The absolute return is ugly, the excess return is declining, the index enhancement becomes “weakening”, and the head institutions have experienced obvious net redemption… The quantitative index enhancement strategy fund, which has become an “alternative star” in the asset management industry in the past two years, has encountered a rare performance cold wave since 2022.
The CSI Taurus reporter learned from the comprehensive investigation of private placement institutions, custody channels, consignment agencies and other aspects this week that the collective withdrawal of the performance of the quantitative index increase strategy in this round is not only due to the decline of benchmark indexes such as CSI 500, but also not only the factor of the rapid expansion of the scale of head quantitative institutions and industries, but also the excessive exposure of risks High frequency track overcrowding and other reasons.
risk caused by overexposure“ β、α” Double kill
According to insiders, the long-term return of index enhancement products is generally determined by the rise and fall of benchmark indexes (such as CSI 500, CSI 300, etc.)“ β And the “excess return” brought by quantitative stock selection α” It consists of two parts. Since this year, when the A-share market is weak as a whole, the index β Negative returns have dragged down the vast majority of value-added products.
In “excess return” α” On the one hand, according to a data from the private placement custody department of a large Chinese bank, the average excess return of the 28 medium and large quantitative private placement institutions hosted in the bank was negative in five weeks in the total six trading weeks from January 3 to February 18, Among them, many star private placement products have seen a “strange situation” in which the index has fallen sharply by more than 3 percentage points or even 4 percentage points in a single week.
A person in charge of quantitative private placement in Shanghai took the CSI 500 Index added products, which account for more than 80% of the product scale of the whole industry, as an example. At present, the 500 constituent stocks of the CSI 500 index belong to 107 Shenwan secondary industries. Generally, the Index added products with relatively stable underlying strategy and risk control requirements will hold at least 300 stocks in order to realize the full coverage of 107 secondary industries. Like his private placement, when the actual strategy of strengthening the CSI 500 index is implemented, it usually buys and holds 600 to 1000 stocks. “However, many more radical strategies may only buy 100 to 200 stocks, which is difficult to achieve the balanced coverage of the corresponding industries according to the market value ratio and risk control requirements; this serious deviation from the index is easy to cause a significant deviation from the CSI 500 index, which is another source of profit and loss.” The private placement source said.
How to objectively evaluate the income performance of value-added products under “more risk exposure”? Xia fan bluntly said that looking back on the years with stable market style from 2017 to 2020, the outstanding quantitative index value-added products can maintain an excess return of about 30% per year. The market is used to this, but the style exposure factors behind it are ignored; After the market style began to change in 2021, the Index added products that have achieved “substantial excess returns” are obviously more likely to suffer β And α Double kill.
\u3000\u3000 “The risk of investment comes from fluctuations. Although we like upward fluctuations, as an index enhancement strategy, large excess returns also need to be vigilant. Large excess returns often release the exposure to industry, market value, volatility and other factors in the model; if adjusted correctly, the excess will be extremely significant, but if adjusted incorrectly, it will also produce greater risk than the index Decline. ” Xia Fan said.
the crowding factor of the track is prominent
In China’s equity market, the vast majority of fund managers have shown an obvious “scale negative effect” for a long time, that is, when a fund institution is larger and larger, its subsequent excess return is bound to decline.
Xia Fan said that there is a popular saying on the Internet that when the scale of a private equity fund exceeds 10 billion yuan, customers begin to worry about whether the investment management ability of fund managers can match this scale. This phenomenon is not only true for subjective investment, but also more obvious in quantitative private placement index increase products from the beginning of 2022. “For example, when 10 wallets are dropped every day in a square, each of the 10 people who are keen on picking up wallets can gain something, but the problem is that there are 100 people who hope to make a fortune by picking up wallets in the square, and naturally fewer and fewer people can pick up wallets.” Xia Fan said.
Ning Yuqing, director of Hefu investment market, said that in the past two years, the scale of China’s quantitative private placement industry has grown rapidly, and the scale of many quantitative managers has risen rapidly, which has significantly increased the difficulty of market transactions. In her opinion, the scale of about 10 billion yuan is a more comfortable range for quantifying the transaction of managers, and the operation is also relatively flexible.
According to many insiders, the performance pullback of head quantitative private placement since the beginning of the year, on the one hand, has its own factors of rapid expansion of scale, on the other hand, the quantitative track has attracted too much capital influx, resulting in track congestion, which may be the core reason for the low performance of the overall growth strategy.
“During the carnival, we saw the income created by high-frequency, but did not see the high trading volume required by high-frequency quantification”. Xia fan believes that after the A-share correction in January, the market trading volume continued to fall below trillion yuan, which directly suppressed the recent phased performance of the index growth strategy due to the reality of the increasing scale of high-frequency quantitative private placement.
Wang Xiao, chairman of niankong technology, believes that some significant changes have taken place in the external environment of the A-share market in 2022. For example, the issuance of public and private offerings and the significant weakening of the liquidity of the A-share market, the lack of capital pursuit of popular stocks with high performance growth but high valuation and other reasons have made the stock funds in the market unable to find the main line of transaction. In the absence of new capital increase funds into the market, once there is a decline, there will be a continuous weakening market, which exacerbates the poor performance of the index enhancement fund.
how to filter added products
Wang Xiao said that the recent performance of Index added products is just conducive to investors to have a clearer understanding of the essence of quantitative index added products. Since the second half of last year, many market voices have actually been quantifying investment in “myth” or “demonization”, which are unfavorable to the development of the industry and the cognition of investors. Index enhancement products are essentially long products, so they should have long fluctuations and long returns. Before, investors only focused on returns and ignored the part of fluctuations.
From the perspective of industry development, Sixie investment believes that after the current low tide of the industry, quantitative institutions should pay more attention to their own capacity-building in two aspects: first, they need to constantly upgrade data, algorithms and computing power, actively develop new strategic models and update iterations, so as to quickly adapt to the complex and changeable market; Second, quantitative institutions also need to pay more attention to risk control in the future, and smooth the investment risk of products through strategy diversification, position diversification and trading frequency diversification.
From the perspective of investors, Sixie investment suggests that investors should focus on three aspects to screen excellent index value-added products. First, pay attention to the size and stability of excess return at the same time, especially the stability of excess return can better represent the predictability of future return; Second, focus on quantifying the scale of private placement. On the one hand, strategies have capacity caps, and excessive scale may dilute excess returns; On the other hand, the strategy scale is too small, which is not conducive to large investment in strategy talents and R & D; Third, pay attention to the investment and research strength of the company. Quantitative investment mainly tests the overall strength of the company. Factors such as team work background, investment philosophy and stability, strategic R & D strength and experience are very important.
