The vast size and changing dynamics of China’s A-share market offer a relatively untapped yet increasingly appealing opportunity for quantitative investing.
It is an approach that is well-suited to the world’s second largest equity universe, given its breadth, depth and liquidity.
For example, the A-share landscape represents over 4,600 listed stocks with a total market capitalisation of around Rmb92.35 trillion (US$12.6 trillion) as at the end of 2021. In addition, more than half of this market cap and 80% of total trading volume are held by retail investors, creating a major potential alpha source. Further, the abundant market liquidity supports large-scale investment needs.
In short, the evolving nature of the A-share landscape lends itself to an investment approach that can adapt and be flexible.
“Investors can look to access the A-share market with a range of quant strategies, from a more passive style to active management,” said Zefan Guan, Senior Quantitative Investments Portfolio Manager at E Fund Management (E Fund), China’s largest fund manager.
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