Chinese Entrepreneurs Fund: Investing in the electronics industry at the right time
□ Our reporter Li Huimin and intern reporter Wang Yulu have been investing in the market for quantitative investment in recent times, and many fund companies have launched related products.
In this context, the China Commerce Electronic Industry Quantitative Equity Fund (referred to as “China Commerce Electronic Industry Quantification”) is being issued.
Deng Mo, the general manager of the quantitative investment department of China Merchants, a member of the investment decision-making committee, and the fund manager of the fund, said in an interview with the China Securities Journal reporter recently that from the perspective of growth and turning, the electronics industry will enter a new round of rapid growth cycle, And optimistic about the 5G industry chain in the segmented field.
For stock selection, another proposed fund manager, Ai Dingfei, said that the factor decomposition of the quantitative multi-factor stock selection model is mainly divided into five categories of estimation, profit, 苏州桑拿网 growth, transition and liquidity, with nearly 30 factors.
In terms of warehouse adjustment operations, monthly frequency data is used at the end of each month to train and calibrate the model, and warehouse adjustments are performed at the beginning of the month.
Strengthening the advantages of stock selection It is understood that the Chinese business electronics industry adopts quantitative enhancement strategies for quantification. It is mainly based on the combination of the classic multi-factor stock selection model and artificial intelligence algorithms. Based on the classic multi-factor model, it takes full advantage of the power of artificial intelligence algorithms.Learning ability and self-adaptability, adjust the factor selection and factor weight effectively in real time following the market changes.
Ai Dingfei introduced that the quantitative multi-factor stock selection model is used to map specific companies to multiple dimensions of price and price factors for analysis and research, screening individual stocks by scoring and scores; and machine learning mainly uses the AdaBoost algorithm. The core is through continuousGradually screen out the effective factors, and add or revise some of the stock weights that were invalid in the previous iteration at each iteration to supplement or improve the factors.
”The factors of the quantified multi-factor stock selection model are mainly divided into five categories of estimation, profit, growth, transformation and liquidity, and the number of factors is nearly 30.
Said Ai Dingfei.
Deng Mo said: “Subjectively, it is necessary to choose good stocks at a cheap price. ‘Cheap’ is equal to ‘Estimation’, and ‘Good Stocks’ means ‘Profits’.
“Before screening individual stocks, we will pay attention to the overall situation of the industry from top to bottom.
From a long-term perspective, it focuses on the overall profitability of the industry through cash flow, gross profit margins, ROIC and other aspects, and focuses on the allocation of related industries during the rising period of ROE.
As for the operating budget, Ai Dingfei proposed that the monthly frequency data will be used to train and calibrate the model at the end of each month, and the warehouse will be adjusted at the beginning of the month.
Each time, about 30 stocks are selected for equal weight allocation. The bad stocks are excluded by reviewing the fundamental data of each stock, and the 50 stocks with the highest weight in the index are configured at the same time.
At the same time, in terms of risk control, the quantitative risk control model is used to monitor and control the exposure of portfolios in various risk dimensions in real time, and the stop loss line for individual stocks is 20%, and the combined take profit line is a reduction of 2 times the standard deviation of historical returnson.
In terms of asset allocation, the Chinese business electronics industry will also quantify factors such as macroeconomic data and capital market data to determine the current market risk at the current point of time, so as to appropriately adjust the proportion of various assets and moderately reduce the risk of portfolio systematic investment and improveThe fund’s risk adjusted returns.
Optimistic about the 5G industry chain, the Chinese electronics industry’s quantitative investment in listed companies in the electronics industry.
Therefore, the profit and growth factors for the electronics industry are particularly increased in certain factor pools.
According to Deng Mo, “At present, electronic components belong to the upstream of the electronic information industry chain, and are the basis for the development of systems and terminal products such as communications, computers and networks, and automobiles.
Wind data shows that as of July 29, 2019, since the base day of the CITIC Electronic Components Index (December 31, 2004), the index yield has reached 387.
82%, the Shanghai Composite Index yielded 130 during the same period.
90%, actually outperformed the Shanghai Composite Index; since 2019, the CITIC Electronic Components Index yields 36.
03%, outperforming the 18-digit Shanghai Composite Index over the same period.
Specific to the electronic information industry segment, Deng Mo is optimistic about 5G.
“2019 is the first year of 5G. From next year to 2022, the wave of 5G mobile phone replacement is coming. Based on the penetration rate of 4G, the probability is rising from 10% to 60%, and there is a lot of room.
At the same time, the new wave of technology brought by the upgrade of communication standards, future applications such as auto driving, AR, and VR can be truly implemented. It is expected that in 2020, core cities in China will achieve 5G network coverage, and 5G will reach usEnter the age of the Internet of Everything.
“China Business Electronic Industry Quantitative Dating” Initiative “Mechanism, China Business Fund invested more than 10 million yuan to subscribe the fund, and the fund ownership holding period of the fund subscription was more than 3 years from the effective date of the fund contract.Someone shares the benefits.