基金经理调研之余斌士丹利

Financial Data and Key Metrics Changes - The company has adopted a transparent "white-box" quantitative investment strategy, allowing for clear communication and strategy adjustments in response to market changes [12][19] - The ESG quantitative fund has outperformed the Wande Equity Mixed Fund Index by 65.9% since its inception in October 2022, achieving an excess return of 10.3% over the past year and 3.35% year-to-date [4][24] Business Line Data and Key Metrics Changes - The company manages multiple products, including the Morgan Stanley Shenzhen 300 Index Enhanced Fund, Morgan Stanley Multi-Factor Strategy, and Morgan Stanley ESG Quantitative Leading Fund, each with distinct strategies and focuses [4][12] - The Morgan Stanley Multi-Factor Strategy targets mid and small-cap stocks, while the Shenzhen 300 Index Enhanced Fund primarily tracks the Shenzhen 300 Index [4][12] Market Data and Key Metrics Changes - The ESG data platform is increasingly integrated into the investment framework, enhancing the ability to assess long-term sustainability and risk management [19][20] - The company emphasizes the importance of ESG information in investment decisions, viewing it as a critical factor for sustainable returns [19][21] Company Strategy and Development Direction - The company aims to build a long-term adaptive stock selection framework that integrates all effective information, focusing on both positive and negative alpha factors [28] - The strategy includes continuous iteration and optimization of the investment framework to adapt to market changes and improve model accuracy [18][28] Management's Comments on Operating Environment and Future Outlook - Management believes that traditional financial data alone cannot fully reflect a company's sustainable development potential, necessitating the integration of non-financial ESG information [9][20] - The company is committed to maintaining a low turnover rate in its portfolios to minimize risks associated with frequent trading [25][35] Other Important Information - The company has developed a proprietary API to enhance the execution of quantitative strategies, ensuring efficient and accurate strategy implementation [12][16] - The ESG quantitative leading product is designed to closely track the mixed equity fund index while minimizing tracking error, achieving an annualized tracking error of approximately 5% [22][24] Q&A Session Summary Question: Can you elaborate on the unique aspects of your quantitative investment strategy? - The company employs a statistical training method rather than machine learning, allowing for high computational speed and efficient data processing [7][12] Question: How does the ESG data platform integrate with the existing quantitative framework? - The ESG data platform is developed in-house, allowing for deeper insights into companies' governance and sustainability practices, which are critical for investment decisions [20][29] Question: What measures are taken to control turnover rates in the portfolio? - The company utilizes a fundamental optimal adjustment framework to maintain low turnover rates, ensuring that the base portfolio does not underperform due to frequent trading [25][35]