博时基金林景艺:详解国企改革主题中的量化投资策略

摘要

  随着“1+N”配套措施落地、“十项改革”试点范围继续扩大、地方国企改革方案实施,国企改革已成为资本市场下半年重大主题。对此,博时国企改革基金经理林景艺表示,国企改革是我国经济发展中的重要一环,是一个时间长、范围广、热点多的主题,我们更加关注的是国企改革对于上市公司中长期价值的影响及由此而来的投资机会。

  随着“1+N”配套措施落地、“十项改革”试点范围继续扩大、地方国企改革方案实施,国企改革已成为资本市场下半年重大主题。对此,博时国企改革基金经理林景艺表示,国企改革是我国经济发展中的重要一环,是一个时间长、范围广、热点多的主题,我们更加关注的是国企改革对于上市公司中长期价值的影响及由此而来的投资机会。

  1、您看好国企改革的逻辑是什么?

  林景艺:我认为国企改革并不是一蹴而就的事,而是一个循序渐进的过程,不同公司改革的力度、时间、措施等都不尽相同,各个区域改革有先有后也很正常。在资本市场上不排除有不同区域主题的出现,但是我们更加关注的是国企改革对于上市公司中长期价值的影响及由此而来的投资机会。

  国企改革是我国经济发展中的重要一环,是一个时间长、范围广、热点多的主题,短期内,它可能随着不断的政策出台、公司行为等有板块和热点性机会;中长期,它的投资价值主要还是体现在公司通过国企改革获得的自身经营能力和盈利水平的提升,其中改革及时、措施得力、推进顺利的公司往往会更加突出。

  2、如何看待中国市场的量化投资机会?

  林景艺:从市场有效性理论出发,如果市场是有效的,定价是合理的,任何主动管理都无法实现持续的超额收益。因此,主动型量化投资的基本假设之一就是市场不有效或者市场弱有效。

  市场有效程度主要由两个因素决定,一是市场投资者构成,二是市场各类型产品和相关制度的完备性。当市场上的专业投资者占比较多,且各类型套利工具完备时,市场的有效程度就相对较高,量化投资创造超额收益的难度就较大。

  具体到中国市场,现在我们的交易主要还是由散户主导,且各类型衍生品及相应制度还处于建设初期,因此市场有效程度相对发达国家来说显著要低。同时量化投资所需要的原料――数据和计算机硬件在现在的中国市场上是越来越丰富,所以,我认为现阶段是中国市场量化投资发展的黄金时机。

  3、作为量化投资经理,您觉得量化投资的本质和特点是什么?

  林景艺:佛家有人生三重境界之说,即:“看山是山,看水是水;看山不是山,看水不是水;看山还是山,看水还是水。”我觉得做量化研究与此类似,且这种从清晰到迷茫再到清晰的经历是一个循环往复然后不断升华的过程。

  量化投资本质上还是投资,只是以“量化”为工具。它从经济学、金融学、物理学、社会学等各类学科理论出发,根据投资目标提出假设,再通过计算机技术运用可得数据建模来对自己的假设进行反复校验,最终形成可以实施的投资策略。我认为量化投资有以下特点:

  第一,它是目标导向型的投资,首先我们需要明白我们的投资目标是什么,是相对收益?还是绝对收益?有如何的风险收益要求?能接受多大的最大回撤?通过对目标和投资限制的分析,有的放矢地设计量化策略,才能最大程度的发挥量化投资的优势。

  第二,它是相对系统化的投资,从目标分析到理论推导到数据验证到投资管理,每一类型的量化策略都有其系统的研究和投资流程。

  第三,它是相对分散化的投资,大部分量化策略都是建立在大数定律和统计规律上,需要对市场的信息进行全面分析,分散投资,而非集中在某几个标的。

  第四,它需要有严格的投资纪律,策略一旦设计完成进入实施就成为相对自动化的流程,除特殊因素外不再在其运行过程中进行主观干预。

  4、对于国企改革机遇,您的选股标准是什么?

  林景艺:在投资策略上博时国企改革主要运用量化方法,围绕兼并重组、治理优化、业绩改善和资产重估四条投资主线,紧密跟踪国企改革主题,保持价值投资理念,并根据市场实际变化情况来调整基金的策略配置,力求战胜基准,为投资者创造价值。我们最大的特别之处是我们用的是量化多策略的管理模式,它不依赖于基金经理个人精选个股,而主要依靠团队开发的多个量化策略。在每一条主线我们都有相应的量化策略,现在我们的策略库中针对国企的策略大于30个,这些策略是我们团队长期积累的结果。我在管理基金的过程中要做的就是根据我们的投资主线和市场情况,对不同的策略进行搭配选择。在实际的表现过程中,我们相对于传统的基本面集中持股的基金,持股逻辑、数量、时间都会比较分散。

  作为标准股票型基金,博时国企改革需要至少配置80%以上的股票资产,在市场剧烈的波动中我们维持相对均衡的风格配置,在关注标的业绩改善和成长潜力的同时也注意控制整体组合的估值风险。据wind数据显示,截至2016年9月6日,博时国企改革近一年收益率15.87%,相对国企改革指数超额收益26.73%,在同期可比的所有国企改革主题基金中排名第三。

  林景艺女士,硕士,CFA。2010年从北京大学硕士研究生毕业后加入博时基金管理有限公司。历任量化分析师、高级研究员兼基金经理助理,现任博时国企改革股票基金的基金经理。

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发布日期:2016年09月18日  所属分类:基金

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