The Research Of The Quantitative Strategies Of China’s Securities Investment Funds

Quantitative investment is a kind of investment way which invests according to the previous assigned mathematical formula or logic program. According to the different logic which the quantitative investment is based on, they can be divided into technical quantitative method, fundamental quantitative method and other synthetic methods, including arbitrage and statistical arbitrage, investment strategies based on behavioral finance, short-extended strategy, etc. The advantage of quantitative investment lies in the fast information processing process, low cost, strong sense of discipline, suitable for financial derivatives and easy risk controlling. Problems are fat tail, similarity and trend change.In the developed countries such as European and American quantitative investment strategies have applied to funds for more than forty years. Before the financial crisis, quantitative funds performed overcome the opposite funds significantly, especially enhanced index funds performed much more than non-quantitative index funds, but after the financial crisis, quantitative funds have performed worse than the opposite funds generally, but the gap is not big. The development of quantitative funds of China is much late. The first quantitative fund in China, Everbright&Pramerica core quantitative fund, is founded in2004. Until2011-4-6, the average yield of9active quantitative funds is0.64%, overcomes the corresponding period yield of stock fund-1.39%and mingle fund-3.08%. Until2012-5, there are total14quantitative funds in China, of which there are10active stock funds,1active mingle fund and3enhanced passive funds.Previously quantitative investment was mainly used in non-public funds, but the recently emerging130/30short-extended quantitative investment strategy which is a compromise product of mutual fund and hedge fund and can be used in mutual fund is very popular with investors. Construct a130/30investment portfolio based on market model to investigate the alpha quantitative investment strategy and the feasibility of130/30strategy used in China. Choose samples from the component stocks of the Shanghai50index and the time span is7years. The conclude by empirical study is:a stock strategy works, which means China’s stock market is not weak effective yet. There are China’s stock market does not meet the weak effective. China’s stock market alternate show a momentum and reversal effect, but overall presents momentum effect;130/30combination strategy works. After considered transaction cost,130/30combination strategy can still win over index combination and pure long combination of the same strategy of choosing stocks, which means that130/30asset management mode is feasible in China; Securities loan interest rate influences enormously on the yield of130/30combination. At present under the10%securities loan interest rate level, 130/30combination can win over pure long winner portfolio.