First, the assets split
Before introducing mainstream quantitative trading strategy, you need to know to split the assets. Assets can generally be split into Alpha and Beta income gains, Beta is the market risk premium, Alpha is the excess return of the portfolio.
JPMorgan will further split the traditional Alpha, which will be re-optimization and optimization of stock index by index such as the right way to enhance the excess return obtained is called Enhanced Beta, which has made excess returns by investing less relevant alternative asset categories called Alternative Beta, Alpha remaining income is no risk of excess returns True Alpha.
Source: brokerage research report
In general, proactive quantitative strategies tend to have higher Sharpe ratio, but little policy capacity, high cost, passive or index-based quantitative strategies and vice versa. Different pursuit of quantitative investment fund risk and return, and therefore extremely diverse quantitative investment strategy, in which we share some of the major quantitative trading strategies.
Second, statistical arbitrage trading strategies
Statistical arbitrage is an investment product based on historical price data, looking for the price law, in order to gain arbitrage opportunities in a certain probability. Common idea is to find highly relevant two investment products, according to their long-term equilibrium between the co-integration relationship, when spread deviate to a certain extent, the buying was relatively undervalued species, varieties of short selling are relatively overvalued, wait until spreads return to balanced when open profit. Unlike risk-free arbitrage, statistical arbitrage is based on historical price risk asset is the law of arbitrage, the risk is whether this co-integration relationship between the assets will continue to exist in the future.
Statistical arbitrage consists mainly of cross-asset arbitrage, cross-market arbitrage. To cross-border ETF arbitrage, for example, the next picture shows the iShares China Large Cap UCITS (FXC) cross-border index funds, ETF's stocks listed on the Hong Kong Stock Exchange by market capitalization ranking 50 Chinese stocks that invest red chips, large-cap stocks .
资料来源：iShares
投资者既可以购买该ETF，也可以直接在香港交易所购买成分股。由于ETF和其成分股本质相同，因此ETF净值和成分股净值在长期应高度相关，存在协整关系。基于该协整关系，跨境ETF套利策略的思路为，当ETF净值和成分股净值价差超过一定水平时，买入相对低价的一方，等到价差回归正常后平仓获利。该ETF主要成分股及权重如下:
在量化金融分析师AQF中介绍了基于两只相关性较高的股票的配对交易策略。下图左为两只股票的收盘价走势图，可以看出两只股票价格高度相关；下图右为两股票价差图，当价差超过上限时买入低估股票，价差回归时再卖出获利，如果市场可以做空则可以获得双向收益。
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