版權說明:本文檔由用戶提供并上傳,收益歸屬內(nèi)容提供方,若內(nèi)容存在侵權,請進行舉報或認領
文檔簡介
1、investmentresearchThisrepthasbeenpreparedbyUBSSecuritiesAsiaLimited.ANALYSTCERTIFICATIONREQUIREDDISCLOSURESBEGINONPAGE34.TherecommendationsinthisreptarebasedonUBSsproprietaryquantitativemodels.Theserecommendationsaremade
2、independentlyoftherecommendationsofUBSsfundamentalequityresearchanalysts.UBSdoesseekstodobusinesswithcompaniescoveredinitsresearchrepts.Asaresultinvestsshouldbeawarethatthefirmmayhaveaconflictofinterestthatcouldaffectthe
3、objectivityofthisrept.Investsshouldconsiderthisreptasonlyasinglefactinmakingtheirinvestmentdecision.??GlobalResearch18June2019QuantitativeMonographsWhatyouneedtoknowaboutquantinvestinginChinaWhat’suniqueWhat’schangedhoww
4、illitevolveChinaisaliquidmarketpresentsagoodopptunityfstockpickersgivenitshighlevelsofreturndispersion.Inthepastthreeyearswithgrowingsignificanceofglobalinvestsdecreasingparticipationofretailinveststhemarkethasbecomemeef
5、ficient.Finstancetheanomalyofpricereversalhasdisappearedwithlessretailparticipation.DespitethechangesfactssuchasLowRiskValuehavecontinuedtogeneratestrongerexcessreturnsinChinaasthemarketisrelativelyunderexpledbyinstituti
6、onalquantitativemanagers.HowcaninvestsaccessChinaChina’sAsharemarketprovidesavarietyofinvestableuniverseswithdifferentsizesectgrowthprofiles.Withacceleratingmarketopeningthediversifiedmarketcouldcatertodifferentmatesofin
7、ternationalinvests.InthisnotewefocusonfiveuniversesmostfrequentlyaskedbyclientswhicharealllistedChinaAsharesNthboundMSCIChinaAOnsheCSI300CSI500indexconstituents.Fsystematicinvestsinaboveuniverseshedgingtoolsareavailablea
8、treasonablecosts.HowtopickstocksinasystematicwayFeachuniversewepickoutthebestperfmingmodeloutofthreestockionmodelsincludingaQuantamentalmodel(rept)amodelbasedoninvestflowssentiment(rept)amodelbasedoncpatemanagementturnov
9、er(rept).Backtestresultsshowthatinthepast12monthstheQuantamentalmodelinCSI500wouldhavedeliveredthehighestannualisedexcessreturnof13.5%befecost7.7%afterestimatedhedgingcostinCSI500.Basedonthebestperfmingmodelineachunivers
10、eweprovidestockscreeninginalatersectionoftherept.Figure1:BestperfmingstrategyineachuniverseNote:Thistdisplaysthebestperfmingmodelineachuniverse—aninvestflowmodelinalllistedAsharesNthboundasixfactmodelinMSCIChinaAonsheCSI
11、500aCEOturnovermodelinCSI300.TheperfmanceiscalculatedusingcapweightedUSDreturnsoftop20ptfoliosminusbenchmarkineachuniverse(excepttheCEOturnovermodelwhichislongshtperfmance).ThebacktestisfromMay2015duetodatalimitininvests
12、entimentCEOturnover.FlongertermfactmodelrefertoFigure58.Source:MSCIWindUBSQuantitativeResearch10%0%10%20%30%40%50%60%201505201508201511201602201605201608201611201702201705201708201711201802201805201808201811201902Nthboun
13、dalllistedAsharesMSCIChinaAOnsheIndexCSI500IndexCSI300IndexEquitiesChinaQuantitativeCathyFangPhDAnalystS1460518100001cathy.fang@862138668891PaulWinterAnalystpaulj.winter@61293242080OliverAntrobusCFAAnalystoliver.antrobus
14、@61392426467PieterStoltzAnalystpieter.stoltz@61293243779LukeBrownCFAAnalystluke.brown@61293243620AaronGuoAssociateAnalystaaron.guo@85229717705ClaireJonesCFAAnalystclairec.jones@442075681873AmaJgensenAnalystama.jgensen@44
15、2075683072reasSchroederCFAAnalystreas.schroeder@442075684432QuantitativeMonographs18June2019??3PerfmanceoverviewAnactivemarket…Sinceitsinceptionin1991Chinasdomesticequitymarkethasgonethroughperiodsfdramaticchangesrapidde
16、velopment.Aftertwentyeightyearsinoperationithasbecomeoneofthelargestmostliquidmarketsinthewld.AlthoughitsmarketcapisjustoveronefifthoftheUSmarketcapitstradingvolumeiscomparabletosometimesevenhigherthanthetradingvolumeint
17、heUS.Theextremelyhighturnoverismainlydrivenbyalargeproptionofretailinvestsinthemarketwhotrademuchmeactivelythaninstitutionalinvests.Figure2:Histicalmarketcap(US$trn)Figure3:Monthlyvaluetraded(US$bn)Source:BloombergUBSQua
18、ntitativeResearchSource:BloombergUBSQuantitativeResearch…withstrongperfmanceTheChinaAsharemarkethasbeengeneratingdoublethereturnsofUSHongKongsince20061.Althoughmarketvolatilityhasalsobeenhigheronariskadjustedbasis(measur
19、edbySharpeRatioCalmarratio)Chinastillhasthebestperfmance.Figure4:PerfmancecomparisonbetweentheUSHongKongChinaUSmarketUSmarketHongKongmarketHongKongmarketChiChinadomesticmarketnadomesticmarketRussel3000Russel3000S&P500S&P
20、500MSCIUSMSCIUSHangSengHangSengIndexIndexMSCIMSCIChinaChinaMSCIMSCIHKHKShanghaiShanghaiCompositeCompositeCSI300CSI300IndexIndexMSCIChinaAMSCIChinaAOnsheOnsheAnnualisedmeanreturnAnnualisedmeanreturn7%7%7%7%10%8%12%16%15%A
21、nnualisedmedianreturnAnnualisedmedianreturn13%13%13%12%22%9%11%15%15%AnnualisedstarddeviationAnnualisedstarddeviation15%14%14%21%26%20%29%32%31%SharpSharperatioratio0.480.490.490.310.400.370.420.520.49MaxdrawdownMaxdrawd
22、own53%53%52%59%66%57%68%68%67%CalmarratioCalmarratio0.140.130.130.110.160.130.180.240.23MinimumMinimummonthlyreturnmonthlyreturn1%2%2%3%3%2%3%4%4%MaximummonthlyreturnMaximummonthlyreturn3%3%3%4%5%4%5%6%6%Note:Timeperiodf
23、thecalculationisfromJan2006toMay2019.AllreturnsareinUSdollars.Source:DatastreamWindUBSQuantitativeResearch1Werunanalysessince2006afterChinaintroducedtheSplitShareStructureRefm(SSSR)051015202530350123456789100607080910111
溫馨提示
- 1. 本站所有資源如無特殊說明,都需要本地電腦安裝OFFICE2007和PDF閱讀器。圖紙軟件為CAD,CAXA,PROE,UG,SolidWorks等.壓縮文件請下載最新的WinRAR軟件解壓。
- 2. 本站的文檔不包含任何第三方提供的附件圖紙等,如果需要附件,請聯(lián)系上傳者。文件的所有權益歸上傳用戶所有。
- 3. 本站RAR壓縮包中若帶圖紙,網(wǎng)頁內(nèi)容里面會有圖紙預覽,若沒有圖紙預覽就沒有圖紙。
- 4. 未經(jīng)權益所有人同意不得將文件中的內(nèi)容挪作商業(yè)或盈利用途。
- 5. 眾賞文庫僅提供信息存儲空間,僅對用戶上傳內(nèi)容的表現(xiàn)方式做保護處理,對用戶上傳分享的文檔內(nèi)容本身不做任何修改或編輯,并不能對任何下載內(nèi)容負責。
- 6. 下載文件中如有侵權或不適當內(nèi)容,請與我們聯(lián)系,我們立即糾正。
- 7. 本站不保證下載資源的準確性、安全性和完整性, 同時也不承擔用戶因使用這些下載資源對自己和他人造成任何形式的傷害或損失。
最新文檔
- 你需要知道的國外典故
- 你需要知道的的唯美英文
- 你需要知道的惡意評價相關問題
- 選購空調(diào) 你需要知道的幾個參數(shù)
- 你需要知道的人際吸引力
- 試管移植后0--14天-你需要知道的!!
- 媽媽,這些你要知道
- 職場快速升職秘訣,這8個技巧你需要知道!
- 簽約前需要知道的問題
- 量化投資策略研究
- 人生需要知道的20個故事
- 債券投資,你必須要知道六件事
- 護士需要知道的臨床危象搶救
- 想開一家繪本館?你可能需要知道這些
- 關于戰(zhàn)略采購與傳統(tǒng)采購你需要知道的知識點
- 新手烘培需要知道的基本工具
- 20考研,這些信息你要知道
- 量化投資——策略與技術
- 在做性能測試之前需要知道什么
- 家長需要知道哪些早教常識?
評論
0/150
提交評論