南华基金黄志钢： 量化模型不追热点 每日刷新“价值洼地”股票池

Core Insights - The rapid development of AI technology is significantly enhancing the power of quantitative investment, leading to increased market attention on public quantitative investment strategies [1] - Huang Zhigang, Assistant General Manager and Head of Quantitative Investment at Nanhua Fund, emphasizes the limitations of traditional multi-factor models, which are based on historical data and fail to address long-term market effectiveness [1][4] - Huang identifies three key issues that an excellent quantitative investment model must solve: constructing investment safety margins, identifying value traps, and reasonably defining company prices [4][5] Quantitative Investment Framework - Huang's quantitative investment framework is summarized as "value stock selection and dual rotation," focusing on core factors such as Dividend Payout Ratio (DR), Return on Equity (ROE), and Earnings Yield (EP) [2] - The first step in the model involves predicting each company's ROE and EP, followed by calculating the Potential Return (IR) and ranking stocks based on IR values to build an investment portfolio [2][4] - The approach aims to find good companies at good prices, leveraging the objectivity, efficiency, and discipline of quantitative investment [2][5] Stock Selection and Adjustment - Stocks selected through this method are not static; they are continuously adjusted based on factor changes [3] - Huang constructs a foundational stock pool by selecting stocks that have declined significantly over the past 3 to 5 years, updating this pool daily to achieve a "buy low, sell high" strategy [3] Performance Metrics - As of now, Huang manages four funds with a total scale exceeding 1 billion yuan, with notable performance metrics such as a net value growth rate of over 87% for Nanhua Fenghui Mixed A since inception [4] - The Nanhua Fengyuan Quantitative Stock Selection Mixed A, managed since January 2024, has achieved a net value growth rate exceeding 38% [4] Risk Management and Strategy - Huang highlights the importance of balancing "good companies" and "good prices," aiming for a better equilibrium between the two rather than focusing solely on short-term performance [5] - The quantitative investment strategy includes risk control measures such as maintaining a diversified portfolio, limiting individual stock weight, and ensuring a balanced strategy style [8] - The fund's turnover rate is kept stable at around 12 times, with a holding range of 80 to 130 stocks, aiming to smooth out volatility risks through relative excess returns [7][8]