1.81
big bounce
from July 20, 2004 the first quantitative funds only - Everbright Pramerica to quantify the core issue, now has 10 domestic fund market, quantitative investment funds, namely, the core of Everbright Pramerica, the JP Morgan Alpha, Castrol quantify Alpha, quantitative strategies in the sea, the Chamber dynamic alpha, Changsheng quantify the dividend policy, the rich in Shanghai and Shenzhen 300, Southern strategy optimization, Hua Tai Bairui quantified in advance, a long letter to quantify pioneer.
quantitative funds by the fund manager's investment philosophy, stock selection ideas of model or quantitative, on the one hand to avoid the fund manager's emotional and subjective decision-making interference; the other hand,
gucci sneakers, with the help of the computer model program and also to track and find a lot of manpower is less than the investment opportunities. Quantitative funds since the implementation of specific investment strategy, compared with traditional open-end funds, showing a different risk return characteristics, style of investment operations, and its investment performance has also been widespread concern in the market. This report has proposed the establishment of domestic research and analysis of quantitative funds.
one often-criticized performance of the legendary legends
only quantitative funds overseas has been a considerable size, its performance is very good. Co-founder of U.S. quantitative investment management James Simmons medallion fund, from 1989 to 2006 the average annual return rate of 38.5%, far exceeding the yield level of 20% of Buffett's annual rate of return,
air jordan shoes xi, number of international investment legend, and has supported the rise of the domestic quantitative funds and was hot. The performance of the domestic quantitative funds, but much less glamorous.
the focus of our investigation established before 2010, the Fund's historical performance quantified. Excluding index funds - the rich countries, after Shanghai and Shenzhen 300, a total of six visits object, namely the core of Everbright Pramerica, the JP Morgan Alpha, Alpha Castrol quantify, quantitative strategies in the sea, the Chamber Dynamic Alpha, Changsheng quantify the dividend policy. This six were investigated since the establishment of the Fund's income, nearly three years income, income and other indicators over the past year and found that alpha performed better than the dynamic Chinese business, the other fund's performance is very general, some similar funds at the end of fund performance, and higher risk and volatility, as the core of Everbright Pramerica,
supra tuf, the JP Morgan Alpha, Alpha Castrol quantified. The so-called income in China is only a legend of legends.
Table 1: quantitative funds historical performance
Fund Name
machinery, equipment, instruments
K
4.07
0.28
C99
bear market
----
0.01
inception
9.49
0.03
timber, furniture
quantify the investment in China has not achieved a mature market such as investment results. Difficult to implement in China mainly include: the domestic capital market is not mature, but clearly large fluctuations, it is difficult to find a stable and efficient quantitative model; the lack of adequate investment tools, making it difficult to quantify model features fully automated trading; domestic quantitative funds is not pure, mostly to qualitative analysis and quantitative analysis of the strategy, the face of pressure in the short-term performance is not a good implementation of quantitative investment strategies have been tantamount to the concept of the so-called quantitative.
6.64
I
27.21
115.08% (5 / 134)
the last three years
strategy
construction
24.48%
0.10
(117/160)
0.36
07.10.16-08.10.28
M
30.11
0.36% (109/144)
e
Second, the investment emphasis on the broader market ignored the hot market
0.44
5.06
2.53
0.49%
3.82
5.21
0.51
0.03
and Cultural Industry
food, beverage
0.82
E
D
0.03
B
1.89
(9 / 9)
1.31
income
Everbright Pramerica core
3.71
L
2004-08-27
(123/144)
stock
-69.00% (97/97)
annualized
0.44
0.59%
2005-10-11
11.25
2.83
2.12
1.73
6.05
agriculture, forestry, animal husbandry and fishery
5.53
3.48% (83/186)
2010Q3 2010Q2 2010Q1 2009Q4
1.20
period
6.12
13.02
6.55
0.60
After the earnings
(140/158)
496.21% (10/30)
0.31
0.00
Fund
3.67
0.94
volatility
0.57
F
0.83
stock
C
social services
5.17
stock
stock
0.54
0.67
Miscellaneous
code
6.61
-54.87% (26/97)
3.24
31.00%
Extractive Industries
7.43
(9 / 9)
Alpha
Finance and Insurance
transportation, warehousing
Alpha
CIFM
Chinese Business News
oil , chemical, plastic, plastic
8.03%
A
5.16
21.55%
2009-11-24
3.88%
0.00
market value of equity investments accounted for more than (%)
launch date
0.40
C1
44.30
metals, non-metallic
----
income
risk-adjusted
trade name
-4.36% (144/186)
0.30
fluctuated
3.26
10.76
8.74
11.46
electricity,
silver christian louboutin pumps, gas and water production and supply industry
C0
----
2.71% (90/186)
27.51%
C8
medicine, biological products
----
-0.77% (116/186)
type
(7 / 22)
4.88
Table 2: quantitative funds position structure
1.76
42.51
33.90%
-26.45%
561.86% (1 / 30)
0.62
(10/22)
212.09%
18.52% (3 / 159)
1.09
5.24
2009-06-24
other manufacturing
0.07
8.14
0.13
quantify the investment in China has not achieved excellent results. As China's capital market are unique, quantitative funds show different risk-return characteristics, style of investment operations, as follows: mediocre performance, part of the fund performance at the end of similar funds, and the higher risk and volatility; to focus on the industry for large-cap stocks major investments, and the structure is relatively stable position; in significantly better performance during the bull market in bear range. Investors in the purchase of such funds, should be well aware of the quantitative characteristics of the Fund. (Quantitative funds is their investment philosophy and understanding of the market-oriented model with a fixed number, while the market price always fluctuates around value, and sometimes will produce deviations from the value back to take some time. Therefore, quantitative funds position structure is relatively stable, not a short period of time certainly paid off the funds. investors to buy these funds, it should be clear to quantify the characteristics of the fund.)
0.49
1.79
1.04
2.40
-2.11% (124/186)
1.46% (19 / 158)
2009-03-20
C2
mixed
Table 3: Quantitative performance of the Fund Contracts
-39.92% (97/104)
6.55
dividend policy
12.43
1.47
Changsheng quantification
CIFM
4.76
3.85
1.50
C5
bull market
C3
Third, it is inevitable inability to adapt the concept to quantify just like
43.53
412.06%
80.87% (87/134)
-5.21% (109/164)
6.78
2009-11-25
-5.90% (114/164)
29.53% (112/144)
14.30% (7 / 158)
quantitative characteristics of the Fund decided to focus its not good grasp of the market. Quantify the performance of the Fund, especially short-term performance, often worse than those on the market more sensitive to hot and the restructuring of active fund positions. Quantified based on the six positions in the structure of fund analysis, the vast majority of quantitative funds in order to focus on large capitalization stocks as the main investment target sectors, such as six funds nearly four main positions tend to finance, insurance, mechanical equipment and meters, metal non- metals, plastics and other petrochemical plastic plate large market, but also in the vast majority of the reporting period remained stable [1]. Excluding Chinese businessmen Alpha, this feature will become more apparent. Quantify such features tend to make the Fund's performance during the bull market is better than a bear market range. A special fund is relatively dynamic alpha Chinese businessmen. Relatively decentralized structure of its positions, since the establishment of similar performance significantly outperformed the average.
Everbright Pramerica core
11.92
0.01% (102/176)
Paper printing
23.89
0.97
Alpha
26.59
J
(119/160)
7.08
06.01.01-07.10.16
6.06
0.31
(56/104)
C4
1.36%
wholesale and retail trade
0.64
7.03
income
Castrol quantitative
quantified in the sea
(22/160)
C6
stock
nearly a year
45.57
(4 / 22)
6.81
real estate
3.17
name
17.08% (33/176)
G
0.11
C7
Alpha
textiles, clothing, fur
7.51
Manufacturing
09.8.01-11.1.12
H
the information technology industry
(72/176)
08.10.28-09.07.31
(9 / 9)
Quantitative yield into the clouds, the legendary
Linear Mode
