Decryption of quantitative investment

Xu Yibo/Wen, following the 2004, 2005, Everbright Baode Letter Quantification Core fund and the investment Morgan Alpha Fund respectively issued, after 4 years, with the establishment of the fine quantitative Fund, as well as the China Sea Quantitative Strategy fund issued a few days ago, quantitative investment method once again caused the domestic market and investors attention. In the qualitative investment in the domestic fund market, quantitative investment is slightly mysterious, by the Sino-Sea Quantitative Strategy fund issue, China Sea Quantitative Strategy fund manager Mr. Li Yangang, Joint Securities New Product Development department Xiaijiang and the National Gold Securities Fund Research Center professionals on the relevant issues to explain, Unlock the mystery of quantitative investment one by one--fund manager Li Yangang, China Sea Quantitative Strategy fund manager Quantitative Investment fund investment another wave of Mediterranean quantitative Strategy fund manager Mr. Li Yangang has a profound quantitative investment theory and practical skills, is currently the number of investment in the field of research, one of the representative figures, He was invited to participate in the first China Quantitative Investment Forum in 2008 as a guest speaker.　　With the help of Mr. Li Yangang's introduction of the present situation of quantitative investment abroad and the detailed explanation of China Sea Quantitative Strategy Fund, we can gain different understanding and understanding of quantitative investment.　　Quantitative investment has long been popular in the birthplace of quantitative investment-North America has 6 years of first-line investment management experience of the Li Yangang, with many international renowned quantitative research institutions have close business exchanges and cooperation, therefore, talk about the development of quantitative investment and the status quo, Li Yangang familiar. Li Yangang introduced, as the originator of quantitative investment, Barclays Global Investors (BGI) founded the world's first quantitative investment strategy Fund in 1978. After 31 years of development, quantitative investment has now been widely recognized by investors worldwide. According to the statistics of the relevant agencies, in the United States retail market in the active equity fund, the Quantitative Investment fund occupies 16% of the market share, while in the competitive institutional investment market, quantitative investment has received more attention to BGI (Barclays Global Investment Management),　　SSgA (Tao Fu Global Investment Management Company) and Gsam (Goldman Sachs International Asset Management), led by a large number of quantitative investment as the core competitiveness of companies have become institutional asset management companies in the "Big Mac", BGI, with a scale of 1.4 trillion dollars, is at the top of the global asset Management scale. Quantitative investment creates "the most profitable fund manager", "talking about quantitative investment, not to mention a legend-James Simons", Li Yangang does not disguise his admiration for the investment guru, "James Simons is not only a world-class mathematician, but also one of the greatest hedge fund managers." Simmons has cleverly applied his mathematical theory to the practice of stock investment, and the Renaissance technology company he founded took 15 years to develop a computer model based on mathematical statistics thatModel, Simmons managed the Medallion Fund, from 1989 to 2006 of 17 years, the average annual yield reached 38.5%, and Warren Buffett in the past 20 years, the average annual return is only 20%. "Black swans in the financial markets have led to the decline of many once-famous hedge fund managers in the 1998 Russian Bond crisis, the 2001 high tech stock bubble crisis and the 2007 subprime mortgage crisis, but surprisingly, The Big Medal fund, managed by Simmons, has been unusually strong in several financial crises. A total of 2478.6% net returns for the December 1999 Medallion Fund, the first in the same period, more than one in the second Soros Quantum Fund, and only 9.6% in the same period.　　Even in 2007, when the subprime crisis broke out, the fund's return was still as high as 85%.　　Two years to build China Sea Quantitative Strategy Fund in 2007, Li Yangang back to the mainland, joined the China Sea Fund, to become the industry's new company investment in the field of leading figures. "One of the purposes of my return is to bring home the quantitative investment concept that has matured abroad," Li Yangang very seriously, "I think the quantitative investment in the country will have a very broad prospects for development, while the current domestic quantitative investment is still very small, not very competitive environment, There are also plenty of opportunities for the market to invest in quantity. "Li Yangang joined the China Sea Fund at the beginning, they began to strengthen the Fund's financial engineering team strength," we engage in quantitative investment, can not simply copy a set of foreign models to use, we must combine the actual situation of local development and continuous improvement of our own investment operation system,　　and a strong financial engineering team is the basis for ensuring the smooth development of quantitative investment, "Li Yangang stressed. After two years, Li Yangang has preliminarily completed his wish. With the joint efforts of Li Yangang and the 5-person financial engineering team of China and the sea, the Chinese Offshore Fund has formed a series of research results in terms of timing, allocation to stock selection and so on.　　After repeated modification and debugging of logarithmic quantization model, China Sea Quantitative Strategy fund has been successfully launched.　　Tailor-made introduction to behavioral finance theory Li Yangang has a registered Financial analyst (CFA) qualification, behavioral finance is one of his major research topics, and the China Sea Quantitative Strategy fund has also incorporated behavioral finance theory into the product design. "The domestic stock market is not effective enough, irrational investment behavior is still ubiquitous, so it is necessary and appropriate to introduce behavioral finance theory into domestic securities market", Li Yangang explained, "Traditional financial theory thinks that people's decision is based on rational expectation, risk avoidance, Utility maximization and the assumption of camera choice. But a lot of psychological research shows that people's actual investment decisions are not. Not every market participant can fully rationallyAccording to the model of the theory, people's irrational behavior plays an important role in the economic system. Therefore, we can no longer exclude human factors as mere assumptions, behavioral analysis should be included in the theoretical analysis, so as to guide decision-makers to make the right decision.　　"In the specific fund operation, the China Sea Quantitative Strategy fund through the behavioral finance theory, through the analysis market sentiment factor constructs the market bubble degree model, in order to judge the market bubble degree, as the big class asset allocation adjustment important basis."　　Quantification of the whole process in the sea quantification of stock investment ideas "quantitative model as the basis for asset allocation and construction of investment portfolio, the implementation from the first class stock Storehouse two class stock storehouse selection, to the industry configuration dynamic whole process quantification investment, Li Yan just a sentence summed up the China Sea Quantitative Strategy fund stock investment idea. First of all, select the most representative of the company to reflect the profitability of the indicators-the past three years, the average EPs, ROE, Gross margin, for all a-share listed companies to filter to get a level stock library. Secondly, through the profit index, the valuation index, the consistent expectation index, and with the help of the entropy method to determine the weights of each index, the ranking of the stock of the first class is ranked, and then the level two stock storehouse is screened. Among them, the unanimous expectation index is to obtain the average value of earnings expectation data of listed companies through the investigation of each brokerage analyst, so as to authoritatively reflect the expected level of the market to the company's future profit.　　Finally, in the industry weight allocation, the Black-litterman industry quantitative model is used to quantify the industry allocation and form the optimal combination to effectively improve the risk-benefit ratio of the investment.　　Mr. Li Yangang, Master of Business Administration at Simon Fraser University, Canada, registered financial Analyst (CFA), 8 years of securities experience. Mr. Li Yangang has served as overseas business Development manager and strategic development director of China Storage Development Co., Ltd., investment advisor and fund manager of London Asset Management Limited.　　July 2007 joined the China Sea Fund Management Co., Ltd., the current deputy general manager of the company, Investment Research Center General manager. Product designer says the joint Securities New Product Development Department Dr. Xiaijiang: Uncover the mystery of Quantification fund Joint Securities New Product Development department has the most powerful financial engineering team, the team has won the 2008 "New Wealth" the best financial engineering team first, and participated in the China Sea Quantitative Strategy Fund product design.　　Dr. Xiaijiang, as the backbone of the team, is one of the earliest professionals engaged in quantitative investment strategy research, and has a unique and authoritative insight into quantitative investment, and we have many questions, please Dr. Xiaijiang to answer.　　Quantitative investment is active investment rather than passive investment many people believe that quantitative investment is based on a pre-designed model of passive implementation of investment operations, as well as the indexation of investment is passive investment. "On the contrary, quantitative investment is an active investment," Xiaijiang very simply denied, "the theoretical basis of quantitative and exponential investment is completely different." Passive investment such as indexationThe rationale is that the market is completely effective, and any attempt to defeat the market is futile, so it is better to passively replicate the index in order to achieve the same level of income as the market. The theoretical basis of quantitative investment is that the market is ineffective, or weak and effective, so investors can take the market to taste the industry fundamentals and individual companies, the initiative to build a win over the markets of the combination of excess income, therefore, it belongs to the active investment. "Quantitative investment style more suitable for the current a-share market" compared to qualitative investment, the characteristics of the current a-share market is more suitable for quantitative investment objective, impartial and rational investment style. As to whether the quantitative investment method is applicable in China, Xiaijiang that the increase of the complexity and effectiveness of the stock market has challenged the individual combat ability of the traditional qualitative investment fund managers.　　Compared to mature overseas markets, a a-share market has a short history of development, weak effectiveness, the market has been wrongly priced in relatively large stocks, then leave the quantitative investment strategy to explore the market's ineffectiveness, the search for excess profit potential and space is greater. "In fact, in spite of the relatively short development process at home, from the domestic existing two have only adopted a quantitative investment method and has been operating for some time the fund to see that the quantitative fund can be proved to be adapted to the Chinese market, Xiaijiang to Everbright Core and the investment Morgan Alpha two funds to illustrate,　　Quantitative fund performance in a relatively long period of time is worth affirming, according to the Morningstar April rating, the two funds received two-year four stars and five-star rating respectively. Experienced fund managers in the quantitative investment is indispensable to the quantitative fund there is also a misconception that such funds rely on quantitative models as the basis for investment operations, then the fund managers, including the role played by the investment team is not much. In response, Xiaijiang explained that in the event of a market transition or a small probability incident, the computer could not replace the fund manager's judgment, in addition, in a volatile, non-unilateral market environment, the quantitative model of the new data is not completely satisfactory.　　Therefore, in the operation of the quantitative fund, there is still a need for experienced fund managers and investment teams to grasp some of the more macro and large trends, and the role of computer models in the normal market conditions, greatly reduce the workload of fund managers, and avoid the mistakes caused by human emotions. In addition, the quantitative fund can make full use of the external securities provided by the fundamental research support, and its own company's industry researchers to explore additional market information, the number of analysts to fill all the information into the database, and using the established quantitative model for analysis, ultimately by the fund manager of the investment plan design.　　Therefore, fund managers do not have to focus on trivial day-to-day information analysis, the actual main job is not to research listed companies and stock selection, but more to consider the changes in market trends, structural changes, and the model to add new useful information. The product design of the quantitative fund is very important for quantitative fund product design, Xiaijiang points out that while quantifyingThe fund generally uses the multifactor model to carry on the analysis and the screening to the stock, but the different quantification fund in the stock selection and the analysis angle, the industry analysis angle, the big class asset disposition and so on has the different mentality, therefore may reflect each individual characteristic. For example, the China Sea Quantitative Strategy Fund, which we have been involved in product design, we think that the fund is unique in several aspects, "Xiaijiang the Analysis," first, the introduction of a consistent expected indicators as the basis for stock selection, can be comprehensive, authoritative response to the market for the future earnings of listed companies expected level, Provide a more realistic and forward-looking basis for investment decision, and adjust dynamically according to the expected changes, and adapt to the fluctuation of stock market; the second is to adopt the most advanced Black-litterman quantization model in the industry configuration. The successful integration of the objective industry configuration thinking with the subjective industry research viewpoint; Thirdly, based on behavioral finance theory, the paper develops a unique market bubble model, which is more in line with the irrational component environment in a-share market. The unique feature of the China Sea Quantitative Strategy Fund is not only the use of the most advanced quantitative stock selection model and quantitative industry configuration model, but also the full and swift use of effective, valuable stock information, industry information and market inerrorformation, to capture market investment opportunities in all directions and dimensions, This is important for quantifying the successful operation of the Fund.　　Xiaijiang stressed. Mr. Xiaijiang, B.A. and Master of Nankai University, Ph. D., Department of Engineering and Engineering management, Chinese University of Hong Kong, joined the joint Securities in 2007, mainly responsible for quantitative analysis of a-share market, quantitative stock selection, portfolio optimization, structured product design, with profound mathematical statistics, econometric,　　The optimization algorithm and the Financial Mathematics Foundation, has published the academic paper in the international academic publication "Pacific Journal of Optimization". The research institute says the Gold Securities Fund Research Center: The Investment Quantification Fund is at the time of the National Gold Securities Fund Research Center in the fund industry Analysis of specialization, comprehensive, objective and so on to create a comprehensive evaluation system including fund products, fund companies, fund managers.　　As for the relatively new investment model of quantitative investment, as well as the Emerging China Sea Quantitative Strategy Fund, we also look forward to a more objective and impartial evaluation and suggestion from the third party in the National Gold Securities Fund Research Center, which will provide valuable reference for investors. Quantitative and qualitative complementary qualitative investment is based on in-depth fundamental analysis, supplemented by the research of listed companies, management exchanges, and various research reports. The portfolio decision-making process is that the investors, after synthesizing all the information, rely on subjective judgment and intuition to select stocks and build portfolios to generate excess returns. The basis of quantitative investment is also a deep understanding of fundamentals and meticulous analysis, essentially "the rational application of qualitative thinking", but more attention to "digital" backAfter the significance of the analysis of the statistical characteristics of the data in order to find the stock operating mode, and then excavate the intrinsic value. Compared with qualitative investment, quantitative investment has the following advantages: first, rationality. The quantitative investment takes the advanced mathematical statistics technology to replace the artificial subjective judgment, and can persist objectively and rationally.　　A complete quantitative analysis process will greatly reduce the impact of investor sentiment, avoid irrational investment decisions in the extreme frenzy or pessimism of the market, and thus have a strong self-regulation in the transformation of bull bear markets. Second, the market-wide stock selection, efficient processing.　　Quantitative investment can use a number of quantitative models for the market-wide investment targets for fast and efficient scanning screening, grasp the market every possible investment opportunities, and qualitative investment by human energy constraints, obviously can not take into account such a wide coverage. In addition, focus on portfolio control and risk management. The process of quantitative stock selection and combinatorial construction is essentially the process of making a portfolio under strict constraints and guaranteeing the expected income under the condition of effective control of risk level.　　In other words, the quantitative investment model can well reflect the combination of income and benchmark risk matching and consistent.　　Of course, qualitative investment and quantitative investment as long as the application of appropriate, can generate excess income, the two are not contradictory, quantitative investment based on fundamental analysis of the rational investment style, is precisely the traditional qualitative investment method of effective supplement. Current market environment is suitable for quantification fund operation this year, with economic data recovering, a sharp rebound in commodity markets and stock markets has been spurred by a steady flow of liquidity and intensive policies. Under this impetus, financial (including securities companies), real estate, resources and the benefit of the economic stimulus package of investment products such as the more flexible cyclical sectors of the industry received funding attention. In the future, with the government-led investment projects to carry out further implementation of the high investment growth, and enterprises to inventory the basic completion of the follow-up inventory investment to promote domestic economic growth continues to rebound.　　The tone of loose monetary policy will continue, and a new round of stimulus plans will be introduced, with ample liquidity and a warming policy side that have not changed, and the market outlook remains upbeat. At the same time we see that fundamentals are gradually changing: with the deepening of government-led investment plans, it is expected that investment growth in the 3 quarter will peak or fall; in the first round of investment-led stimulus, expanding consumption is another focus of policy; consumer goods and services have an advantage over cyclical industry valuations.　　The style of the expected market rally will shift: from a strong cyclical style to a weak cyclical style. Sudden changes in the market style will force the fund to adjust its heavy stock and industry structure, since the stock selection of the quantitative fund is focused on market-wide stocks, it is possible to have a more comprehensive choice of stocks with growth potential, and there are no problems that are not adapted to the abrupt changes in the market style, and the quantification fund through pre-set performance targets, Risk level and other parameters to define the Portfolio model, the selection of stocks meet the requirements, can ensure effective control of risk. So the market ringwill be well suited to quantify the investment operations of the Fund. China Sea Fund Investment Management Capacity evaluation of the Fund in the management of the long-term performance of the funds are good. We selected the 2007-2009-year quarter, the most volatile of the A-share market, to observe the yield of the product. Among them, the middle sea quality growth and medium-and long-term income gain ability outstanding, 09 1 quarter, 08, 07 of the income ranked in the forefront of the industry, won the National Gold five-star evaluation. In the full experience of the A-share market, the bull, the high quality growth in the sea is still outstanding performance. China Sea Energy Strategy both in the 1 quarter of 09 or 08 earnings are in the first half of the same sector. Although in the 07 and 08 performance rankings relatively backward, but in the first quarter of this year's performance is very good, the rankings jumped, is that the fund's long-term revenue acquisition capacity is strong.　　The fund's past performance is best reflected in the management team's outstanding investment management capabilities. In the field of quantitative investment, China Sea Quantitative Strategy fund will be led by Li Yangang, Li Yangang's profound quantitative investment theory and practical skills accumulated during his overseas work will be an important guarantee for its successful manipulation of the fund, and in addition, the China Sea Quantitative Strategy fund has developed a market bubble model based on behavioral finance theory, Precisely with Li Yangang the most advantageous research expertise is consistent, can be described as "treasure with generals", therefore, the Fund to achieve product characteristics and fund managers of the perfect combination of investment ideas.　　In addition, the 5-person Financial engineering team formed by Li Yangang has been able to fully meet the needs of the various links in the operation of the China Sea Quantitative Strategy fund, and is an important backing for the effective operation of the Fund.　　In view of the above, we think that the quantitative fund is a better investment variety, it is suggested that investors with certain risk tolerance can be appropriately configured, among which, the China Sea Quantitative Strategy fund is worthy of attention. China Sea Quantitative Strategy Fund basic Information Fund name China Sea quantitative strategy stock Securities Investment Fund (abbreviation: China Sea Quantitative Strategy stock) fund Code Transaction Code: 398041;TA Code: 39 Recruitment period May 20, 2009-June 19, 2009 investment target according to the quantitative model　　, select stocks, and actively allocate weights to seek the long-term stable value of fund assets.　　The investment idea takes the quantitative model as the foundation of the asset disposition and the construction investment portfolio, obtains the long-term steady income with the rational active investment Management. Performance comparison benchmark Shanghai and Shenzhen 300 Index price x80%+ Chinese bond Total index price x20% Asset allocation ratio equity assets 60% to 95%, bond assets (including short-term financing coupons and asset securitization products) 0%-40%, warrants investment 0%-3%,　　Government bonds maintained by the Fund in cash or due date within one year are not less than 5% of the net asset value of the fund.　　Risk-return characteristics The fund is a stock-type securities investment fund, which is a high risk variety in the Securities Investment Fund. The fund's long-term averageThe risk and expected income is higher than that of hybrid fund, bond fund and Money market fund. Transaction Rate Note: Subscription and purchase are used in the front-end charging agencies ICBC, Agricultural Bank of China, CCB, Bank of communications, investment banking, Minsheng Bank, Citic Bank, Shenzhen Development Bank, National Union Securities, Changjiang Securities, Haitong Securities, Galaxy Securities, Citic Investment securities, Guotai Securities, Wanguo Securities, GF Securities, Hunan Financial Securities, Societe Generale Securities, Huatai Securities, Oriental Securities, Soochow Securities, Citic Gold Securities, Jin Yuan Securities, Donghai Securities, China Merchants Securities, China Bank International Securities, Ping An securities, joint securities, Southwest Securities, Security Securities, Everbright Securities, Bohai Securities, National Securities, Qilu Securities, First venture securities, million joint securities, Hongyuan Securities, CIC Securities, National Yuan securities.