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可持续主动型量化股票

可持续主动型量化股票

利用可以带来更出色可持续性的多个因子争取丰厚超额回报

要点:

  • 采用经证实的模型,侧重于选择具有良好价值,质量,动量,分析师修正特征和可持续性的股票
  • 投资组合管理流程严谨且透明,能够控制相关风险并综合考量更先进的可持续性衡量标准投资

投资理念

荷宝的量化投资策略基于以下信念:

以实证数据为基础。识别出具有最有效之风险收益特征的因子。研究过程涵盖在不同市场的长时间经验验证。

以理解实证数据背后之经济、市场原由为依托。 我们希望超越统计数据的形态,探究这些因子背后的经济动力,同时回避无效益的风险。

构建有效及审慎的投资组合。 投资组合透明度高,易于理解说明,避免不必要的交易成本,并整合环境、社会和公司治理(ESG)因素。

投资过程

策略运用定量股票投资策略。该策略的目标是尽可能相比基准指数获得更多回报,并具备出色的可持续性,同时控制相对风险。行业和国家权重类似于 MSCI新兴市场指数所采用的权重,但我们增持有吸引力的股票,并减持缺乏吸引力的股票。我们通过结合多因子模型评估吸引力,该模型综合考虑了估值、质量、动量和分析师修正因素。整合可持续性表现更佳的因子。我们从以下方面考虑可持续性:

  • 环境、社会责任和公司治理 (ESG) 整体表现优于市场。
  • 根据影响力评分使环境足迹降低 20%。
  • 排除商业模式有争议的公司,如烟草和枪支类企业。
  • 投资组合可以实现股东的投票和积极参与
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如果您想了解更多关于此策略的详情,请联系我们。

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