基于时间序列的Alpha投资策略设计

Time-series-based Alpha Investment Strategy Design

文章基于资本资产定价模型(CAPM)和Alpha的各类影响指标,对2015年1月1日至2019年5月1日沪深300指数的300支成分股的历史收益率进行了Alpha数值计算,通过平稳性检验、模型识别等步骤建立平稳时间序列模型,估计得出各股票未来的Alpha值,然后筛选出正Alpha数值的股票构建投资策略组合。最后根据股票仿真交易检验投资策略的准确性,并通过净值、最大回撤率和收益率检验投资策略的有效性。根据实证分析结果可知,作者建立的投资策略模型的准确性和有效性较高,这对投资者未来创建投资策略组合具有一定的借鉴意义。

In this paper,the historical return rate of 300 stocks in the csi 300 index on January 1,2015 and May 1,2019 was selected. Alpha value of the stocks was calculated based on CAPM and Alpha. Then the stationary time series model was established through the stationary test,model identification,and other steps to estimate the future Alpha value of each stock. Finally,stocks with positive Alpha value were selected to construct the investment strategy portfolio. Based on the investment strategy portfolio,the accuracy of the investment strategy was verified according to the stock simulation transaction. The net value, maximum withdrawal rate,and return rate of the investment strategy portfolio were further tested to verify the effectiveness of the investment strategy. According to the results of empirical analysis,the accuracy and effectiveness of the investment strategy model established in this paper are relatively high,which has certain practical significance for investors to create investment strategy portfolios in the future.