安信证券--金融工程--量化产品设计：国际经验与中国实践2

1T_ReportAbstract ¾¾¾¾¾¾INTECHAXARosenbergLSV¾¾¾¾0446%30021%¾ROE0545%30025%¾[e-mail][e-mail][e-mail][e-mail][e-mail][e-mail][e-mail]21.1.1.1.2.1.2.1.123“challengesinquantitativeequitymanagement”20081.2.2.2080chaostheoryfractalsmulti-fractalsadaptiveprogramminglearningtheorycomplexitytheorycomplexnonlinearstochasticmodelsdataminingartificialintelligence3”quantitativefundmanagement”20081.2.2.1.∑=++=pjijjiifr1εβα∑=+++=pjtitjjitifr1,,1,εβα1.2.2.2.///4tt/01.2.3.∑=++=pjijjiifr1εβα1.2.3.1.PEPEPEoperatingefficiencyfinancialstrengthearningsqualitycapitalexpendituresexternalfinancingactivities1.2.4.1.2.4.1.1.2.4.2.5statespacehiddenMarkovregimeshifting4“challengesinquantitativeequitymanagement”20081.2.5.56“challengesinquantitativeequitymanagement”20086“challengesinquantitativeequitymanagement”200872.CQAanalysis2005Q2BarclaysGlobalInvestorsBGIINTECHLSVAssetManagementLSVBGILSVINTECHWilshireAssociates(Compass)2009Q1BGIINTECHAXARosenbergGMOAXARosenbergGSAMBGIINTECHAXARosenbergLSV2.1.INTECHAXARosenbergLSVINTECHDr.RobertFernholz1982“StochasticPortfolioTheoryandStockMarketEquilibrium”INTECHJanus2009Q3473INTECH1INTECHINTECHJan022003INTECHFeb282003INTECHDec302005INTECHMay022007INTECHJul011993INTECHNov012000INTECHJul011987INTECHApr012001INTECHApr011998INTECHAug012001INTECHJul011993INTECHAug012004INTECHJan012005INTECHNov012006INTECH130/30Jan012007INTECHDec012006ww4.intechjanus.comINTECH50bpsJanusINTECH60bps2INTECHINTECH$834.9millionJan0220030.57%Russell1000®GrowthIndexINTECH$294.4millionFeb2820030.75%Russell1000®GrowthIndex8INTECH$70.0millionDec3020050.75%Russell1000®GrowthIndexINTECH$8.1millionMay0220071.00%MSCIEAFE®IndexGross(USD)SMww4.intechjanus.com200420042006200720087INTECH20042008ww4.intechjanus.comAXARosenbergAXA2009Q3760AXARosenbergAXARosenberg3AXARosenbergLaudusRosenberg07/2002LaudusRosenberg10/2001LaudusRosenberg12/2000LaudusRosenberg05/2006LaudusRosenberg10/199603/2001(ACWI)06/200601/1993EuroblocBroadMarket10/199901/199310/199906/2006l(EAFE)11/19959()10/200401/198901/199306/198511/198503/200403/200512/199512/199502/200510/199609/199609/200302/1996130/3009/200602/200312/199807/200107/1995Global05/2004JapanTOPIX08/2000MSCIEurope11/2001S&P50002/2001®IndexLaudusRosenberg$63.02millionOct0320011.15%Russell2500™IndexLaudusRosenberg$8.57millionDec0520001.69%MSCIEAFE®LaudusRosenberg$39.86millionMay3120061.86%S&PGlobalexUSBMILaudusRosenberg$182.7millionOct2919961.49%S&PDevelopedEx-U.S.SmallCapIndex(LSVEX)Mar311999(LSVVX)May302007(LSVPX)May22200710-----------(LSVEX)6LSV(LSVEX)$1.6billionMar3119990.64%Russell1000Value(LSVVX)$178millionMay3020070.50%Russell1000Value(LSVPX)$27millionMay2220070.64%S&P500“challengesinquantitativeequitymanagement”2008“”3.2.50%50%P/E40ROE5%P/E40P/E3535143006010200443020091127235118.73002.91212866%46%30021%1112153.3.P/E50%;50%;9050%;ROE:50%;50%;72005830200911274.943002.6445%30025%1316143.4.“”CPPITIPPCPPITIPPMM——SAPI)1(*101rEE+=))*/()):(max(1(*101LAAAAAEttttt−−=−+1rEt1t+1LAtt17LLAt*)*/():max(10LAAAtt−2002-20091123003450%110%-100%10%8(SAPI)200220032004200520062007200820090%-1.1%-0.7%1.0%13.1%3.3%-0.8%10.2%2.8%10%-8.6%7.8%3.7%-2.2%82.2%8.0%-2.7%35.2%20%-11.6%7.5%-2.3%-4.0%98.4%94.0%-9.3%36.4%30%-13.3%8.2%-5.8%-4.9%104.4%115.1%-11.2%36.8%40%-14.4%8.7%-8.1%-5.3%107.5%125.6%-20.8%37.0%50%-15.0%9.1%-9.6%-5.6%109.4%132.0%-25.4%37.2%60%-15.5%9.4%-10.7%-5.7%110.6%136.3%-29.3%37.2%70%-15.9%9.6%-11.5%-5.8%111.5%139.3%-32.6%37.3%80%-16.2%9.8%-12.1%-5.8%112.1%141.7%-35.4%37.4%90%-16.4%9.9%-12.6%-5.9%112.7%143.5%-37.8%37.4%100%-16.6%10.0%-13.0%-5.9%113.1%144.9%-39.9%37.4%0E)1(*10rE+))*/()(1(*1101LAAEA−−))*/()):(max(1(*10LAAAAAtttt−−−0A1A2A1+tA189CPPI200220032004200520062007200820090%0.8%2.4%1.9%9.4%7.8%0.9%4.5%1.9%10%-4.9%1.9%-5.0%4.2%73.2%100.9%-5.8%12.7%20%-9.9%4.7%-9.7%-0.9%105.5%137.6%-16.1%27.0%30%-14.9%10.1%-14.1%-6.0%116.0%157.1%-26.4%36.8%40%-18.1%11.1%-17.4%-7.4%116.8%158.3%-36.6%37.7%50%-18.5%11.1%-17.0%-6.0%116.8%158.3%-46.7%37.7%60%-18.5%11.1%-17.0%-6.0%116.8%158.3%-56.2%37.7%70%-18.5%11.1%-17.0%-6.0%116.8%158.3%-64.5%37.7%80%-18.5%11.1%-17.0%-6.0%116.8%158.3%-66.2%37.7%90%-18.5%11.1%-17.0%-6.0%116.8%158.3%-66.2%37.7%100%-18.5%11.1%-17.0%-6.0%116.8%158.3%-66.2%37.7%10TIPP200220032004200520062007200820090%0.8%2.4%2.1%9.4%7.8%0.9%4.5%1.9%10%-4.8%3.2%-5.0%6.8%28.1%33.8%-5.8%10.3%20%-9.8%6.7%-9.7%0.3%61.0%78.8%-16.1%21.6%30%-14.8%10.1%-14.1%-5.5%101.4%136.1%-26.4%33.5%40%-18.1%11.1%-17.4%-7.4%116.8%158.3%-36.6%37.7%50%-18.5%11.1%-17.0%-6