In 2019, the leaders in quantitative investment performed well. According to the data, the Baoying CSI 100 index strengthened in 2019, and the net value of a increased by 46.45%.
The fund is managed by the quantitative investment team of Baoying fund. Liu Lijie, its person in charge, said that he is optimistic about the A-share market in 2020 and is mainly optimistic about the large financial sector, resource sector, new infrastructure, consumer electronics and advanced manufacturing industry.
fundamentals factor is the focus
It is noteworthy that not only in the past year, Baoying CSI 100 index enhancement a has led the list of annual net worth growth rate of similar funds for three consecutive years, ranking the top 20%: similar funds ranked 15th (15 / 116) in 2019, 14th (14 / 87) in 2018 and 4th (4 / 57) in 2017. It is not easy to achieve the top 20% in a single year, and it is even more difficult to rank in the top 20% for three consecutive years. If the performance is evaluated over a three-year period, Baoying CSI 100 index is enhanced a, ranking second among similar products.
When it comes to the logic of stock selection, Liu Lijie said that the basic logic of stock selection is based on the fundamental analysis of listed companies to tap trendy investment opportunities, such as sustainable growth and stable value. "We mainly do the quantitative model of medium and low frequency, and the fundamental factor is the focus of the model."
Liu Lijie once said that risk management is the most important module of quantitative investment system. He further explained that the risk management of the portfolio depends largely on the type of product. For products with a given benchmark (especially index enhanced products), portfolio risk management focuses on controlling tracking error and maximum relative pullback; For quantitative products of absolute return type, it is necessary to make a risk budget and pursue the maximization of portfolio return within a given risk budget.
At present, the mainstream quantitative strategies in the market include index enhancement strategy and active quantitative strategy. Liu Lijie said that the essence of index enhancement is consistent with active quantization, that is, index enhancement strategy is a kind of active quantization strategy. Generally speaking, the application of the index enhancement strategy is subject to more stringent product contract constraints, that is, it not only restricts the tracking error of the enhanced portfolio (for example, the annualized tracking error does not exceed 7.5%), but also limits the proportion of benchmark components contained in the portfolio (for example, the enhanced portfolio contains at least 80% of components). The active quantification strategy is not constrained by the above conditions and has more flexibility in investment management.
"The two types of strategies are targeted at different application scenarios. The index enhancement strategy can better meet customers' configurable needs on the benchmark index, while other active quantification strategies can provide higher excess returns at the expense of a certain deviation from the benchmark." Liu Lijie said.
solve the pain point of quantitative investment
Quantitative investment has been developed in the A-share market for many years. What is the future development direction? Liu Lijie believes that the development direction of A-share quantitative fund has two directions: from the perspective of relative income, the focus is still on tool products, but it needs to reflect more active management ability. The future market will be more structural opportunities. If the index enhancement under benchmark constraints and smart beta products can make a stable and sustainable alpha, they will be very competitive in the market. From the perspective of absolute return, the expansion of derivatives brings many new opportunities for quantitative investment. Making good use of the quantitative strategy of new derivatives tools can provide investors with different expected returns and risk products. Such fund products are expected to receive more and more attention from funds.
When it comes to the pain points of quantitative business development, Liu Lijie believes that several main pain points restricting the development of quantitative business are: first, the market is very homogeneous, and the strategy that can produce high alpha does not last long, such as the multi factor strategy of public offering products and the high-frequency quantitative strategy of private placement products; Second, at the income level, there is still a large gap compared with blue chip active equity products.
For the solution, Liu Lijie said that the first problem needs to be solved by continuously increasing the development of new strategies. We should make good strategic reserves, improve strategic flexibility and application scenarios, and make full use of market derivatives to provide customers with a variety of risk return characteristic products. The solution to the second problem is to continuously strengthen and deepen the research on quantitative fundamentals, appropriately improve the concentration of portfolio, fully expand the ability of quantitative trading and improve the overall income level while maintaining the traditional advantages of quantitative investment.
When it comes to the outlook, Liu Lijie said that he is optimistic about the A-share market in 2020. He is mainly optimistic about the large financial sector (securities companies and insurance), resource sector (the inventory cycle bottoms out and picks up), new infrastructure (5g, self-control and new energy sector), consumer electronics and advanced manufacturing.
(China Securities Journal)
