MSCI(US:MSCI) Xin Lang Ji Jin·2025-07-12 08:17Core Insights - The importance of integrating macro environment, market structure, and big data with human judgment in quantitative investment strategies is emphasized by MSCI's General Manager for Greater China, Zhong Xiongwei [3][4] - Three main demands from global investors are identified: merging fundamental and technical analysis, embedding macroeconomic awareness into models, and proactively managing drawdowns while seeking alpha [3][4] Group 1: Market Analysis - MSCI has over 50 years of experience in the quantitative field, advocating that quantitative strategies rely on vast data and complex models [3] - A macro scenario review from 1946 to 2025 highlights that market downturns can be categorized into four trigger factors: micro cycles, fundamental re-evaluations, leverage/liquidity issues, and non-economic shocks [4] - The analysis concludes that macro and fundamental shocks tend to cause larger and longer-lasting declines, while leverage and non-economic events lead to quicker declines and recoveries [4] Group 2: Crowding Analysis - A crowding analysis indicates that if a security's crowding score exceeds 1, the probability of a future decline of 5% or more significantly increases [4] - In MSCI's global investable market index of approximately 11,000 companies, the bottom 1,000 companies in terms of crowding consistently outperform the top 1,000 over 1-3 month periods [4] - The small-cap stock strategy, traditionally believed to yield long-term premiums, has underperformed from 2019 to 2023 due to low quality factor scores and high short interest [5] Group 3: Strategy Optimization - The removal of low-quality and high short-interest small-cap stocks leads to significant improvements in annualized returns over 1, 3, and 5 years [5] - Strategy optimization should not rely solely on brute-force backtesting; it must incorporate macro judgments, market structures, and micro characteristics into the decision-making process to achieve sustainable success [5]