本文選題：量化選股　切入點(diǎn)：財(cái)務(wù)指標(biāo)選股　出處：《上海交通大學(xué)》2014年碩士論文

【摘要】：中國證券市場發(fā)展至今已經(jīng)超過20年，上市公司數(shù)量超過2000家，投資手段日趨多樣化,投資者投資理念也趨于理性，市場中重視價(jià)值投資的呼聲日趨強(qiáng)烈價(jià)值投資需要科學(xué)的研究方法和現(xiàn)代投資組合方法，，價(jià)值投資也要求投資者更注重企業(yè)的基本面財(cái)務(wù)指標(biāo)是收集傳達(dá)財(cái)務(wù)信息，說明資金活動(dòng)，反映企業(yè)生產(chǎn)經(jīng)營過程和成果的經(jīng)濟(jì)指標(biāo)，一定程度上可以客觀地反應(yīng)企業(yè)的基本面狀況同時(shí)財(cái)務(wù)指標(biāo)也具有易于獲取和便于比較等特點(diǎn)研究表明，股票的價(jià)格由于受市場情緒及其它因素的影響圍繞股票價(jià)值波動(dòng)，市場中由于價(jià)格波動(dòng)和情緒變化導(dǎo)致價(jià)值低估的情況經(jīng)常存在長期來看，價(jià)值被低估的公司，特別是質(zhì)地優(yōu)良經(jīng)營出色的公司終究會(huì)經(jīng)歷價(jià)值回歸的過程，投資這一類公司通常能夠獲取穩(wěn)定的超額收益本文采用量化的方法構(gòu)筑雙因子模型，對(duì)不同上市公司代表投資回報(bào)率和公司估值的財(cái)務(wù)指標(biāo)進(jìn)行對(duì)比和篩選，以建立高投資回報(bào)率和低估值的基本股票投資組合由于選取的財(cái)務(wù)及估值指標(biāo)適用范圍的局限性，本模型不能選取金融類的股票，為平滑此影響，本文在基本股票投資組合的基礎(chǔ)上按HS300指數(shù)權(quán)重占比加入金融類股票構(gòu)筑擴(kuò)展股票投資組合 2010年中國股指期貨合約在中金所正式上市交易股指期貨交易改變了以往我國證券市場只能單邊做多的局面，投資者不僅能夠利用做空股指期貨來對(duì)沖市場的系統(tǒng)風(fēng)險(xiǎn)，也能夠使用杠桿放大收益本論文通過構(gòu)建與股票投資組合對(duì)應(yīng)的股指期貨頭寸來對(duì)沖市場的系統(tǒng)風(fēng)險(xiǎn)，獲取Alpha收益同時(shí)，為避免在單邊上升市場中投資組合收益率大幅低于市場基準(zhǔn)指數(shù)，本文對(duì)市場指數(shù)的技術(shù)指標(biāo)和走勢進(jìn)行研究并確立了股指期貨改進(jìn)投資策略當(dāng)市場被定義為多頭上漲市場時(shí)，我們利用股指期貨改進(jìn)投資策略，暴露投資組合風(fēng)險(xiǎn)敞口，平倉套保頭寸并建立多頭頭寸，以此獲取超額收益 最后，通過對(duì)歷史數(shù)據(jù)進(jìn)行回測分析，我們發(fā)現(xiàn)基本投資策略在對(duì)沖系統(tǒng)風(fēng)險(xiǎn)的同時(shí)可獲取穩(wěn)定收益，表現(xiàn)優(yōu)異同時(shí)改進(jìn)型投資策略可有效增加組合收益
[Abstract]:China's securities market has been developing for more than 20 years, with the number of listed companies exceeding 2000, the means of investment becoming increasingly diversified, and the investment ideas of investors tending to be rational.In the market, the voice of value investment is becoming more and more intense. Value investment needs scientific research method and modern investment portfolio method. Value investment also requires investors to pay more attention to the fundamental financial index of enterprise is to collect and convey financial information.The study shows that the capital activity, the economic index which reflects the production and operation process and the achievement of the enterprise, can objectively reflect the basic situation of the enterprise to a certain extent and the financial index has the characteristics of being easy to obtain and easy to compare.The price of a stock fluctuates around the value of a stock because of market sentiment and other factors. Companies in the market that undervalue because of price fluctuations and changes in sentiment often exist in the long run, where the value is undervalued.In particular, companies with good quality and excellent management will eventually experience the process of value regression. Investment in this kind of companies can usually obtain stable excess returns. In this paper, a quantitative method is used to construct a double-factor model.This paper compares and selects the financial indexes of different listed companies representing the return on investment and the valuation of the company, in order to establish the basic stock portfolio with high return on investment and low valuation because of the limitation of the applicable scope of the selected financial and valuation indicators.This model can not select the financial stocks. In order to smooth this influence, this paper builds an extended stock portfolio according to the proportion of the HS300 index weight to the financial stocks.In 2010, China stock index futures contract was officially traded in CICC, which changed the situation that China's stock market could only do long unilaterally in the past. Investors can not only use short stock index futures to hedge the systemic risks of the market.We can also use leverage to amplify the return this paper can hedge the systemic risk of the market by constructing stock index futures positions corresponding to the stock portfolio to obtain Alpha returns at the same time.In order to avoid significantly lower portfolio return than the benchmark index in the unilateral rising market, this paper studies the technical index and trend of the market index and establishes the investment strategy of stock index futures improvement when the market is defined as a long rising market.We use stock index futures to improve our investment strategy, expose portfolio exposure, liquidate positions and build long positions to earn excess returnsFinally, based on the analysis of historical data, we find that the basic investment strategy can obtain stable returns while hedging the system risk, and the improved investment strategy can effectively increase the return of portfolio.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F275

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