Private equity quantification developed explosively, and First Capital Securities Co.Ltd(002797) fof business focusing on quantitative private investment also expanded accordingly. Recently, Jing dianying, head of First Capital Securities Co.Ltd(002797) equity investment management department, shared his investment philosophy and the latest observation and Research on quantitative investment.
Focus on quantification
continue to explore the dark horse of private placement
According to Jing dianying, at present, the scale of fof business has expanded from 300 million yuan in 2016 to 3.5 billion yuan. They adopt the investment concept of multi strategy allocation, take quantification as the main track, have in-depth communication and contact with quantitative private placement managers, and have certain advantages in obtaining the core quota of private placement managers; At the same time, by constantly excavating private placement dark horse managers in the market to improve the underlying core pool, so as to optimize the allocation effect of private placement of the master fund.
How to screen private placement managers, Jing dianying revealed that they used a funnel-shaped screening system to screen managers. Firstly, a multi-dimensional quantitative model is used to establish a basic pool of no less than 500 managers. Second, conduct due diligence, performance attribution and strategy screening on the managers in the basic pool to form a key pool of no less than 100. Third, continuously track the managers of key pools, establish at least 50 core pools through unique alpha factor, performance sustainability, stable structure and other indicators, and select sub fund managers who meet the proposed investment strategy and rate requirements for investment. From the screening results, the system has successfully selected many head private placement managers in the early stage. In the past two years, the main screening managers of the system are quantitative private placement managers.
With the great leap forward in quantifying the scale of private placement in recent years, Jing dianying said that it is becoming more and more difficult for them to select the bottom private placement managers. “If the scale expands too fast, the Impossible Triangle of scale, performance and risk is more obvious in quantifying private placement, and the yield of bottom managers decreases significantly. Customers may not really change their ideas. For quantifying a lot, it is still the expectation of high and stable income in the first two years, which will form a poor expectation.” Therefore, in the current quantitative private investment, jingdianying will carry out targeted configuration according to different product lines, and then control the product withdrawal through further decentralized configuration.
Jing dianying believes that compared with mature markets, China’s quantification is far from reaching the online and bottleneck of development. From the perspective of the Chinese market, quantification accounts for only about 20% of the trading volume of the whole market. China is still in a dividend period of quantitative development. However, the era of quantifying high returns and low volatility has passed, and it will be more difficult for investors to choose. In the long run, Jing dianying believes that investors will have more and more demand for the allocation of quantitative fof, and the income expectation of quantitative investment will gradually return to normality.
this year’s investment is more dispersed
For the market performance in 2022, Jing dianying said that it is conservative at present. In terms of operation, he said that it will be more decentralized this year, and will be done as decentralized as possible, both at the strategic level and at the level of bottom managers. “For example, there will be about 10 primary strategies, which will be distributed to four or five managers in the same primary strategy. Although these four or five are in the same primary strategy, their secondary strategies are different, and the strategic logic of managers is also different. Only in this way can we achieve further decentralization.”
Looking to the future, Jing dianying said that with the gradual expansion of business scale, it will continue to expand the coverage of strategies, such as subjective managers and improve the allocation at the master fund level.
Jing dianying introduced that they mainly focus on growth private placement, and the excavation of early private placement dark horse is more timely; At the same time, when private placement IP is hot and well-known by the majority of securities companies, banks and other institutions, they may want to reduce the allocation position, keep a very close track of the scale of star private placement, and predict the risk in advance.
