光大保德信量化核心证券投资基金

1EPFMarketingDepartmentBusinessPlan光大保德信量化核心证券投资基金二零零四年七月2EPFMarketingDepartmentBusinessPlan目录第一章产品介绍第二章投资特长及过程3EPFMarketingDepartmentBusinessPlan产品名称：光大保德信量化核心证券投资基金产品类型：偏重股票投资的契约型开放式基金业绩比较基准：75％×新华富时中国A200指数＋20％×上证国债指数＋5％×同业存款利率基金管理人：光大保德信基金管理有限公司基金托管人：中国光大银行产品概要第一章产品介绍4EPFMarketingDepartmentBusinessPlan可重复排除情感因素不断优化科学性强调科学性的投资过程第一章方法论第二章投资特长及过程5EPFMarketingDepartmentBusinessPlan减少行为性的错误偏见的类型感情化偏见低价吸收普通个股不对称偏见充分利用有利的趋势过分自信警惕趋势逆转羊群效应冷静理性不盲从我们致力于建立核心数量模型来避免人为因素导致的错误方法论第二章投资特长及过程6EPFMarketingDepartmentBusinessPlan•估值综合考虑股价和基本面关键的不是它是不是一家好的公司，关键的是它是不是一只好股票•趋势研究量价关系关键的不是股价最近涨了还是跌了，关键的是趋势是不是健康•逆转警戒信号盈利质量的改善或恶化不要过度自信－你不能忽视新的数据！量化模型的方法论第二章投资特长及过程7EPFMarketingDepartmentBusinessPlan本土化、量化的投资程序•借鉴美国保德信的量化投资管理经验•高质量的本地数据•选择运用适用于中国市场的因素•符合中国市场状况第二章投资特长及过程8EPFMarketingDepartmentBusinessPlan量化模型个股评级行业评级个股选择（重仓、轻仓）风险控制（重仓轻仓的程度）EPF优化器投资程序第二章投资特长及过程9EPFMarketingDepartmentBusinessPlan•不够有效的资本市场•上市公司受法律法规和政策影响较大•上市公司业务模型和策略缺乏连续性和稳定性•上市公司的质量千差万别•上市公司信息披露的质量有待提高对中国市场状况的了解有助于降低风险研究-背景第二章投资特长及过程10EPFMarketingDepartmentBusinessPlan研究评级–定量和定性定量分析定性分析财务评分模型公司质量评分模型个股评级及权重范围盈利质量资产质量增长性偿付能力估值过往记录和策略公司治理盈利质量和可预见性估值状况增长状况财务状况第二章投资特长及过程11EPFMarketingDepartmentBusinessPlan研究评级－置信度5强4较强3中性2较弱1弱0回避比较基准权重第二章投资特长及过程12EPFMarketingDepartmentBusinessPlan•行业分析增加价值•中国的经济正处于迅速发展和调整阶段，面临：－结构性问题－工业化问题－政策法规影响•基金经理运用定性分析配置行业行业分析为什么进行行业分析?第二章投资特长及过程13EPFMarketingDepartmentBusinessPlan周期性行业防御性行业增长性行业生活水平及方式人文状况产业政策行业增长潜力购买方议价能力供应方议价能力行业进入壁垒行业竞争状况技术革新状况行业可替代性长期因素行业分析短期因素行业周期阶段不一致的看法与市场普遍预期行业景气状况行业投资回报行业盈利状况树状集群评价体系第二章投资特长及过程14EPFMarketingDepartmentBusinessPlan行业评级评级定义2强1较强0中性-1较弱-2弱比较基准权重第二章投资特长及过程15EPFMarketingDepartmentBusinessPlan输入优化参数根据投资团队的分析判断，从行业、选股及特征等方面设置优化参数投资团队根据市场变化及时调整优化参数输入个股预期收益率通过多因素数量模型估算个股预期收益率数量模型每日更新个股数据投资程序第二章投资特长及过程16EPFMarketingDepartmentBusinessPlanEPPIC-EverbrightPrumericaPortfolioInsightComputationReportEvaluationDate:2004-4-9LastDate:2004-4-7Portfolio:OptimalPorfolioBenchmark:FTSE200RiskModel:Multi-Factor(fromBarra)PointofView:Ex-antePredictedRiskCurrentChgActiveRiskDecompositionContrib.%ActRiskChgTrackingError4.19%0.00%StockSelection22.580.00PredictedBeta1.020.00Industries11.710.00ActiveReturn-at-Risk-6.25%0.00%RiskIndices69.180.00BenchmarkTotalRisk32.04%0.00%MarketTiming0.000.00PortfolioTotalRisk32.94%0.00%Covariance-3.480.00EquityinTotalPortfolio(%NAV)75.00%0.00%RiskIndicesPortBenchRelativeMC-RiskCashinTotalPortfolio(%NAV)5.00%0.00%Size0.020.38-0.36-0.05No.ofStocksinPortfolio1060Yield0.600.390.210.00No.ofNon-benchmarkstocks200Momentum-0.250.09-0.34-0.03Non-Benchmarkstocks(%NAV)9.98%-0.30%MarketSensitivity0.070.060.010.01No.ofBenchmarkstocksinPortfolio860Volatility-0.64-0.56-0.080.01Benchmarkstocks(%NAV)90.02%0.30%Value0.08-0.270.350.01Top10Non-benchmarkStocks%ofPortContrib.TE(%)MC-RiskConcentrationPort(%)Chg(%)Bench(%)Chg(%)ZHEJIANGCHINALIGHT&0.522.30.18Top5Stocks14.440.0012.560.00JILINYATAIGROUPCOL0.521.60.13Top10Stocks22.660.0019.750.00ZHEJIANGGUANGSHACO.,0.512.30.19Top20Stocks36.660.0030.150.00CHINAJIALINGINDUSTRI0.511.80.15Top50Stocks70.220.0050.890.00KONKAGROUPCOLTDA0.512.10.17CurrentChgJIANGMANSUGARCANECH0.512.50.20TotalActiveMoney57.49%0.00%QINGDAOAUCMACOMPANY0.512.10.18Top10PositiveActiveMoney9.58%0.00%SHENYANGCHEMICALIND0.501.80.15No.ofpostiveactivepostions850GUIZHOUTYRECOLTDA0.502.30.19Top10NegativeActiveMoney-8.51%0.00%CHONGQINGTHREEGORGES0.502.50.21No.ofnegativeactivepostions1350Top10MostDiversifyingStocksMC-Risk%ofPortActWgt(%)Top10LeastDiversifyingStocksMC-Risk%ofPortActWgt(%)SHANGHAIPORTCONTAINE-0.050.57-0.51HUNANGUOGUANGCERAMIC0.240.490.49SZYANTIANPORTHOLDIN-0.030.17-0.49DAQINGLIANYIPETRO-CH0.230.480.48SHINT'LAIRPORTCO.,-0.030.76-0.52WUHANHUMANWELLHI-TEC0.210.490.49SPPOWERDEVELOPMENTC-0.020.18-0.61CHONGQINGTHREEGORGES0.210.500.50CHINAMINSHENGBANKING-0.020.16-0.90SZCHANGCHENGREALEST0.210.490.49HUANENGPOWERINTERNAT-0.020.23-0.62JIANGMANSUGARCANECH0.200.510.51SINOPECYANGZIPETROCH-0.020.27-0.64HUBEIGOLDENRINGCOL0.200.490.49SHAUTOMOTIVECO.A-0.020.99-0.50HUBEIYIHUACHEMICALA0.200.500.50HUAXIABANKCO.,LTD.-0.010.08-1.01GUIZHOUTYRECOLTDA0.190.500.50SHSHENERGYCO.LTD.A-0.010.43-0.63ZHEJIANGGUANGSHACO.,0.190.510.51Top10ContributiontoBetaBetaActWgtContrib.BetaBottom10ContributiontoBetaBetaActWgtContrib.BetaSZKAIFATECHNOLOGYCO1.440.74%0.33%TSINGHUATONGFANGCO.L1.41-0.74%-0.30%ZTECORPORATIONA1.320.96%0.31%SHANDONGCHENMINGPAPE0.760.88%-0.21%TORCHAUTOMOBILEGROUP0.71-1.01%0.29%SHBELLINGCO.LTD.A1.48-0.40%-0.19%YUNNANCOPPERINDUSTRY1.330.86%0.28%SEARAINBOWHOLDINGCO1.35-0.55%-0.19%CREDHOLDINGCO.,LTD.0.67-0.68%0.22%BEIJINGCENTERGATETEC1.35-0.45%-0.16%SVAELECTRONCO.,LTD.1.290.73%0.21%SHANGHAIBRILLIANCEHO1.17-0.87%-0.15%XINJIANGTUNHEINV.CO0.70-0.62%0.18%DAZHONGTRANSPORTION(0.810.76%-0.15%DONGFENGAUTOMOBILEA0.67-0.54%0.18%SHTUNNELENGINEERING0.840.87%-0.14%SVAINFORMATIONINDUST1.180.75%0.13%SHANXIXISHANCOAL&E1.24-0.57%-0.14%SHINT'LAIRPORTCO.,0.75-0.52%0.13%JIANGXICOPPERCOMPANY1.40-0.33%-0.13%EPPIC-EverbrightPrumericaPortfolioInsightComputationReportEvaluationDate:2004-4-9LastDate:2004-4-7Portfolio:OptimalPorfolioBenchmark:FTSE2