Research on Multi-factor Fundamental Stock Selection

Abstract

Although more and more people are interested in stock investment, many investors (especially retail investors) do not know enough about the stock market, resulting in serious losses in investment. In order to reduce the losses of first-time investors, this paper borrows the hot multi-factor fundamental stock selection in recent years, screens out effective factors from valuation, profitability, solvency, growth ability, operating ability and other aspects, and conducts backtesting with the help of the Ricequant platform to conduct factor screening research, and obtains a combination of returns higher than the average return of the market. The backtest period is from January 1, 2020 to January 1, 2023, with the Shanghai Shenzhen 300 INDEX as the research object. Through backtesting, this paper recommends that investors judge the future returns of stocks from different perspectives, and select multiple financial variables with low correlation as factors as much as possible, which can enhance the model information capture ability and improve stability. I hope that the analysis of the article will be useful to investors.