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Quantsmile: Quantitative Portfolio Management

Quantsmile: Quantitative Portfolio Management . Index. Company Introduction Why Quantsmile Quantitative Investment Process Portfolio Construction Portfolio Optimization Execution Management Risk Management Rebalancing Asset Management Services Offered by Quantsmile. Company Introduction.

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Quantsmile: Quantitative Portfolio Management

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  1. Quantsmile: Quantitative Portfolio Management

  2. Index • Company Introduction • Why Quantsmile • Quantitative Investment Process • Portfolio Construction • Portfolio Optimization • Execution Management • Risk Management • Rebalancing • Asset Management Services Offered by Quantsmile

  3. Company Introduction • Quantsmile is one of the top leading technology driven portfolio management companies based in Hong Kong • Quantsmile is using quantitative approach in asset portfolio management

  4. Why Quantsmile (1) 1. Good Reputation • Being a regulated entity, it has built up its reputation in using advanced quantitative technology to earn alpha in portfolio management • It is licensed by Hong Kong Securities and Futures Commission to conduct asset management business 2. Competitive Advantage • It combines the pro of value investing process of the traditional fund and risk management solution of the hedge fund, to develop its own quantitative investment model • With the use of systematic and quantitative “Value Investing” solution, Quantsmile searches for under-valued companies. Their share prices would benefit from up-side adjustment of the non-efficient market in short term to the efficient market in long term

  5. Why Quantsmile (2) 3. Investment Team • Quantsmile has experienced portfolio managers and strong quantitative research team • It has a stable management team, and most of its portfolio managers have been working together for ten years at Quantsmile 4. Strive for Better Return • Since management team allows research and investment process be implemented at the unit level, and the responsible portfolio manager having a degree of autonomy, these enable the portfolio be flexibly managed for better return 5. Prudent Approach • We aim to minimize investment risk and preserve capital. We build a diversified portfolio with high quality and undervalued stocks, pre-determined constraints set in the model, and the use of derivatives products to hedge market risk

  6. Quantitative Investment Process Involves: • Portfolio Construction • Portfolio Optimization • Execution Management • Risk Management • Rebalancing

  7. Portfolio Construction (1) • Top-down investing approach • Over-weight sectors which have outperforming potential • Earn alpha through careful over- and under-weight different sectors against benchmark

  8. Portfolio Construction (2) • Select stocks within each sector in a value-investing framework • Quantitative fundamentals (PE, PB, DCF valuation) are applied in the stock screening process • One year target price will then be calculated based on the above assessment

  9. Portfolio Construction (3) • Research team provides fundamental studies on each sector and stocks for inclusion • Investment management committee regularly reviews macro economic environment variables • Review results will then be incorporated back to the stock selection process for portfolio adjustment

  10. Portfolio Construction (4)Input one year of target price and stock volatility

  11. Portfolio Construction (5) Industry Sector

  12. Portfolio Construction (6)Over/Under-weighted Sectors

  13. Portfolio Optimization (1) • Selected stocks shall then undergo a series of fine-tuning • Clients’ risk tolerance and return target are part of the optimization consideration

  14. Portfolio Optimization (2) • Efficient frontier derived from the CAPM model, combined with optimization parameters, will then generate an optimized portfolio set for implementation • Constraints with minimum and maximum allowable portfolio weightings could be imposed

  15. Portfolio Optimization (3)Constraints with Minimum & Maximum Weighting Conditions

  16. Portfolio Optimization (4) Portfolio After Optimization and the Efficient Frontier

  17. Execution Management • If market-neutral strategy is selected, delta hedging is applied to the equities portfolio • By eliminating the market exposure (beta), market out-performance becomes the alpha earned for the portfolio • In executing equities buy and sell orders, quantitative and adaptative execution algorithm is employed to maximize VWAP

  18. Risk Management • Quantitative risk control measures such as Value-at-risk (VaR) are real-time monitored • Portfolio with risk exceeding acceptable level will be scrutinized and appropriate action will be taken to bring risk exposure back to accepted level • Up-to-date risk reports are always online and available to management team for review and actions, as needed

  19. Rebalancing • Market exposure is constantly reviewed and monitored using advanced reporting tools • When certain exposure parameters have essentially shifted, dynamic rebalancing techniques will be put into action • To lock in alpha, dynamic rebalancing will strive to adjust hedging proportion and execute equities buy (at low) and sell (at high) transactions

  20. Investment Performance Record for Discretionary Account

  21. Investment Performance Record for Discretionary Account

  22. Investment Performance Record for Discretionary Account

  23. Investment Performance Record for Discretionary Account

  24. Asset Management Services Offered by Quantsmile Quantsmile has a full asset management licence and offers the following wealth management products: • Discretionary asset management to all types of investors • Portfolio Management Service as an outsourced fund manager for private equity fund and fund management company. This service will utilise the in-house developed AIS model to strive for higher Alpha return

  25. Thank You

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