Quantitative investment refers to the trading mode that sends out buying and selling orders through quantitative means and computer program, in order to obtain stable income.
With a history of more than 30 years in overseas development, its investment performance is stable and its market size and share keep expanding, which has been recognized by more and more investors. From the perspective of participants in the global market, in terms of the scale of assets under management, the top four and five of the top six asset management institutions in the world all rely on computer technology to make investment decisions, and the scale of funds managed by quantitative and programmatic exchanges is constantly expanding.
First of all, from the perspective of participants in the global market, in terms of the size of assets under management, the top four and five of the top six asset management institutions in the world in 2018 all rely on computer technology to make investment decisions, and the scale of funds managed by quantitative and programmatic exchanges will be further expanded in 2019. No. 1 bridgewater Fund: $162.9 billion; 2. AQR, $113.8 billion; No. 3 Renaissance Technology, $60.1 billion; 4. Two Sigma, $38.8 billion; No. 6 D.E Shaw & Co., $31.2 billion
Second, in terms of wages, more than 70% of global capital transactions are conducted by computers or programs, half of which are conducted by quantitative or programmatic managers. Searching for financial engineers (including quantitative, data science and other keywords) on foreign recruitment websites will bring up more than 330,000 related positions.
Third, from the perspective of the develop direction of colleges and universities, more than 450 U.S. universities have set up a financial engineering and related professional graduates 15000 people a year, the gap between market demand and number of graduates, thus data science, computer science, accounting and related STEM (basic science) students after graduation to enter financial industry engaged in the development of quantitative analysis and application of related work.
1. Discipline. All decisions are made based on models. We have three models: one is the asset allocation model, the second is the industry model, and the third is the stock model. Decide the investment proportion of stocks and bonds according to the allocation of major assets; According to the industry configuration model to determine the over-matched or under-matched industries; Stock selection depends on the stock model. Discipline starts with relying on models and trusting them, and every day before making a decision, running the model first, making decisions based on the results of the model, not on feeling.
2. Systematicness is manifested as "more than three". Firstly, the model is multi-level, including three levels of asset allocation, industry selection and selected stocks. Secondly, the core investment ideas of quantitative investment include macro cycle, market structure, valuation, growth, earnings quality, analysts' earnings forecast, market sentiment and other perspectives. Moreover is many data, is the massive data processing.
3. The idea of arbitrage quantitative investment is to find the valuation depression and capture the opportunities brought by mispricing and misvaluation through comprehensive and systematic scanning.
4. Probability victory is manifested in two aspects. First, quantitative investment continuously excavates historical laws that are expected to be repeated in the future and makes use of them. The second is to rely on a group of stocks to win, rather than one or several stocks to win.