Recently, the A-share market rebounded from shock, and the performance of the quantitative private placement industry, which once suffered a low tide in the early stage, rebounded. In terms of quantitative long products represented by index enhancement strategy, head institutions have entered a “phased” good situation. Some quantitative private placement institutions believe that the market rebound, the liquidation of the quantitative industry in the early stage, the strategy iteration of mainstream institutions and other factors have jointly promoted the recent performance recovery of the quantitative private placement industry.
performance is generally good
“From January to February, our customers are still suffering. In recent weeks, they are quite satisfied with the performance of the index increase products they hold.” A person from a third-party fund sales channel in China told the reporter of China Securities Journal. Since the bottom of the A-share market rebounded in mid March, with the stabilization of the market, the phased performance of quantitative private placement products has generally rebounded. Among them, the excess rate of return indicators of private placement products are generally good.
According to the data from a large Chinese securities firm, the CSI 500 index quantitative increase products hosted by the 28 head quantitative private placement institutions of the securities firm have achieved positive excess returns (outperforming the benchmark index) for the second consecutive week last week (March 21-25). In addition, the CSI 1000 index of relevant institutions increased quantitative products, and 90% outperformed the index that week.
Wang hengpeng, general manager of 10 billion private jukuan investment, introduced that the enhancement strategy of the CSI 500 index of the institution has carried out version iteration before and after the Spring Festival holiday, and relevant products have achieved positive excess returns in the last four trading weeks. “The performance of the whole market enhancement strategy is better, which shows that the recent strategy has achieved our expected effect.”
Pu Yuankai, director of diewei asset research, further analyzed that since March, the geopolitical tension has led the market to enter the risk avoidance mode, and the short-term volatility has intensified. In this process, thanks to the improvement of market activity, the profitability of the volume price factors and most major style factors of mainstream quantitative institutions has improved, and most index value-added products have been repaired. In this context, the agency’s fundamental quantitative series of products have also achieved satisfactory excess returns in recent weeks.
transaction environment improvement
For the driving factors behind the recent recovery of quantitative product performance, the person in charge of a 10 billion quantitative private placement in Shanghai believes that the “cyclical” factor of the quantitative strategy itself may be the main reason for the overall recovery of quantitative product yield of mainstream institutions in the near future, which is also the key consideration for current head institutions and channels to encourage customers to hold products for a long time. Many institutions have also given multi-dimensional answers in combination with the dynamic changes of the market and industry.
Wang hengpeng said that he personally believes that the improvement of short-term quantitative industry performance is first affected by market factors. At present, the excess return of China’s mainstream institutions’ index growth strategy mainly comes from the “invalid price repair in the medium cycle”, which will be more suitable for the market environment of “relatively active trading” and “non extreme style” in the operation of the model. The recent market is relatively normal, there is no “style disorder”, and the market liquidity is relatively abundant, which is more conducive to the normalization of the level of excess return. Secondly, the decline in the competitive pressure of the industry for some time is also an important factor. “In the past few months, the scale of the industry has been reduced due to customer redemption and net worth withdrawal. The overall impact on the scale of the whole industry is expected to be 200 or 300 billion yuan.” Third, the strategy iteration of mainstream institutions is also an important positive factor.
Pu Yuankai analyzed that the main reason for the recent recovery of quantitative industry earnings is that the “industry clearing” has led to the decline of the scale of many managers and the improvement of the crowded trading environment since the fourth quarter of last year. In addition, each company is continuously iterating the strategy model, which better adapts to the current market. “In addition to the volume price factor, products that are exposed to more value and valuation factors and can allocate various factors in a balanced manner have also shown more stable returns in the recent stage.” Pu Yuankai said.
“frequency reduction” or general trend
For the topic of “the recent decline in the trading frequency of head quantitative institutions has improved the product yield”, which is more discussed in the asset management circle, the fund channels and private placement practitioners interviewed by the reporter of China Securities News do not recognize this statement as a whole. A person from a third-party channel said that the turnover rate of quantitative industry transactions has not decreased at the industry wide level recently. Wang hengpeng further said: “the ‘frequency reduction’ of the quantitative industry occurred more than a year ago. The turnover rate of the head mechanism has been relatively low for a long time. On the contrary, the recent turnover rate has not decreased significantly.”
In addition, Wang hengpeng said that for head institutions, the turnover rate is lower, which is more due to the insufficient capacity of short-term strategy after scale expansion, and is not related to a certain kind of market. The recent significant repair of quantitative product excess return has little to do with “short-term frequency reduction”.
Pu Yuankai pointed out that the “short-term transactional mispricing” in the future market cannot continue to occur intensively. We must obtain excess returns from other channels, that is, participate in the pricing of high-quality listed companies in advance, which requires industry institutions to pay more attention to the factors related to fundamentals. From the perspective of industry development, “frequency reduction” is the general trend.
The aforementioned person in charge of Shanghai 10 billion quantitative private placement further analyzed that considering the “t + 1” transaction of a shares, compared with overseas mature markets, the real “high-frequency strategy” is not the mainstream of China’s quantitative industry. In the long run, as the A-share market becomes more and more effective, the gradual decline of excess return of quantitative strategy will be an irreversible process. Mainstream institutions with quantitative strategies will prefer to adopt the transaction frequency matching their actual management scale in the future.
