| ACKNOWLEDGEMENTS | 第4-5页 |
| ABSTRACT | 第5-6页 |
| 摘要 | 第7-19页 |
| 1 INTRODUCTION | 第19-27页 |
| 1.1 Research Background | 第19-22页 |
| 1.2 Research Significance | 第22-24页 |
| 1.3 Research Objective | 第24-25页 |
| 1.4 Research Method | 第25页 |
| 1.5 The Organization of This Thesis | 第25-27页 |
| 2 LITERATURE REVIEW | 第27-41页 |
| 2.1 The development history and status quo of quantitative investment abroad | 第27-28页 |
| 2.2 The Development History of Domestic Quantitative Investment | 第28-29页 |
| 2.3 Multi-factor Quantitative Stock Selection Model | 第29-37页 |
| 2.3.1 Principle of Multi-factor Quantitative Stock Selection Model | 第29-30页 |
| 2.3.2 Disposal of Candidate Factor | 第30-34页 |
| 2.3.2.1 Candidate Factor Selection | 第30-31页 |
| 2.3.2.2 Effectiveness Check of Candidate Factors | 第31-33页 |
| 2.3.2.3 Elimination of Effective but Redundant Factors | 第33-34页 |
| 2.3.3 Establishment of Model and Stock Selection | 第34页 |
| 2.3.3.1 Ranking the Score of Factors | 第34页 |
| 2.3.3.2 Establishment of Stock Selection Model | 第34页 |
| 2.3.4 Performance Evaluation of Multi-factor Quantitative Stock Selection Model | 第34-37页 |
| 2.3.4.1 Selection of Market Benchmark | 第34-35页 |
| 2.3.4.2 Evaluation Indicator of Return | 第35页 |
| 2.3.4.3 Risk Degree Indicator | 第35-37页 |
| 2.3.4.4 Frequency of Outperforming Benchmark | 第37页 |
| 2.4 Quantitative Time Selection Mechanism | 第37-38页 |
| 2.5 Quantitative Risk Hedging Theory | 第38页 |
| 2.6 Relevant Domestic and Foreign Research Overview | 第38-41页 |
| 3 CASE DESCRIPTION | 第41-53页 |
| 3.1 Company Profile | 第41-42页 |
| 3.2 Introduction of Present Stock Selection Model in Company A | 第42-51页 |
| 3.2.1 Data Selection | 第43页 |
| 3.2.2 Candidate Factors Selection | 第43-44页 |
| 3.2.3 Check of Effectiveness of Stock Selection Factors | 第44-47页 |
| 3.2.4 Elimination of Effective but Redundant Factors | 第47-48页 |
| 3.2.5 Establishment of Model and Stock Selection | 第48页 |
| 3.2.6 Check of Model | 第48-51页 |
| 3.3 Necessity of Improvement of the Present Stock Selection Model | 第51-53页 |
| 4 CASE ANALYSIS | 第53-61页 |
| 4.1 Quantitative Stock Selection Analysis for Company A | 第53-59页 |
| 4.1.1 Overall Analysis of the Quantitative Stock Selection Strategy | 第53-54页 |
| 4.1.2 Analysis of Quantitative Factors: One-sidedness of Selection andSingleness of Weight | 第54-55页 |
| 4.1.3 Transaction Analysis: Lack of Timing Transaction | 第55-56页 |
| 4.1.4 Position Adjustment Analysis: Regular Position Change: Reduce Benefitand Increase Retracement | 第56-58页 |
| 4.1.5 Systematic Risks Analysis: Lack of Hedging Strategy | 第58-59页 |
| 4.1.6 Position Risk Analysis: Lack of Capital Management System | 第59页 |
| 4.2 Reasons for the Improvement of Quantitative Stock Selection Model inCompany A | 第59-61页 |
| 5 SUGGESTIONS | 第61-84页 |
| 5.1 Overall Planning for Suggestions | 第61页 |
| 5.2 Specific Improvement Measures | 第61-84页 |
| 5.2.1 Improve the Market Factors: improve the market factors, introduceexpected factors, adjust the weight of factors dynamically | 第61-67页 |
| 5.2.2 Transaction Strategy Improvement: Add Timing Mechanism | 第67-71页 |
| 5.2.3 Regular Position Adjustment Improvement: Adjust Position Flexiblyaccording to the Market and Portfolio Performance | 第71-75页 |
| 5.2.4 Systematic Risk Reduction: Increase Hedging Mechanism | 第75-82页 |
| 5.2.5 Proper Position Adjustment: Establish Position Management System andImprove Strategy of Dynamic Position Adjustment | 第82-84页 |
| 5.2.5.1 Establish Position Management System | 第83页 |
| 5.2.5.2 Improve Strategy of Dynamic Position Adjustment | 第83-84页 |
| 6 CONCLUSION | 第84-87页 |
| 6.1 Summary | 第84页 |
| 6.2 The Reference for Quantitative Investment Domain | 第84-85页 |
| 6.3 The limitations and Further Research Direction | 第85-86页 |
| 6.4 Innovation of the Thesis | 第86-87页 |
| REFERENCES | 第87-89页 |
