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【出版时间及名称】：2010年3月中国证券市场数量化投资策略报告
【作者】：野村证券
【文件格式】：pdf
【页数】：42
【目录或简介】：
Towards the futures
􀁣 Latest market initiatives in domestic China and their implications
In early January, the CSRC announced that the State Council had approved in
principle the launch of a pilot scheme for margin financing and securities lending
and the introduction of index futures. The initial launch will take a conservative
stance with a small scale in the next few months. Although the scheme will take a
gradual pace and it is not clear whether QFIIs can participate, investors who want
to grab investment opportunities in China should pay attention to the new
developments to be better prepared. Past experiences in other markets suggest
these initiatives will facilitate new trading and hedging tools, and offer a short sale
mechanism that should help improve management of market risk, attracting foreign
institutional investor participation and reducing market volatility over the long term.
􀁤 Factors that work — and when they work best
We study the performance of 18 quantitative factors. For the whole period, smallcap
and value investing produced the best risk-adjusted performance, followed by
revision-related factors. We also see a noticeable reversal effect. Earnings-revision
and growth factors have an increasing impact during times of rising interest rates,
while the efficacy of value improves when interest rates are heading south. Similar
to the rest of Asia, the China market has been dominated by a risk-relief value rally
and has experienced a small-cap and reversal effect over the past year.
􀁥 An overview of relevant quantitative strategies
We examine a variety of long-short models that appear relevant in China. RCVBbased
composite value and enhanced earnings-revision strategies have delivered
the best risk-adjusted returns. Differential beta is an effective source of alpha, and
similar to Asia, the risk factor tends to have unstable performance especially under
more volatile market conditions. Using residual return and focusing on lowdispersion
stocks in a return-reversal strategy can help investors effectively screen
for stocks that are more likely to show a price reversal after investor overreaction.
Theoretical returns from some models are higher for the short side, perhaps partly
reflecting the lack of a mechanism for investors to exploit these opportunities in the
past. Once the new initiatives are in place, the spread return could narrow.
􀁦 Back-tested pair trading opportunities
We back-test pair trading opportunities in terms of the potential tradable A-share
universe and historical performance. The results are profitable, indicating
opportunities should exist in this market once the short sale mechanism is
established. We run through the A/H pairs using the same approach. The new
initiatives should broaden A/H-share class arbitrage opportunities, as the
narrowing of price spread between A- and H-shares in recent years makes the side of
shorting a chosen A-share and going long the H-share more profitable.
Contents
Latest market initiatives and implications 3
Past experience: foreign investor participation may rise 4
A view on correlation and volatility 4
Style/factor performance for China 7
Methodology 7
Key findings: factor effectiveness 8
Quantitative strategies 12
RCVB-based composite value strategy 12
Enhanced earnings-revision strategy 15
Downside beta premium strategy 17
Low-dispersion return-reversal strategy 19
Pair trading opportunities 21
Potential pair trading universe 21
Back-tested performance 22
A/H pair trading opportunities 25
Conclusion 27
I: Factor performance — China CSI 300 28
II: Factor performance — CSI 300 ex-Financials 29
III: Factor performance — CSI 300 Energy 30
IV: Factor performance — CSI 300 Materials 31
V: Factor performance — CSI 300 Industrials 32
VI: Factor performance — CSI 300 Consumer Discretionary 33
VII: Factor performance — CSI 300 Consumer Staples 34
VIII: Factor performance — CSI 300 Financials 35
IX: A screen on back-tested top-performing pairs 36
X: Index futures contract specifications 37
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