On 31th, Mar, 2017, Hongtao Zhang, managing director of quantitative investment department of China Asset Management Company, was invited to Beihang University to share his opinion on quantitative investment strategy and evaluationcriteria, influence of financial innovation, quantitative investment productsand the opportunity as well as the challenge of market. Prof. Shangmei Zhao,Prof. Ping Li, Prof. Haijun Yang, associate professor Junhuan Zhang togetherwith more than seventy students attended this seminar hosted by Prof. Hui Mu,vice-president of School of Economics and Management.
Mr.Zhang first explained the definition of quantitative investment. In his opinion, quantitative investment is a methodology that implements investment quantitative model assisted by programs and cooperates with the market in longterm. The main advantages of quantitative investment are as follow: first, itwill provide risk diversification to investors by risk control on targets, i.e.the procedure from risk model to α model that can demonstrate the market efficiency in depth. Second, quantitative investment has enriched the assetmanagement map. However, due to the fact that quantitative investment is basedon statistical test, market timing is a great challenge to fund managers.
Then,Mr. Zhang shared his opinion on concrete categories and concepts ofquantitative investment, and demonstrated the strategy system and evaluationcriteria of quantitative investment in capital market. The strategy system ofquantitative investment includes: share α strategy, arbitrage strategy,derivatives trading strategy and big data, CTA as well as other innovativeinvestment strategies.
At present, the investment strategies in china’s capital market is gradually transforming towards event driven strategies. Mr. Zhang pointed out that it is not a conventional multi-factor model but a model that can integrate with multiple factors, which is actually a financial innovation. Mr. Zhang proposedmany valuable views on the opportunity and challenge of security market. He said that the innovation of transaction-on–exchange product is aimed at improving the depth of the market. Currently, to disperse the risk allocation,Mr. Zhang utilizes assets allocation to capture the asset premium in long term.Nowadays,the main challenges faced by market are: limitation on the trading ofstock index futures, single product scale and the uncertainty of regulation policy.
Atlast, Mr. Zhang had an in-depth communication with us on the development trendof close-ended fund, open-ended fund and the future of quantitative investment.Based on our advantage on mathematical finance, our students are particularly interested in quantitative investment. We are all looking forward to anotherin-depth communication and cooperation with Mr. Zhang.
Note:Hongtao Zhang, joining in China Asset Management Company in 2000, has a 17-yearworking experience on security industry. He was once served as the R&Dmanager and vice manager of quantitative investment department. Mr. Zhang hasrich experience on product research and investment management of quantitativeinvestment products, especially the index fund, quantitative investment andstrategic asset allocation. In 2004, Mr.Zhang, as thecore member in R&D team, launched the first ETF---China Shanghai 50ETF inchina; since 2009, Mr. Zhang began to conduct management on multiple indexfunds, ETF and active quantitative products, and the management range is over50 billion yuan. In 2016, as the leader of quantitative team, based on the co-research with PanAgora Company (an oversea investment management company), helaunched the first risk parity strategy product which has caused extensiveattention and application of banks, insurance industry and security traders.