Abstract: Components of CSI 300 are used as a stock pool to construct a quantitative stock selection model that can continuously beat the market. The first step starts with the fundamentals and 50 long-term dominant stocks are filtered out through a multi-factor scoring model. These companies are in good operating conditions, but they may be affected by market shocks in the short term. Therefore, in the second step, the support vector machine is introduced to analyze the long-term dominant stocks, and the top 10 stocks with the highest probability of rise are selected to hold. The cumulative return rate of the model during the period of 2015-2017 reaches 73.03%, the annualized rate of return is 20.05%, and the Sharpe ratio is 0.54, far exceeding the performance of CSI 300 over the same period.

Key words: quantitative investment, multi-factor model, support vector machine, stock, CSI 300