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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

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