Since September last year, quantitative private placement has experienced performance pullback for nearly half a year, and many head quantitative private placement products have retreated by more than 20%. Recently, a number of head quantitative private placement revealed that after controlling the scale, strategy iteration and expanding the R & D team, the excess return of quantitative stock products has rebounded recently, and the performance trend of the model is good. At the same time, private placement has expressed its confidence in the market through self purchase. Industry insiders believe that after adjustment, the market risk has been fully released and the investment safety margin is higher.
excess returns gradually improved
On March 20, Lingjun investment released a letter to investors, saying that great changes have taken place in the equity market and quantitative industry since the fourth quarter of last year, and the company’s model has been tested periodically. During this period, the company optimizes the model to forecast the latest changes in the market. The index enhancement strategy products were closed in October last year, and the all channel and all product lines were closed in November. The company has not stopped in the construction of investment and research team, and continues to expand its strategy and it team in the near future.
Lingjun investment said that after continuous adjustment, the recent performance of the model has tended to be good, mainly in two aspects: first, since this year, thanks to the iterative upgrading of income prediction, portfolio risk control and transaction cost control model, the excess return has made a positive contribution and the performance is in line with expectations; Second, using the new model portfolio to back test the fourth quarter of last year, the portfolio can make a relatively stable excess return.
Coincidentally, Liang Jian, director of quantitative marketing of magic square, also said at the roadshow that since November last year, magic square has strictly limited the scale and suspended the raising of all products. So far, it can only be redeemed and cannot be purchased. In terms of model and strategy optimization, magic square reduces the impact of market fluctuations on performance by reducing the overall position concentration. Liang Jian introduced that although it has not returned to the most ideal state after optimization, the performance of excess return has improved compared with the fourth quarter of last year.
Third party platform data show that since February, many index enhancement products with quantitative private placement have rebounded in performance to a certain extent, and the excess return has also continued to rise.
risk further release
Does the good trend of model performance mean that quantitative stock products will have excellent performance? Is this a good time to lay out quantitative stock products?
Looking forward to the future, black wing assets believes that the policy bottom of the current market is basically determined. From the perspective of P / E ratio and P / B ratio, the market is at the bottom of history, and there will be expectation of mean return in the future. There is no need to be overly pessimistic about equity assets. In addition, the quantitative strategy is constantly upgraded and iterated to better adapt to the market environment and capture excess returns. Future investors can focus on quantitative institutions with decentralized strategies, balanced allocation and strict risk control.
Liang Jian said that the recent geopolitical conflict, the expectation of the Federal Reserve to raise interest rates, the epidemic and other uncertain factors have led to a correction in the market, which also indicates that the market will not be smooth this year. However, Liang Jian said that the valuation of the CSI 500 index has been in a very low historical quantile, and the probability of market rebound in the future is still relatively large. Although the index fluctuates in the short term, it still has confidence in China’s stock market in the long run.
Lingjun investment said that on the premise of long-term allocation, it is recommended that investors should not be overly surprised by the short-term performance of the strategy. From the current point of view, as far as the Shanghai index is concerned, compared with 3600 points, the risk must be further released at 3000 points, and the overall safety margin is higher.
self purchase express confidence
Head quantitative private placement is also using “real gold and silver” to express confidence.
Mingyu investment said that it is firmly optimistic about the long-term development of China’s capital market, and the company’s own funds are following the investment on a regular basis. Its hedging series products have different proportions of overweight according to the risk exposure coefficient, and the position is basically at the historical peak, while the quantitative long series products themselves adopt the full position strategy.
Jiukun investment recently announced that based on its confidence in the long-term and stable development of China’s capital market, the company decided to purchase its stock asset management products with its own funds from March 18, with a fixed investment amount of 10 million yuan per month and a fixed investment cycle of three years.
Lingjun investment also said that after the Spring Festival, it has invested a total of 150 million yuan in various channels and product lines, and still firmly believes in the long-term allocation value of quantitative investment. First of all, quantitative investment makes decisions in a quantitative way to avoid artificial emotional judgment, and quantitative “restraint” can face market fluctuations relatively objectively; Secondly, there are differences in investment logic between quantification and traditional subjective investment, and the correlation is low. The complementarity of quantification can help investors better improve the allocation of household assets; Finally, at this stage, the proportion of quantitative industry in China is still low. The “development cost performance” of quantitative industry reduces the selection difficulty of investors to a certain extent and improves the long-term allocation efficiency of funds.
