Core Insights - The article highlights the career journey of Hu Di, who has developed a unique perspective on quantitative investment strategies through her experiences in both international and domestic markets [1][5] - Hu Di emphasizes the importance of continuous innovation in quantitative investment, focusing on refining models and exploring new data sources and algorithms to adapt to changing market conditions [1][2] Investment Strategy - Hu Di leads a team at Morgan Asset Management (China) that focuses on a "Core Beta + Enhanced Alpha" framework, aiming to create a product system that balances efficiency and resilience while pursuing long-term risk premiums and stable excess returns [1][5] - The team has identified around 200 commonly used factors, with 40% being fundamental factors, 40% price-volume factors, and the remaining 20% derived from machine learning and alternative factor systems [2][3] Factor Analysis - The team employs a multi-dimensional approach to factor analysis, enhancing traditional methods to capture excess returns more effectively by considering various dimensions of factors like reversal [3][4] - Machine learning techniques are integrated into the factor generation process, leading to a "logic-driven + data-enhanced" paradigm that spans factor discovery, return prediction, and portfolio optimization [3][4] Market Adaptation - Hu Di notes that the impact of U.S. tariff policies on China has diminished over time, and the focus has shifted to diversifying export markets and mitigating external shocks through policy measures [5][6] - The introduction of the Morgan CSI A500 Enhanced Strategy ETF is positioned as a response to current market conditions, prioritizing leading companies in emerging industries while reducing exposure to traditional sectors [6][7] Risk Management - The investment strategy emphasizes strict control over industry and style risks, ensuring that the sources of returns remain independent and minimizing excessive exposure [4][8] - Hu Di advocates for a "core + satellite" asset allocation approach, where core positions are based on stable beta assets adjusted for volatility, while satellite positions target growth or policy-driven assets [8][9] Product Development - The timing of product launches is critical, with successful ETFs launched in 2023 and 2024 showing significant growth in scale, indicating effective market entry strategies [9] - The company prioritizes investor education alongside product offerings, aiming to provide tailored asset allocation solutions based on individual risk preferences and return expectations [9]
锚定优质底层贝塔 敏锐捕捉阿尔法机遇
Zhong Guo Zheng Quan Bao·2025-04-20 23:04