As an important branch of quantitative investment in quantitative stock selection in recent years more and more attention to all kinds of professional investors, and gradually being widely used in many domestic quantify the investment strategy hedge funds. But on the other hand, many people are interested in understanding their investment thereof, may just stay in the "smoke and mirrors" stage. In this context, its policy model, operation of the process to deepen understanding about it, obviously very necessary.
Quantify the concept of stock picking
So-called quantitative stock selection, is the use of quantitative methods to build a package equity portfolio, the portfolio can be expected to obtain investment strategy and behavior beyond the benchmark rate of return.
It is obvious from this definition, with respect to the quantization selection, stock selection quantify in financial investment and asset management in a more prominent meaning it is in its "offensive." That aside long-short market trends aside, quantify stock selection more concerned investors selected investment strategies on the rate of return "attack" how geometry. In particular, the relative performance benchmarks or the ability to obtain more positive earnings point of view, how to build a better portfolio "attack." While stock selection and choose, basically can be considered to constitute the two sides securities investment While this "coin" is.
Quantify the classic strategy of stock picking model
In general, the quantized stock selection strategies into two broad categories. One is to quantify the fundamentals of stock picking, the other is to quantify stock market behavior. Fundamental stock picking, popular classic strategy mainly how factor model, style wheeled model and industry wheeled Model 3 class. Stock market behavior, the main cash flow model, reversed the momentum model, model consensus forecast, trend tracking models and five types of chips stock selection model.
1. multi-factor stock selection strategies to quantify
As a quantitative investment institutions at home and abroad the most widely used stock selection model, the basic principles of multi-factor model that uses a series of factors as stock selection criteria, these factors meet standard parameters were buying the stock, once is not satisfied factor parameters of the standard were to sell, stock or other standards-compliant alternatives. In general, multi-factor stock selection models are often selected for screening factors include, PE (static price-earnings ratio), PEG (price-earnings ratio), PB (book value), ROE (return on equity), the total market value, sales ratio, gross margin (GPR) and so on.
Is a typical A-share market single factor backtesting data below. Test time is January 4, 2007 to March 26, 2016, back to test that, for each selected market approached 10 best meets the requirements of single factor index stock (excluding shares and all of ST * ST shares) were held there, the replacement once every five days, the transaction cost is set to two-way trade total of 2 ‰.
Zhidezhuyi that, taking into account the "thin" of a single factor in the outstanding stock screening, and the effectiveness of most single factor is not very significant, the vast majority of quantitative investment fund to build on in the actual model, often according to their own will big data backtesting statistics, weed out some of the low effectiveness factor, and the permutations and combinations they think the best strategy of some multi-factor model for eventual stock screener.
It is not difficult to see, multi-factor model using various quantitative investment institutions, the difference of the core differences, or rather its "core competencies", there are two points. The first factor is the choice may be significantly different, and the second is the combination of weight factors vary redistribution. Taking these two points, it will lead to different institutions finally selected portfolio may occur on the same principle, but the results are bad days Wan other cases.
In addition to fundamental stock selection model most widely used multi-factor model, the other classic strategy model, style rotation also includes stock selection model to quantify, quantify industry wheeled stock selection model.
2. style wheeled model
The so-called style wheeled model is the use of the style characteristics of the market to invest in, for example, sometimes a more mainstream market funds prefer small-cap stocks, and sometimes is even more preference for large-cap stocks. If the style wheeled model accurately capture the style conversion starts, the stock can be constructed by combining the appropriate selection model Accordingly, to achieve significant excess returns.
3. industry wheeled model
Industry wheeled model, style wheeled model with the greater similarity. Due to the economic cycle reason or investor expectations, there is always some industries to start early in the wave of rising trend or down trend, then gradually in other industries to follow. In this cycle, in order for these industries wheeled configuration or short, is the industry wheeled models to achieve the goal of hope.
In addition to these three fundamental stock-picking strategy, stock market behavior in recent years has increasingly been quantified professional investors increasingly concerned quantified. This kind of behavioral finance is based more emphasis on quantification stock market strategy game, not only getting better proved its effectiveness in many markets run in cycles, but also the gradual and event-driven strategies to blend together, has become one of the important directions of many quantitative investment fund continued tackling. In simple terms, stock market behavior quantify common strategy model mainly in the following five categories.
1, the flow of funds of the stock selection model
Flow of Funds of the basic principles of stock selection, it is the use of the flow of funds and a stock supply and demand relationship in the market to determine the ups and downs of the stock. In general, if the funds continue to flow into a concentrated stock, the stock price will be in short supply due to the emergence of rising; and if sustained outflow of capital, the stock price will be weaker than the result of supply and demand fell. Therefore, the inflow and outflow of funds compiled statistical indicators to quantify, you can use the index to determine the whole stock market all the ups and downs in the next period of time. From a practical point of view, in recent years, great wisdom, flush, etc. Some professional stock market software vendors, has been involved in a more professional stock fund flows data, which is the basic principle of the basic financial flows of the stock less the same.
2, momentum stock selection model to quantify volatility
Fluctuation Measuring momentum stock selection, mainly to track changes in the strength of the stock. From the perspective of behavioral finance point of view, in general, over a period of time was a strong stock, continue to be strong for some time in the future will be a high probability; over a period of time is significantly weaker stocks tend to continue to be weak for some time, which called the momentum effect. On the other hand, if over time a strong stock appeared to weaken in the next period of time, over a period of time vulnerable stocks appear stronger in the next period of time, then it is called momentum reversed effect. If the model is determined that the momentum effect will continue, then buy the stocks that; if the model is to determine the weak stock imminent reversal effect, weak stocks you should buy, and vice versa.
3, consistent with the expected stock selection model to quantify
Consensus expectations on the market means that investors may have some information to generate consensus, such as most analysts bullish on a particular stock, the stock will likely rise in the coming period; if the majority of analysts are bearish on a particular stock, this stock may fall in the near future. Consensus expectations strategy is the use of most analysts to view the stock buying and selling operations. On the other hand, in recent years, some specializing in quantitative investment of financial and investment institutions or research institutions, as well as being from "reverse market sentiment changes," the point of view, the use of large data relevant statistical models to find the market consensus of "reverse effect . " That is, from the perspective of market consensus expectations, looking for opportunities to choose when and Ze shares the stock market or or no down, no up up of.
4, quantify trend tracking stock selection model
Track trends and momentum fluctuations quantify quantify stock picking strategy is more acquaintance, whose main principle is to track and follow market trends, and follow the momentum of stocks fluctuate greater similarity. Its essence, is a kind of follow the market trend with stock selection quantization means, chase sell strategy. Indicator determine trends there are many, including MA (moving average), EMA (Exponential Moving Average, also called EXPMA index), MACD (smoothed exponential moving average), the amount of covalently bound like.
5, chip stock selection model to quantify
The basic idea quantify chips stock selection strategy is that if you want to try for a main capital stock, will slowly gather chips; if you want to distribute the main capital ship of a stock, they will slowly dispatch chips. Therefore, according to quantify the statistical distribution of chips and alternative movements of individual stocks, you can select the best stocks subject. This quantification stock-picking strategy, stock selection and flow of funds had a greater similarity.
Recommended reading:
1. a quantitative strategist Confessions (Good text strongly recommended)
2. Stock Futures classic quantitative trading strategies are here! (Source)
3. futures / stock data Daquan query (History / real-time / Tick / finance, etc.)
4. lying really make money? Ten problems of quantitative trading
5. From the high-frequency trading to quantify, can not read five books
6. How to effectively avoid slippage quantify transaction?
