财务估值指标量化选股及股指期货套保结合的投资策略研究

发布时间：2018-04-05 00:17

本文选题：量化选股　切入点：财务指标选股　出处：《上海交通大学》2014年硕士论文

【摘要】：中国证券市场发展至今已经超过20年，上市公司数量超过2000家，投资手段日趋多样化,投资者投资理念也趋于理性，市场中重视价值投资的呼声日趋强烈价值投资需要科学的研究方法和现代投资组合方法，，价值投资也要求投资者更注重企业的基本面财务指标是收集传达财务信息，说明资金活动，反映企业生产经营过程和成果的经济指标，一定程度上可以客观地反应企业的基本面状况同时财务指标也具有易于获取和便于比较等特点研究表明，股票的价格由于受市场情绪及其它因素的影响围绕股票价值波动，市场中由于价格波动和情绪变化导致价值低估的情况经常存在长期来看，价值被低估的公司，特别是质地优良经营出色的公司终究会经历价值回归的过程，投资这一类公司通常能够获取稳定的超额收益本文采用量化的方法构筑双因子模型，对不同上市公司代表投资回报率和公司估值的财务指标进行对比和筛选，以建立高投资回报率和低估值的基本股票投资组合由于选取的财务及估值指标适用范围的局限性，本模型不能选取金融类的股票，为平滑此影响，本文在基本股票投资组合的基础上按HS300指数权重占比加入金融类股票构筑扩展股票投资组合 2010年中国股指期货合约在中金所正式上市交易股指期货交易改变了以往我国证券市场只能单边做多的局面，投资者不仅能够利用做空股指期货来对冲市场的系统风险，也能够使用杠杆放大收益本论文通过构建与股票投资组合对应的股指期货头寸来对冲市场的系统风险，获取Alpha收益同时，为避免在单边上升市场中投资组合收益率大幅低于市场基准指数，本文对市场指数的技术指标和走势进行研究并确立了股指期货改进投资策略当市场被定义为多头上涨市场时，我们利用股指期货改进投资策略，暴露投资组合风险敞口，平仓套保头寸并建立多头头寸，以此获取超额收益最后，通过对历史数据进行回测分析，我们发现基本投资策略在对冲系统风险的同时可获取稳定收益，表现优异同时改进型投资策略可有效增加组合收益
[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.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F275

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