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本文以中国A股市场股票为样本,构建多因子量化选股模型,提取反映股票投资价值的公共因子。根据公共因子得分选取表现较好的股票标的,设计盈利投资策略、价值投资策略、成长投资策略和综合投资策略,并选择2014年5月~2017年5月进行回溯测试。结果表明:价值投资策略在现阶段回报率最高。并根据回测结果,为投资者提供合理有效的投资建议。
In this paper, a sample of Chinese A-share market is taken as a sample, a multi-factor quantitative stock selection model is constructed, and public factors reflecting the value of stock investment are extracted. According to the score of public factors, we choose the best-performing stock target, and design profit-making investment strategy, value investment strategy, growth investment strategy and comprehensive investment strategy, and choose May 2014-May 2017 for backtesting. The result shows that the value investment strategy has the highest return rate at the present stage. And according to the test results, to provide investors with reasonable and effective investment advice.