Abstract:
In the international , a growing number of fund managers are entering the field of quantitative stock. Particularly since last year, quantitative mutual funds have become more popular, both large and small fund companies have been stepping up the pace of the introduction of computer-assisted investment portfolio optimization model.

So far, the scale quantitative funds has been considerable development, and gradually become a mainstream form of investment. This in itself is also dependent on quantitative investment advantages of the computer technology to achieve the quantitative strategy provided a tremendous help, enabling quantitative investment become stronger and better science to control investment risk, lower investment costs, to give investors good returns.

Quantitative funds has become a mainstream investment, many well-known companies are beginning to invest in the operation of quantitative funds.

Current quantitative investment ideas still many investors were not entirely acceptable to all this fair, objective and rational discipline of investment ideas, remains to be done, particularly to China is far from being a mature capital market and the many institutions and individual investors and more.

By Xie Jiang [Fund China Statement: If reproduced, must contact us.]

Surging quantitative funds.

Many traditional mutual fund managers use quantitative methods selected small portion of the stock, and then use fundamental analysis approach for a detailed study. However, the quantitative fund managers rely on computer analysis of the quantitative method of stock selection. Unlike fundamental analysis using a fund manager needs the right stock for each individual and in-depth analysis, quantitative methods most of the major concerns listed companies those attractive characteristics or factors. The former can be said to witness the depth, which mainly concern the surface things.

In the international , a growing number of fund managers are entering the field of quantitative stock. Particularly since last year, quantitative mutual funds have become more popular, both large and small fund companies have been stepping up the pace of the introduction of computer-assisted investment portfolio optimization model.

1, the quantitative funds is growing rapidly

We see a number of mutual funds use quantitative methods for screening stocks and investment portfolio optimization. According to Jimmy Bo Lipper data, in 2006 the number is 81 by adding funds to the mutual fund family, and only 2,005 additional 21, 2001 an increase of three quantitative funds. In 2006, quantitative fund management scale from the end of 2002 increased by 19 billion US dollars to 40 billion US dollars. Companies like Evergreen Investments Investment Officer Bill Zeiff said : “The first quantitative investment into a mainstream direction, which is a critical turning point!”

2, quantitative funds growing scale.

Recently, compared active funds, quantitative funds asset size was also increased significantly. Until the end of 2004, 70 quantitative fund management assets over 157 billion US dollars, in 2001 compared to the 880 billion dollars in assets, almost double the average annual growth rate of 21%. Over the same period, non-quantitative funds assets from the 720 billion US dollars rose to 925 billion US dollars, an annual growth of around 9%. Meanwhile, according to the Vanguard report, quantitative funds management assets accounted for active fund management assets ratio from 2003 of 13% to 16%.

3, quantitative methods pay more attention to risk control.

Individual investors have to bear the painful memories, and the quantitative model than active fund managers to pay more attention to risk management, as well as individual investors choose quantitative funds one of the reasons. Quantitative model uses a systematic investment strategy is put aside personal emotions, it is to attract institutional investors, the important factor, and now also to attract individual investors.

4, the management of low cost.

Many aspects of the rates charged to the quantitative funds and management costs than traditional active funds are much lower, because they need less of staff, a researcher at the stars are few. According to Lipper survey, quantitative funds is the average cost of 1.32%, compared with the management of the active funds is the average cost of 1.46%.

Quantitative investment strategies are popular.

Over the years, although investment funds popular style changed, but many of the big fund managers that quantitative funds to become the mainstream. The statistics from Lipper data, the quantitative funds of the past performance is quite good. Five years, the average annual yield of the highest quantitative fund of up to 31.67%, for example, the American Century Global Gold Fund.

1, the number of companies issuing quantitative funds.

In the past few years, Vanguard, Federated, Janus, American Century, AllianceBernstein, Evergreen and Schwab have begun operation in quantitative funds, and they all joined Barclays Global Investors and LSV Asset Management of the camp, the latter two quantitative fund management is the largest of the two companies. In addition, Numeric Investors AQR Capital Management, and is the fastest growing quantitative fund companies.

Barclays Global Investors (BGI) can be said to be the originator of quantitative investment, in 1971 founded the first index strategy fund, in 1978 founded the first quantitative investment strategy fund. In the past 30 years, BGI can be said in quantitative investment community center stage, even in the initiative investment is a major success.

2, the acquisition quantitative investment company operations continued to increase.

Based on the quantitative investment in the good prospects, the acquisition quantitative investment company also has started action. For example, in July 2006, Federated spend 240 million US dollars to acquire privately held MDT Advisers, which is based in Massachusetts, one of the quantitative investment company, under the management for about 70 billion dollars in assets (assets more substantial sum, but it has a 18-year history of the company too many who are not). MDT company’s Web site at Home “Relentlessly Disciplined Quantitative Strategies” Such words, it also shows that MDT has stuck to its investment values. Federated entered the MDT will bring strong sales channels, expand MDT institutional investors influence. All these indicate that Federated right quantitative investment favor.

In February 2006, Janus Capital increase its Enhanced Investment Technologies (INTECH), the equity ratio to 83%, which is an agency quantitative investment company. Janus equity share of the total share value of 1.8 billion US dollars, accounting for its market value is 4.4 billion US dollars of 40%, this quantitative investment subsidiaries in the second quarter of the net inflow of assets 2.6 billion US dollars, while its assets while Janus has lost three billion US dollars.

3, quantitative research company also acquired ranks.

In 2000 when the purchase of a small quantitative research firm Chicago Analytics, Schwab issued a series of quantitative funds, but the effect will be first rate. Schwab recently added three quantitative funds, a total of 20. Analysts expect such behavior will continue, because the huge market demand does exist.

In addition, in June 2006, American Century has issued three quantitative funds, a total of 10. From the beginning of 2000, Evergreen has been in its global product line began to use quantitative models. AllianceBernstein have issued quantitative funds. In April 2006, Vanguard Strategic Issue Small-Cap Equity Fund, the number of its quantitative funds reached seven. This shows that the quantitative funds has been gradually warming up, the rapid expansion in scale.

Quantitative investment summary

Although quantitative funds have become increasingly popular, but not everyone has that quantitative funds in terms of individual investors continued success. It was keen that the main quantitative funds or institutional investors, quantitative method of individual investors still do not fit. Some people think that quantitative fund is based on the people, is a deviation of personal judgment, coupled with data mining, coupled with the retroactive testing deficiencies. Moreover, quantitative methods in the past even if feasible, it may not be useful in the future, no matter how good a historical simulation.

Furthermore, some people believe that quantitative method is not transparent, not a lot of quantitative funds disclose their stock picking criteria, some quantitative Fund tight-lipped about its strategy for fear that others copy their strategy. Some people think that quantitative strategy is not easy to understand, even if the investment adviser is not easy to understand, even alone ordinary investors. Therefore, some experts think the some traditional mutual fund sells good.

However, to date, quantitative funds are very popular. The biggest problem is still the quantitative strategy should be the core asset allocation strategy. If quantitative fund is performing well, then it is very easy to convince investors to invest, such support by the computer model of quantitative investment approach can continue to exist. However, we believe that a fair, objective and rational quantitative stock selection method has its own unique characteristics and advantages, with the quantitative funds in the market, the performance of an increasingly prominent, the market quantitative investment acceptability will gradually improve.

Copyright Fund China 2009.

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