of style rotation in the market.Value investment and growth investment,as two investment styles,also have a certain style cycle in the market.Style rotation based on value investment and growth investment can improve investment strategies under the traditional model.This article combines value investment and growth investment methods,and refers to the quantitative investment method of the GARP strategy,uses the constituent stocks of the Shanghai and Shenzhen 300 Index and the China Securities 500 Index as the stock pool,and selects the price-earnings ratio,price-to-book ratio,price-to-sales ratio,price-to-price ratio,history PEG,operating income growth rate,total profit growth rate,net profit growth rate,total asset growth rate,and operating net cash flow growth rate as indicators,and then the effectiveness of various factor indicators is tested,and a stock selection model is constructed based on effective factors.The return of the combination model in the out-of-sample period is compared and analyzed,and the most suitable plan is selected.The test results show that the investment portfolio constructed by the selected factors has defeated the return of the benchmark index.Finally,this article also examines the value growth style rotation situation in the market,determines the timing of the style rotation by constructing the strength index combined with the Bollinger Bands method,uses the hierarchical analysis method to assign different weights to the value index and the growth index and design the investment portfolio,the results show that under the strategy of value growth investment rotation,the return of the portfolio has been significantly improved compared with the return of the traditional multifactor portfolio strategy,and it can clearly outperform the Shanghai and Shenzhen 300 Index and the China Securities 500 Index.Based on the different stock pool to screening of effective factors,the purpose is to strengthen the effectiveness of the stock selection model,and then grow in value investment strategy,on the basis of introducing style rotation in improving stock selection model,the empirical results show that the thinking style value growth of the wheel move stock selection strategy than traditional stock selection model of the income effect has significant improvement.更多还原