New grouping
We create exceptional value using the dimensions of the index evaluation system including the financial factors such as stock market value, non-compliance, enterprise fundamentals and market sentiment, and the alternative data factors based on natural language processing analysis algorithm.
The data back-testing model is used scientifically to simulate the trend of the Shanghai Composite 50 Index prediction with a strong performance in accuracy.
On the basis of analyzing the influence factors of the Shanghai Composite Index (SSE), with consideration of the macroeconomic & microeconomics policy, non-economics and alternative sentiment/ market psychology factors, the forecast factor framework of SSE Index is established with the combination of above multiple factors.
The timeliness and accuracy of the data can lead to a high Sharp ratio investment strategy for quantitative funds, in addition, because the information obtained is comprehensive, real-time and objective, it is also one of the most valuable fundamental data sources. Our alternative data is able to support analysis to achieve alpha generation.
The GTCOM Hong Kong Stock Connect 100 Index was developed by GTCOM and jointly launched with Shenzhen Stock Exchange Technology Co., Ltd. as the benchmark index for the Hong Kong Stock Connect market. Based on the alternative data factors (perception, fear, buzz, etc.) generated by the NLP algorithm of GTCOM, the index selects 100 stocks with the highest investment value in the Hong Kong Stock Connect under the Shenzhen-Hong Kong Stock Connect, reflecting the excellent core of the Hong Kong Stock Connect market, The changing trend of the stock price of the listed companies provides a good performance benchmark for the market. The index has been published on the China Securities Index official index platform, under the index code 980005, and is available for public review on the Wind terminal & mobile application.
GTCOM Hong Kong Stock Connect 100 Index based on big data selection strategy is not only an innovative product in the field of quantitative investment but also a concrete application of alternative data in China's financial market. Based on 4 years of historical data starting from January 2015 to December 2018, the accumulative yield of the index exceeded 37.83% of the Shenzhen-Hong Kong Stock Connect Composite Index, and the annualized yield exceeds 8.53% of the Hong Kong Stock Connect Component Index. Robust index performance highlights the power of alternative data in quantitative investment.
| （HK$) | GTCOM-HK100 | Shenzhen-Hong Kong Stock Connect KLCI | Difference value |
| Cumulative rate of return | 12.87% | -13.06% | 25.93% |
| Annualized rate of return | 3.07% | -3.44% | 6.51% |
| Annualized volatility | 17.87% | 19.88% | -2.01% |
| sharpe ratio | 0.088 | -0.2488 | 0.3368 |
| Maximum retracement | -34.43% | -42.11% | 7.68% |
As an index and technical strategy provider
As a quantitative risk control and technology provider
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