Foreword:
In the environment of unsupervised self-study, you can only rely on Internet search to record some knowledge definitions that will be used, so as to facilitate future learning, and update frequently from time to time.
1: CAPM capital asset pricing model
2: CAPM model: The excess return rate of an investment portfolio can be explained by its exposure to three factors, these three factors are: market asset portfolio (Rm-Rf), market value factor (SMB), book-to-market value ratio factor (HML) )
3: ROE return on equity return on equity
4: ROA return on assets return on assets
5: Net profit ratio = net profit/total operating income
6: Beta is a risk measurement indicator, which refers to systemic risk indicators. The larger, the greater the systemic risk of the fund. According to the CAPM model, beta is equal to 1, which means that the fund and the market have the same systemic risk. Greater than 1 means that the fund has greater systemic risk than the market, that is, the market rate of return changes x
5: Five steps of multi-factor quantitative stock selection: factor selection, factor validity test, factor screening, comprehensive scoring model, model evaluation and improvement
6: PB price to book ratio The ratio of stock price per share to net assets per share. Stocks with lower pb have higher investment value
7: BM book to market (the reciprocal of PB) refers to the ratio of the company’s book value to the market value of stocks. Stocks with low book to market value ratios are generally called growth stocks, and high BM stocks are generally called value stocks
8: Three-factor model: E(Rit) −Rft= βi[E(Rmt−Rft)] +siE(SMBt) +hiE(HMIt)
Rft : risk-free rate of return at time t; Rmt: market rate of return at time t
Rit : the rate of return of asset i at time t; E(Rmt) − Rft: market risk premium
SMBt : The simulated portfolio return rate of the market value factor at time t (Small minus Big)
HMIt : The simulated portfolio rate of return (High minus Low) of the book-to-market factor at time t
β, si and hi are the coefficients of the three factors respectively, and the regression model is expressed as follows:
Rit− Rft= ai+ βi(Rmt− Rft) + SiSMBt+ hiHMIt+ εit
9: Linear regression is a statistical analysis method that uses regression analysis in mathematical statistics to determine the quantitative relationship between two or more variables. It is to generate an equation that determines the relationship between the independent variable and the dependent variable.
10: Y=f(X) This formula is expressed as: Y changes with X. Y is the dependent variable and X is the independent variable.
11: The median value, also known as the median, means that the variable values in the statistical population are arranged in order of magnitude to form a series. The variable value in the middle of the variable series is called the median. When the variable value item number N is odd, the variable value in the middle position is the median; when N is even, the median is the average of the two variable values in the middle position.
12: Weighted average: each value is multiplied by the corresponding weight, and then summed to get the overall value, and then divided by the total number of units.
Significance: If the stock price is higher than the weighted average, the price will move up slowly or rapidly in the future, that is, the price will be easy to rise but difficult to fall or continue to improve. On the contrary, if the stock price is lower than the weighted average, the later price will move down slowly or rapidly, that is, the price will be easy to fall but difficult to rise or continue to decline.
In addition, if the stock price is higher than the weighted average, there is a narrow range or a downward movement, which indicates that the stock price will slow down or turn back. Similarly, when the stock price is lower than the weighted average, the situation is the opposite. The reason is that the stock price cannot be supported by the same moving direction of the weighted average due to the upward or downward trend, and the space for further rise or fall will become limited. It should be noted that the weighted average will exert a pull on the stock price and prevent its rise or fall from expanding.
13: Alpha: the excess return of the portfolio, which represents the manager’s ability; a positive Alpha, the larger the better, for example, the Shanghai Stock Exchange Index rose 2%, and the stock I bought rose 5%, relative to the rising index. Earn 3% more and the alpha is 3%.
14: Beta: Market risk, initially mainly refers to the systemic risk or return of the stock market, relative to the sensitivity of market benchmark price changes. The higher the beta value of a stock, the greater the range of its price fluctuations and the greater the risk.