本报讯（记者龙昊） 全球投资决策支持工具供应商MSCI（明晟），日前在北京发布了新一代的中国股票模型——Barra第三代中国模型（CNE5）。

Report from our correspondent（Reporter LongHao） Global investment decision support tool supplier MSCI（MingSheng），In Beijing recently released a new generation of Chinese stock model-Barra third generation China model（CNE5）。

　　第二代中国股票模型发布在2005年，MSCI称，CNE5将将提升量化投资的竞争力。

The second generation of Chinese stock model release in 2005，MSCI says，CNE5 will will improve the competitiveness of quantitative investment。

　　据悉，第三代中国股票模型更好地捕捉到中国本土市场长短期趋势和变化，运用风险理论研究的最新成果，使机构投资者能够把风险模型完全融入到其投资过程之中。新一代模型能够真实地捕获中国股票市场的最新状况，通过丰富的因子结构把握市场特征，并提供相比上一代模型更强的模型解释力。

It is reported，The third generation of Chinese stock model better capture to Chinese domestic market short and long trend and change，Using the latest achievements of study risk theory，Make institutional investors can put the risk model integrated fully into the investment process。A new generation of model can truly capture the latest situation of the Chinese stock market，Through the rich factor structure grasp the market characteristics，And provide a generation model than more stronger model ability。

　　“量化投资的理论框架和国外没有什么不同，真正的差异在于对不同市场的应用。针对不同的市场特点，一定会有相应的调整。”富国沪深300基金经理、富国基金(博客,微博)量化投资与海外投资部总经理李笑薇认为，“在国内市场构建量化模型的时候，会碰到与海外不同的问题，比如估值这个因子，我们知道，PE?市盈率　即价格除以盈利。在中国，价格在市场体现的仅仅是一部分交易股票的价格，同一公司的非流通股份的价格并未在市场上显示出来。”

“Quantitative investment theory and overseas not any different，The real difference lies in the application of different markets。According to different market characteristics，There must be a corresponding adjustment。”Rich countries csi 300 fund managers、Rich fund(blog,Micro bo)Quantitative investment and overseas TouZiBu general manager li wei think smile，“Construct a quantitative model in the domestic market，Will meet with overseas different problems，The factors such as valuations，We know，PE?City is filled with price is divided by earnings。In China，The price in the market reflects is only part of the price of the stock trading，The same company the circulation of stock prices did not show up on the market。”

　　易方达基金公司指数与量化投资部总经理刘震说：“Barra中国股票模型CNE5相比上一代模型CHE2作出重大改进，提供了更为符合中国市场特点的行业分类和因子结构，并且与Barra美国股票模型USE4同样采用了最新的模型方法。”

YiFangDa fund company index and quantitative TouZiBu general manager LiuZhen said：“China's stock CNE5 Barra model than a generation model CHE2 to make a significant improvement，Provides much more accord with the characteristics of the Chinese market industry classification and factor structure，And with the United States USE4 Barra stock model is also used the latest model method。”

　　据悉，Barra CNE5的特点是推出了日预测期模型。该模型利用了Barra风险模型的创新，引入波动率状态调整（具有每日横截面波动率调整的功能），使得模型对于市场突发事件更为敏感。该方法于2011年推出并在Barra美国股票模型USE4中首先得到应用。

It is reported，Barra CNE5 characteristic is introduced a day forecast model。The model utilizes the Barra risk model of innovation，Introducing volatility state adjustment（With the daily cross section volatility of the adjustment function），Makes the model for the market is more sensitive to emergencies。This method is released in 2011 and in the U.S. stock model in USE4 Barra first given application。

　　“Barra CNE5首次推出日预测期模型，标志了新一类股票模型的开始。”MSCI董事总经理兼证券组合管理分析业务部主管彼得·赞加利说，“第三代中国模型是运用了最新的风险调整方法，筛选出最能反映中国市场特征的因子结构，能够让组合管理经理对管理组合的风险和收益的来源有一个更清晰的全局认识，从而更好的分析和挖掘因子的偏移对组合风险和收益的贡献。”

“Barra CNE5 first launched day forecast model，Marks the start of a new kind of stock model。”MSCI, managing director and portfolio management analysis department director Peter praise Gary said，“The third generation of Chinese model is USES the latest risk adjustment method，Can reflect the Chinese market to confirm the characteristics of the factor structure，Can let portfolio management to management of the portfolio manager risks and benefits of the sources of a more clear global understanding，As to better analysis and mining factor to offset the risks and benefits of combination contribution。”

　　业内人士认为，量化投资的竞争力就是模型本身，拼的就是模型。在资产管理业务发达的美国，量化投资产品占比接近30%，量化投资在国外取得了较大成功，而国内这一比例还很低，量化投资在国内仍处于起步阶段。

The personage inside course of study thinks，The competitiveness of quantitative investment is the model itself，The spell is model。In the asset management business developed the United States，Quantitative investment products accounted for more than close to 30%，Quantitative investment in foreign countries have made great success，And in this proportion is very low，Quantitative investment in China is still in the initial stage。

　　近期，工银瑞信与国投瑞银首批基金商品期货专户开始运作，公募基金量化投资又有了新的舞台。

recent，Work with international trust &investment silver red letter ubs commodity futures is one of the first fund only door running，Public enlisting fund quantitative investment is a new stage。