Abstract
In recent years, quantitative finance has become a major trend for investing which brings stable returns with controllable risks. Among various different quantitative strategies, multifactorial stock selection strategy based on fundamental data (e.g., financial statements, macro- and micro-economy data) is one of the widely investigated strategies. On this basis, this study chooses Chinese listed company to verify the feasibility and effectiveness of the stock selection strategy. To be specific, the Ricequant platform is utilized to realize the backtesting as well as data retrieving in order to estimate and evaluate the performances of the strategies. According to the analysis, several indicators show great ability to gain extra returns compared with systematic risks and market performances. In other words, the feasibility of explicability of the quantitative strategy based on multifactorial model is verified in Chinese market. Overall, these results shed light on guiding further exploration of fundamental analysis of different underlying assets based on multifactorial analysis.
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