Will the collision between the well-known quantitative stock selection and the long-adjusted large consumption at the end of the year create new sparks?
Recently, Pengyang**'s "Pengyang Consumption Quantitative Stock Selection" was launched, and public information shows that the ** will screen listed companies with stable and long-term competitiveness in the consumer theme with a quantitative model. The reporter noticed that the "hand-in-hand" between quantification and industry investment is also the first time that Pengyang has tried this type of product, marking the company's dual exploration in consumer investment and quantitative strategy construction. The opportunity for consumption is imminent
Since 2021, with the adjustment of the sector, the overall position of public offerings in large consumption has also continued to show a downward trend. According to third-party agency data, although the level of public offering consumption** rebounded to 22 in the third quarter of 20237%, an increase of 41%, but there is still a gap with the recovery.
However, in the view of Shi Hongjun, general manager of Pengyang's ** quantitative investment department, the low valuation and low institutional ** brought about by the "long consumption adjustment time" may become the relative advantage of the consumer sector.
He pointed out that since the beginning of 2021, the adjustment of consumption has been relatively sufficient, and the valuation quantile of each sub-sector has fallen from about 80% in 2021 to 20%-45% at the end of November 2023. Because the brand barriers of the consumer sector are higher than those of other industrial products, the profitability is more stable, and the impact of oversupply and vicious competition is relatively small, so it is unlikely that consumption will be adjusted to a very low valuation quantile in terms of cycle and finance. In the long run, as consumer service industries such as education, medical care, and elderly care receive more financial support, residents will have a greater sense of security to release consumer demandIn the short term, U.S. Treasury interest rates have fallen from 4The range of 5%-5% fell back to 4Around 2%, the downward swing exceeds market expectations, which may give the growth sector represented by consumption a leading opportunity. "Even in a weak macro context, consumption is likely to be an alpha sector in the future. Shi Hongjun pointed out. From the perspective of short-term data, the data of the third quarter report of this year shows that consumption is the industry with the best recovery of profits in the main sectors, and in the long-term logic, China's consumer consumption expenditure accounts for only 37% of GDP by the end of 2022, while this figure has reached nearly 70% in the United States. China's secondary industry accounts for the highest proportion of GDP, but in the development mode of investment-driven economic growth is deeply disturbed by the problem of overcapacity, with China's economic transformation, the impulse of fixed asset investment has declined, and it is the general trend to stimulate consumption potential, so the proportion of consumer expenditure in GDP will rise from both policy and logic will be more certain. "Enhanced" with dispersion
Different from consumer active equity**, or common quantitative products such as market-wide quantitative stock selection and broad-based enhancement, the strategy of "quant + industry" is still relatively rare in the public market. The reason why consumption is chosen as the "test field", Shi Hongjun introduced that the mainstream quantitative strategy is mostly based on the multi-factor stock selection model to capture excess returns - the more the number, the stronger the diversity, and the more suitable it is to quantify, and the consumer industry just meets these characteristics.
Similar to the CSI 1000 and other small-cap broad bases, A-share consumption, as a huge sector, as of mid-2023, there are about 900 major consumption and optional consumption industries, accounting for about 17% of the total market, with a total market value of more than 15 trillion. After the inclusion of emerging consumption, it has become a huge basic market of more than 1,000**, of which small receipts below 10 billion account for about 78% of consumption, and 10 billion to 30 billion account for about 16%. Extremely strong ** diversity, which is more conducive to obtaining excess from it.
At the same time, the applicability of volume and price factors in the consumer industry, and the good applicability of some fundamental factors, are also the key reasons why Shi Hongjun chose to apply quantitative stock selection methods to consumption.
It is understood that the attention of fundamental factors in recent years is not as good as that of volume and price factors, an important reason is that it is more and more difficult to mine fundamental factors suitable for stock selection in the whole market, and it is also difficult to maintain alpha. The core influencing factors of ** pricing in various industries are different, and it is also difficult to find common factors to enhance the selection of stocks in the whole market. However, targeted mining of fundamental factors supported by industrial logic and effective in practice is the advantage of quantitative investment in the consumer industry.
In terms of the construction of the strategic framework, Shi Hongjun said that his team will first build a pool with the core of main consumption and optional consumption, and incorporate some emerging consumption and consumer healthcare, and will focus on the dispersion and small and medium-sized market capitalization of the position while being more suitable for the modern consumption scene. After that, the five categories of quantitative factor models such as business quality, growth, expectation, valuation, and compound volume and price were screened and scored, and the sample pool was generated through the factor score, and the top 50 were selected in the consumption pool every week, with a weight limit of 10%, and a consumption enhancement portfolio was constructed. "We find factors suitable for the characteristics of these industries in the consumer industry, such as factors such as consumer cash flow, as well as indicators in growth. Shi Hongjun told the 21st Century Business Herald reporter. Judging from the data backtest results, this combination has obvious advantages over the major consumer indices in the market.
When it comes to the quantitative prospects of public offerings, Shi Hongjun believes that from the perspective of providing more diversified and competitive products, quantitative products will have rich room for development. "As the asset management industry makes the matching of product risk-return characteristics and customer needs more and more detailed, it may be a new trend in the future like this 'industry + quantitative' category. He said.
Article**: 21st Century Business Herald).