---Model development system for quantitative investment strategy
On October 26, 2021, Dr. Liu Binbin, who was then a senior investment manager and fund manager at Shanghai Huizhu Investment Management Co., Ltd., was invited to our institute to give a lecture on the theme of "Model Development System for Quantitative Investment Strategy" at an industry forum.
Dr. Liu Binbin previously worked in the Asset Management Department of Huatai Securities and the Wealth Management Department of Guotai Junan Securities, where he was engaged in the research and development of quantitative investment strategy models. He later worked in investment management for quantitative products at investment institutions such as Guojin Fund and Sunshine Insurance, and has rich experience in model research and investment management in the field of quantitative investment. In this forum, Dr. Liu Binbin introduced the model research and development system of major quantitative investment strategies in China, and further explored the key points and breakthrough directions of future strategy research and development.
Firstly, Dr. Liu Binbin emphasized the Alpha strategy of stocks and provided detailed explanations from the aspects of investment philosophy, investment process, etc. Based on the investment philosophy of fully utilizing systematic stock selection models, strategic allocation, and risk control to construct investment portfolios and achieve investment goals, the investment process involves collecting and cleaning data, implementing algorithms, constructing risk models, optimizing portfolios, controlling trading risks, and conducting performance evaluations. Dr. Liu Binbin emphasized the channels for data collection, including trading market data, fundamental data, etc., and also explained the current situation of quantitative hedging products in China.
Afterwards, Dr. Liu Binbin introduced the long short strategy of stocks and analyzed in depth the advantages and disadvantages of this strategy. The stock long short strategy can actively obtain the Alpha of short positions, with extremely high efficiency in fund utilization. It can add moderate leverage to the model through financing, and effectively control the main risk exposure, thereby reducing the overall risk of the strategy. However, judging from the current situation, this strategy has poor practicality due to the scarcity of securities lending varieties, and the high commission fees of financing bonds have also eroded the overall return rate of the model to a certain extent.
Finally, Dr. Liu Binbin introduced the high-frequency arbitrage strategy of derivatives. A brief explanation was given on cross variety arbitrage and correlation analysis, and several points were emphasized on cross variety arbitrage: finding contracts with high correlation through clustering, and confirming the long-term correlation of varieties through simulation tracking and industry correlation.
During the questioning session, students actively and enthusiastically asked questions and exchanged ideas with Dr. Liu Binbin on how to select high-quality data from a large amount of data and how quantitative analysis can assist fundamental analysis. Dr. Liu Binbin answered each question for the students one by one, making them gain a lot.
Contributors: Li Penghao, Tian Qian, Tang Shuyao
Image provided by: Xie Xinrui
