动态多因子alpha套利策略研究——基于A股市场的实证检验的中期报告.docx

动态多因子alpha套利策略研究——基于A股市场的实证检验的中期报告 摘要 本文旨在研究基于A股市场的动态多因子alpha套利策略，通过对中期数据的实证检验，探讨该策略的可行性和优越性。首先，本文介绍了动态多因子alpha套利策略的理论基础和构建框架。其次，针对A股市场的情况，本文选择了17个因子，并采取了移动窗口的方式，利用线性回归模型计算每期个股的因子暴露值和alpha值。最后，根据计算结果，我们构建了动态多因子alpha套利组合，与对冲组合、同等权重组合和市场平均组合进行了对比。 实证结果表明，动态多因子alpha套利组合相较于其他三种组合具有明显的超额收益，并且相对于市场平均组合，其风险也得到了有效的控制。此外，我们还对各个因子的单独贡献进行了分析，发现价值因子和质量因子的表现较为显著，而动量因子和盈利因子的表现相对较弱。最后，我们将研究重心转移到了后续的收益分析和优化方向的探索，旨在进一步提高动态多因子alpha套利策略的绩效。 关键词：动态多因子alpha套利；A股市场；因子暴露值；超额收益；风险控制 Abstract This study aims to investigate the dynamic multi-factor alpha arbitrage strategy based on the A-share market, and explore the feasibility and superiority of this strategy through empirical analysis of mid-term data. First, we introduce the theoretical basis and construction framework of the dynamic multi-factor alpha arbitrage strategy. Second, based on the situation in the A-share market, 17 factors were selected, and the factor exposure value and alpha value of each stock were calculated using a linear regression model with a moving window. Finally, according to the calculation results, we constructed a dynamic multi-factor alpha arbitrage portfolio and compared it with a hedging portfolio, an equal-weighted portfolio, and a market average portfolio. The empirical results show that the dynamic multi-factor alpha arbitrage portfolio has significant excess returns compared to the other three portfolios, and its risk is effectively controlled relative to the market average portfolio. Moreover, we also analyzed the individual contribution of each factor and found that the value factor and quality factor performed better, while the momentum factor and earnings factor performed relatively poorly. Finally, we shifted the focus of the research to subsequent return analysis and exploration of optimization direction, with the aim of further improving the performance of the dynamic multi-factor alpha arbitrage strategy. Keywords: dynamic multi-factor alpha arbitrage; A-share market; factor exposure value; exce