The once hot 10 billion level quantitative private placement has performed poorly this year.
According to the latest data of private placement network, in January this year, the average decline of 10 billion quantitative private placement of 30 updated product net worth was more than 5%, of which only 4 obtained positive income.
Due to the rapid growth of the scale of quantitative private placement last year, the quantitative long track became more and more crowded, the problem of strategy homogenization gradually appeared, and the excess return decreased significantly. In this context, head private placement has accelerated the strategy iteration in order to seize the opportunity, and a fierce R & D competition has been opened.
Nearly 90% lost money
According to the latest data of private placement network, in January this year, the average decline of 10 billion quantitative private placement of 30 updated product net worth was 5.15%, of which only four companies, Luoshu investment, Qianxiang assets, black wing assets and Zhanhong investment, obtained positive returns.
It is worth noting that since the fourth quarter of last year, a number of 10 billion quantitative private placement have ushered in a “performance cold wave”.
For example, on December 28 last year, magic square released a quantitative performance statement, saying that the recent withdrawal of the company’s performance has reached an all-time maximum. On February 11 this year, Shanghai Hefu investment also issued an announcement to investors and consignment institutions, saying that its Hefu flexible hedge No. 9 phase a private securities investment fund had a unit net value of 0.8774 yuan on February 10, lower than the early warning line of 0.88 yuan, touching the early warning. On February 16, the news that a US dollar fund managed by an overseas affiliated company of Jiukun investment withdrew nearly 40% in January attracted much market attention.
Why did the 10 billion level quantitative private placement that once attracted gold and attention begin to “retreat” collectively?
Inno investment said that with the deepening of the institutionalization of the A-share market, the invalid fluctuation of the market will be smaller and smaller, and the excess return will inevitably decline. At the same time, the quantitative scale has reached trillion yuan, and the head quantitative institutions generally hold stocks with good liquidity (because the stocks with poor liquidity can not accommodate funds), which makes their positions have a certain degree of homogenization. When a large number of products reduce their positions, it will put pressure on the market, resulting in excess pullback at the stock end.
Hou Yanjun, general manager of Houshi Tiancheng, analyzed that in the past two years, the quantitative investment scale has increased explosively, and a large amount of funds have poured into the index enhancement strategy. Moreover, due to the high activity of the constituent stocks of the CSI 500 index, many quantitative private placement will use t + 0 enhancement strategies. Such strategies have limited capacity, resulting in a significant increase in the overall congestion of the index enhancement strategy and a rapid decline in excess returns.
Speed up strategy iteration to win
The world’s martial arts, only fast not broken. In the eyes of many 10 billion quantitative private equity respondents, this sentence is also applicable to solve the problem of rapid decline of excess returns.
Wang Xiao, chairman and chief investment officer of niankong technology, said that although the rapid growth of scale has brought popularity to quantitative private placement, it also means that the competition is becoming more and more fierce. For example, a newly developed quantitative model may have a significant decline in the rate of return (or excess rate of return) due to the more efficient strategy iteration of other quantitative institutions. Therefore, in the long run, only those institutions that have advantages in each quantitative link and strategy iteration efficiency can become the ultimate industry winner.
Recently, Mingshi investment said at the investor exchange meeting that it has developed a new model to monitor strategic congestion, which can offset the impact of strategic congestion to a certain extent. The reporter learned from the interview that the main function of the strategic congestion model proposed at the exchange meeting is to identify the factors with high degree of homogenization and reduce the weight of such factors in the quantitative strategy, that is, to develop and use more factors with low correlation, so as to deal with the attenuation of excess returns caused by strategic homogenization. It is reported that the model began to be applied after the Spring Festival holiday and performed well.
\u3000\u3000 “The excess return of quantitative long strategy mainly comes from stock selection, which requires thousands of factors. When the most effective factors are found and used by more and more head institutions, the most fundamental way to break the situation is to increase the efficiency of factor R & D and always be one step ahead of others. Therefore, at present, the company’s focus is to tap high-quality talents and improve the efficiency of strategy iteration to meet the demand The increasingly fierce battle of quantification. ” A 10 billion quantitative private placement person in Shanghai said.
According to Shanghai Securities News
