At the beginning of 2022, the decline of A-Shares accelerated and the style changed sharply. Among the eight private placement strategies, only the futures strategy was managed to obtain positive returns. The average return rate of stock strategy was – 10.37%. Among its sub strategies, the subjective bulls and quantitative bulls fell by 10.63% and 9.26% respectively, raising questions about the ability of subjective stock bulls to manage 10 billion private placement and the ability to obtain the excess return of quantitative private placement. The scale of asset management in the private placement industry also showed negative growth for the first time since November 2019.
According to the performance of 43120 subjective long products in the Chaoyang sustainable private placement database of new wealth statistics, the yield of 10 billion private placement has still ranked first in the past month, and for a long time, the performance winning probability of 10 billion private placement is higher than that of other scale private placement. From the institutional research in 2022, the stock most concerned by 10 billion private placement is “medical equipment Mao” Shenzhen Mindray Bio-Medical Electronics Co.Ltd(300760) ( Shenzhen Mindray Bio-Medical Electronics Co.Ltd(300760) ), which seems to show that its investment returns to core assets such as high-quality leaders. Ten billion private placement still pays the most attention to the growth stocks in the market, but the attention to value stocks has increased significantly.
In addition, by observing the performance of quantitative private placement products, it can be seen that since 2022, 173 CSI 300 quantitative index products, 1430 CSI 500 index products and 235 CSI 1000 index products still have positive excess returns, with returns of 3.26%, 4.98% and 7.56% respectively. It is worth noting that the average excess return of CSI 500 Index added products decreased from 8.35% in 2019 to 4.98% in 2022, indicating that the quantitative private placement strategy needs to be upgraded.
01. The market enters the hedging mode,
value stocks lead growth stocks
Since January 2022, disturbed by factors such as the “boot landing” of the Federal Reserve’s interest rate hike, the geopolitical conflict between Russia and Ukraine, the scattered outbreak of the epidemic in many places in China and the increasing downward pressure on the economy, A-Shares have been significantly adjusted, and the Shanghai Composite Index hit 3023.3 points at the lowest.
On March 16, the meeting of the finance committee released positive signals on market concerns such as the continued efforts of the steady growth policy, the resolution of real estate risks, the strengthening of communication and cooperation with overseas capital markets, and the standardization of industry reform, and the market stabilized and rebounded. Overall, from January 1 to April 9, 2022, the Shanghai composite index decreased from 3639 points to 3251 points, a decrease of 10.66%.
According to the research statistics of Haitong Securities Company Limited(600837) Xun Yugen strategy team, the spring market of A-Shares has never been absent in the past 20 years. The reason behind this is that the end of the year and the beginning of the year are often the time window for major meetings. At the same time, there is little disclosure of fundamental data of A-Shares from November to March, and the capital interest rate usually drops at the beginning of the year, so the risk preference of investors in the beginning of the year is relatively higher. During the previous spring market, the average maximum increases of CSI 300 and Shanghai composite index were 24% and 22% respectively (Table 1).
At present, under the steady growth policy and the continuous release of loose monetary policy, the cross year market of A-Shares in 2022 has not come, exceeding market expectations.
In this situation, investors have entered the hedging mode, paid more attention to the safety margin of undervaluation, and generally concerned about whether the A-share style has switched from growth to value.
According to the data, in 2021, the market growth index rose by 0.29%, the market value index fell by 8.29%, the small market growth increased by 23.63% and the small market value increased by 20.51%. Meanwhile, the Shanghai 50 index and the Shanghai Shenzhen 300 index, which represent the leading value stocks, fell 10.06% and 5.2% respectively, while the broader CSI 500 index and CSI 1000 index rose 15.58% and 20.52% respectively. It can be found that the trend of growth stocks and small cap stocks is obviously dominant in 2021.
In 2022, it will change. With the overall adjustment of a shares, the above indexes all corrected, but the CSI 500 and CSI 1000 indexes fell by 15.43% and 17.91% respectively, which was greater than the Shanghai 50 and Shanghai Shenzhen 300 indexes. Compared with the growth index and value index, the reversal is more obvious. In 2022, the growth of the large market fell by 20.4%, the value of the large market fell by only 0.69%, the growth of the small market fell by 20.32%, and the value of the small market fell by 4.88% (Table 2). It can be seen that since the beginning of 2022, value stocks have performed better.
Data since 2022 as of April 9, 20022
02. The scale of private asset management increased negatively for the first time in recent years,
seven strategies with negative returns
The decline of A-Shares in 2022 has led to a sharp decline in the stock market and funds. As an important participant in the secondary market, the performance of private securities investment funds is also affected by the general trend. In addition, the switching of A-Shares from growth to value style has further frustrated the private placement of growth stocks such as new energy and medicine in recent two years.
According to the data of private placement network, as of March 11, 2022, the yield of each private placement subdivision strategy in 2022 was significantly lower than that in 2021. Specifically, in 2022, the average return rate of private equity strategy was – 10.37%, fixed income strategy was – 0.83%, managed futures was 4.24%, macro strategy was – 7.4%, relative value strategy was – 1.88%, event driven strategy was – 10%, compound strategy was – 5.66%, and portfolio fund was – 5.86% (Figure 1). Among the eight strategies, only the management futures strategy achieved positive returns.
Figure 1: average return rate of each private placement strategy
Data source: private placement network, new wealth sorting (data as of March 11, 2022)
In addition, according to the latest data of private placement network, as of mid March, the yield of 2067 private equity funds since their establishment has fallen below the warning line.
Affected by the weak A-share market and the correction of private placement performance, private placement with double harvest in scale and performance in recent two years slowed down the pace of expansion at the beginning of 2022.
According to the data of China Securities Investment Fund Industry Association (hereinafter referred to as “China Foundation Association”), in January 2022, the survival scale of private securities investment funds was 6344006 billion yuan, an increase of 3.58% month on month. Driven by the spring Market in 2021, its scale increased by 15.69% month on month in January 2021 and 6342245 billion yuan in February 2022, down – 0.03% month on month (Figure 2). This is the first negative growth in the survival scale of private placement since November 2019.
Figure 2: survival scale and changes of private securities investment funds
Data source: China Foundation Association, new wealth consolidation
In addition to the decline in the survival scale, the issuance of private placement products has also slowed down. According to the data of Chaoyang sustainability, the number of sunshine private placement products issued in January, February and March 2022 were 3889, 2275 and 1325 respectively, which was significantly lower than the average of 4363 new products per month in 2021 and the highest number of 5393 in December (Figure 3).
Figure 3: issuance of sunshine private placement products
Data source: Chaoyang Yongxu (data as of March 21, 2022)
It can be seen that private placement, which has reaped countless flowers and applause in the past two years, seems to be in a difficult growth mode at the beginning of 2022.
03. Stock strategy: bottom of earnings,
ten billion private placement is deeply involved in two disputes
According to the China private equity investment fund industry development report (2021) released by China Foundation Association, the scale of stock strategy products accounted for 78.33% of private equity funds in 2020, accounting for an absolute majority of all strategies. In 2022, the return rate of private equity strategy was – 10.37%, ranking the bottom among the eight strategies.
Specifically, as of March 11, 2022, the return rates of subjective long, stock long and short, quantitative long and other sub strategies in the stock strategy of private placement network were – 10.63%, – 9.05%, – 9.26% respectively (Figure 4). The yield of subjective long strategy is the lowest.
Figure 4: returns of three sub strategies of private equity strategy in 2022
Data source: private placement network (data as of March 11, 2022)
This has also led to the market’s attention to the recent performance of some private placements, including 10 billion private placements with subjective stock bull strategies such as Jinglin, Danshui spring, Shiva and Dongfang harbor.
In March 17th, the online communication of the 100 billion carrier king Lin make complaints about the “Tucao conference”. Danshui spring, which is famous for reverse investment, has not achieved outstanding performance in recent two years. Some people in the market doubt whether its scale growth will affect its performance. The decline of zhonggai shares has led to the poor performance of the products of wanghong private placement Shiva, which is heavily invested in zhonggai shares. On February 24, Dan bin issued a document on the public platform that all products with a cumulative net value of less than 1 in Dongfang harbor will no longer charge management fees until the net value rises to more than 1.
Under the background of generally poor private placement performance, why are these private placements more criticized? This should start with the characteristics of subjective stock long strategy.
The stock long strategy of buying low and selling high is the most common investment strategy. Its income mainly comes from stock selection and timing, and rarely uses derivatives or hedging tools to hedge risks. The main way to avoid risk is to reduce the position.
Stock long strategy is divided into subjective stock long and quantitative stock long. The former is based on the subjective judgment of the fund manager, and investors pay for the income acquisition and risk control ability of the fund manager. The latter outputs trading and risk control signals through the preset multi factor model to quickly capture market profits and risks in a programmed way.
Therefore, for the 10 billion private placement of subjective stock long strategy, the focus of market debate mainly has two aspects: one is whether the stock selection ability of fund managers is worth paying management fees; The second is whether fund managers actively reduce their positions and control pullback in the case of sharp market decline.
In the final analysis, this is the question of investors on the asset management ability after the expansion of private placement scale.
Dispute 1: performance coerced by scale? The winning rate of 10 billion private placement is higher
So, what is the asset management ability of 10 billion subjective stock long private placement? Is its performance constrained by scale? In the Chaoyang sustainable private placement database, new wealth selected 43120 private placement securities investment products by setting indicators such as long stock, non hedging, non quantification, ongoing and filed, and compared the performance of private placement products of different sizes.
In terms of yield, select the average and median yield of private placement products with asset management scale of 1-2 billion yuan, 2-5 billion yuan, 5-10 billion yuan and more than 10 billion yuan in different time intervals for comparison.
In the performance comparison range from 2019 to 2021, the average yield of 10 billion private placement in 2019 and 2020 were 46.35% and 55.12% respectively, and the median were 42.86% and 53.85% respectively, which was significantly higher than that of 1-2 billion yuan, 2-5 billion yuan and 5-10 billion yuan. In 2021, the hot spot of the stock market was switched from the core assets such as consumption and medicine held by 10 billion private placement to growth stocks such as new energy. The average return rate of 10 billion private placement was 10.42%, with a median of 4.88%, ranking the bottom among private placement of all sizes.
Since 2022, A-Shares have fallen under the influence of various factors at home and abroad, and the performance of 10 billion private placement has been affected. The average yield is – 11% and the median is – 10.88%. Although the performance of 10 billion private placement has been significantly corrected, it is still better than that of 5-10 billion yuan private placement. In the past month, the average and median yields of 10 billion private placement have been – 1.97% and – 1.45% respectively. Although they are still negative returns, they perform best in all sizes of private placement. It can be seen that in the past four years, the success rate of 10 billion private placement performance is the highest.
Lengthen the time range and compare the annualized rate of return of private placement of all sizes since its establishment. The average rate of return of private placement of 1-2 billion yuan, 2-5 billion yuan, 5-10 billion yuan and more than 10 billion yuan is 8.67%, 8.23%, 10.1% and 12.45% respectively. In terms of median, 10 billion private placement is second only to 5-10 billion yuan private placement, with obvious performance advantages (figures 5 and 6).
Figure 5: comparison of the average return rate of private placement of different sizes
Data source: Chaoyang Yongxu, new wealth sorting (data as of March 19, 2022)
Figure 6: comparison of the median return rate of private placement of different sizes
Data source: Chaoyang Yongxu, new wealth sorting (data as of March 19, 2022)
In terms of risk control, select the average and median maximum pullback of private placement products with asset management scale of 1-2 billion yuan, 2-5 billion yuan, 5-10 billion yuan and more than 10 billion yuan in different time intervals for comparison.
Since 2019 and 2022, the average value of the largest pullback of 10 billion private placement is the lowest among private placement of all sizes, which is only slightly higher than that of 5-10 billion private placement in 2020, and the pullback control is the worst in 2021. Compared with the maximum pullback average since its establishment, the 10 billion private placement is 12.6%, lower than other private placements.
Except for 2021, the average value of the maximum pullback of 10 billion private placement is basically maintained at 10% – 13%, and its maximum pullback control is more stable than that of other scale private placement (Figure 7).
Figure 7: comparison of maximum pullback average of private placement of different sizes
Data source: Chaoyang Yongxu, new wealth sorting (data as of March 19, 2022)
In terms of the maximum median pullback, 10 billion private placement remained the lowest except 2019 and 2021 (Figure 8).
Figure 8: comparison of the maximum withdrawal median of private placement of different sizes
Data source: Chaoyang Yongxu, new wealth sorting (data as of March 19, 2022)
The comparison of the above two groups of data can answer whether the performance of 10 billion private placement is coerced by scale. In the long run, the success rate of 10 billion private placement is higher.
Dispute 2: whether fund managers reduce their positions? 10 billion private placement positions fell to 78.46%
Another dispute is whether fund managers take active action in the current market crash.
According to the data of private placement positions since 2015, the position level of 10 billion private placement is higher than that of other private placement in most of the time. Since 2021, 5 billion private placement has been more active, with positions exceeding 10 billion private placement, partly due to the weak performance of 10 billion private placement.
Since 2022, with the decline of Shanghai stock index, the overall position level of private placement of all sizes has decreased except for 1 billion private placement, and the position of 10 billion private placement has also decreased from 80.66% in January to 78.46%, lower than 5 billion private placement (Figure 9).
Figure 9: position level of private placement of different sizes
Data source: private placement network, new wealth sorting (data as of March 11, 2022)
04, 10 billion private placement stock selection adjustment is obvious,
or return to value, leading stock
In addition to taking action on positions, in the face of the stock market adjustment in early 2022, 10 billion private placement also adjusted its stock selection.
The first quarter report of 2022 has not been published, so we cannot obtain the information of private placement heavy positions through the details of the top ten shareholders. Therefore, we use institutional research information to observe the stock selection adjustment of 10 billion private placement.
From January 1 to April 9, 2022, there were 3034 investigations of 10 billion private equity institutions, including 194 investigations of Danshui spring, ranking first. Excluding the Spring Festival holiday, it is equivalent to investigating two companies every day, which can be described as the most diligent 10 billion private equity. Gao Yi assets and Panjing investment conducted 180 and 144 investigations respectively, followed by them.
Rank the number of times of each private placement research company, and the top three stocks are defined as the top three stocks with the highest private offering attention (hereinafter referred to as “the stocks with the highest attention”). According to the new wealth statistics, 93 stocks have become the stocks with the highest attention of 10 billion private placement since 2022. Among them, Shenzhen Mindray Bio-Medical Electronics Co.Ltd(300760) ( Shenzhen Mindray Bio-Medical Electronics Co.Ltd(300760) ) became the 21 stocks with the highest attention of 10 billion private placement, and Ningbo Ronbay New Energy Technology Co.Ltd(688005) ( Ningbo Ronbay New Energy Technology Co.Ltd(688005) ) became the 15 stocks with the highest attention of 10 billion private placement (Table 3).
Compared with the top ten stocks with the highest attention of 10 billion private placement in the fourth quarter of 2021, Shenzhen Mindray Bio-Medical Electronics Co.Ltd(300760) was also among them at that time, but only six 10 billion private placement companies paid attention to it (Table 4). It can be seen that in 2022, 10 billion private placement has greatly increased its attention to Shenzhen Mindray Bio-Medical Electronics Co.Ltd(300760) private placement.
Shenzhen Mindray Bio-Medical Electronics Co.Ltd(300760) is the leader in the medical device industry. In 2020, when the leading companies of high-quality track such as institutional group consumption and medical treatment are the core assets of a shares, the annual increase of Shenzhen Mindray Bio-Medical Electronics Co.Ltd(300760) is as high as 135.51%. In 2021, the organization collapsed and Shenzhen Mindray Bio-Medical Electronics Co.Ltd(300760) share price fell by 10.16%. From January 1 to April 9, 2022, Shenzhen Mindray Bio-Medical Electronics Co.Ltd(300760) share price has fallen by 19.12%, exceeding the decline in 2021. Does 10 billion private placement’s attention to Shenzhen Mindray Bio-Medical Electronics Co.Ltd(300760) the adverse trend mean that leading companies gradually become value depressions in the decline?
Ningbo Ronbay New Energy Technology Co.Ltd(688005) , the second highest concern of 10 billion private placement, did not receive too much attention in the fourth quarter of 2021. It is engaged in the R & D and production of lithium battery cathode materials. It belongs to the new energy materials industry and is known as the “leader of high nickel”. It landed on the science and Innovation Board on July 22, 2019. The new energy sector rose sharply in 2021, with an increase of 124.4% in Ningbo Ronbay New Energy Technology Co.Ltd(688005) year.
Since 2022, the new energy sector has begun to adjust. The core difference of the market for this track lies in whether its performance is at an inflection point. In this context, from January 1 to April 7, 2022, Ningbo Ronbay New Energy Technology Co.Ltd(688005) increased slightly by 4.24%. On April 7, Ningbo Ronbay New Energy Technology Co.Ltd(688005) released the performance forecast for the first quarter of 2022. It is expected that the net profit attributable to the parent company in the quarter will increase by 134% – 151% year-on-year and decline by 17% – 23% month on month. On April 8, Ningbo Ronbay New Energy Technology Co.Ltd(688005) fell 6.39% in a single day, and the rise and fall in the year changed from positive to negative. It can be seen that the market is more sensitive to the performance of new energy companies.
The head of 10 billion private placement said that the most important thing for new energy investment in 2022 is to “figure out the accounts”. In his opinion, the new energy track continues to grow, and many enterprises still have a lot of room for development from the perspective of profitability, but we need to pay attention to the matching between valuation and performance, and the internal differentiation of the industry will be significantly intensified.
In addition, when the market discussed whether the A-share investment style should be switched from growth to value, 10 billion private placement has been adjusted. Dividing the top stocks of 10 billion private placement by value, balance and growth style, it can be seen that from the beginning of 2022 to now, 10 billion private placement still pays the most attention to the growth of the market.
It is worth noting that, compared with the fourth quarter of 2021, the proportion of large cap growth stocks decreased from 27.03% to 24.7%, the proportion of medium cap growth stocks decreased from 14.19% to 5.42%, and the proportion of small cap growth stocks decreased from 7.43% to 7.23%. On the contrary, the proportion of large cap value stocks increased from 0 to 4.22%, the proportion of medium cap value stocks increased from 1.35% to 4.22%, and the proportion of small cap value stocks increased from 6.76% to 7.83%.
It can be seen from this that 10 billion private placement has significantly increased its attention to value stocks, especially large cap value stocks, and decreased its attention to growth stocks (Figure 10).
Among them, 10 billion private placement has increased its attention to large and medium cap balanced stocks, indicating that it is more conservative when the market style is not completely clear.
Figure 10: style distribution changes of the top three stocks with 10 billion private placement research attention
Data source: new wealth consolidation (deadline: April 9, 2022)
From the perspective of industry distribution, since the beginning of 2022, 10 billion private placement has paid the most attention to the pharmaceutical, biological, mechanical equipment and chemical industries, and the attention to electronic and electrical equipment has greatly decreased. Due to the intensive introduction of the bottom support policy of the real estate market in 2022, 10 billion private placement has paid more attention to banks and real estate (Figure 11).
Figure 11: changes in the industry distribution of the top three stocks in the 10 billion private placement research
Data source: new wealth consolidation (deadline: April 9, 2022)
05. Quantitative index enhancement products:
excess returns decline, facing scale constraints
Since the beginning of 2022, in addition to the poor performance of the subjective long stock strategy, the quantitative long return, another sub strategy of the stock strategy, is only – 9.26%.
In recent years, quantitative index enhancement products have attracted much attention in quantitative long products. Since 2019, the CSI 500 index has performed well continuously, and the excess return of head quantitative institutions has also maintained a level of more than 20% per year, ushering in three years of rapid development.
In 2021, thanks to the rise of small cap style and the obvious increase of market turnover, as well as the effective support provided by the multi-year reserves of talents, data, algorithms, investment research and trading it systems, quantitative private placement ushered in a double harvest of performance and scale, and the stock scale exceeded the trillion yuan mark.
The index enhancement strategy is to obtain the excess return relative to the index through active management on the basis of tracking the index. For investors, they can get both beta returns of tracking index and stable alpha returns. However, since the fourth quarter of 2021, the continuous correction of the index has reduced its beta earnings; The decline of A-share trading volume and the decrease of volatility make it more difficult for them to obtain alpha income.
Under the weakening of excess return ability, the quantitative index enhancement strategy seems to move from high to low. The performance of many quantitative private placement led by this strategy has also been affected.
First, in 2021, Mingyu fell into a performance storm, and there were rumors of a huge redemption of 60 billion yuan. Finally, the rumors subsided by Mingyu suspending fund-raising, taking the initiative to stop scale expansion and upgrading quantitative strategies.
In addition, the performance of 10 billion quantitative private placement Shanghai Hefu investment in 2022 encountered “black door”. On February 11, Shanghai Hefu investment issued an announcement to investors and consignment institutions, saying that the unit net value of its Hefu flexible hedge No. 9 phase a private securities investment fund was 0.8774 yuan on February 10, which was 0.88 yuan lower than the early warning line, touching the early warning. The company apologized to investors and stated that it had invested 5 million yuan in the master fund of the product with its own funds on February 10.
Another head quantitative private magic square quantitative also issued a statement, saying that the reasons for poor performance include large-scale, long-term shareholding fluctuations, homogenization of quantitative strategies, etc. the key is to deal with, reduce the concentration of positions and increase the research on strategies.
Similar situations continue to unfold. Quantitative private placement has responded by apologizing, capital follow-up and stopping fund-raising.
So, how much has the excess return of quantitative index enhancement strategy been weakened?
In the Chaoyang sustainable private placement database, we set indicators such as stock bulls, ongoing and product names with CSI 300 index enhancement, CSI 500 index enhancement and CSI 1000 index enhancement, and screened 173 CSI 300 quantitative index enhancement products, 1430 CSI 500 index enhancement products and 235 CSI 1000 index enhancement products.
The statistical results show that since 2022, the enhanced returns of CSI 300 index, CSI 500 index and CSI 1000 index have been negative, which are – 11.1%, – 10.45% and – 10.35% respectively. It is worth noting that compared with the rise and fall of its tracking index, the excess returns of these three types of quantitative products are positive, which are 3.26%, 4.98% and 7.56% respectively.
This shows that although the excess return has decreased, the performance of these three types of products is not as unsatisfactory as that criticized by the market under the environment of sharp decline in the index and sudden adjustment of style (Figure 12).
Figure 12: returns and excess returns of quantitative index enhanced products since 2022
Data source: Chaoyang sustainability, new wealth consolidation (deadline: April 9, 2022)
Over a longer period of time, is the quantitative index added product facing the problem of decline in excess return? In order to compare the excess returns of quantitative index added products from 2019 to now, we take the CSI 500 quantitative index added products with the largest number of products as the sample.
From 2019 to 2022, the yield of CSI 500 quantitative index products showed a downward trend, and the average yield decreased from 34.73% to – 10.45%. Excluding the rise and fall of CSI 500 index, the excess return of CSI 500 quantitative index products is declining. The average excess return was 8.35% in 2019 and slightly decreased to 7.68% in 2020. Since 2021 and 2022, the excess return has decreased significantly, 5.02% and 4.98% respectively (Figure 13).
Figure 13: yield and excess return of CSI 500 quantitative index products from 2019 to 2022
Data source: Chaoyang sustainability, new wealth consolidation (deadline: April 9, 2022)
With the improvement of the overall scale of quantitative strategy products, whether it is quantitative high-frequency strategy or quantitative medium and low-frequency strategy, the profitability will be affected by transaction congestion or strategy congestion. Secondly, in recent years, with the rapid switching of market style, a single strategy is more prone to the problem of style maladjustment or strategy failure. Since 2019 and 2022, the accelerated decline of excess returns of CSI 500 quantitative index added products shows that quantitative private placement is facing the above problems to a certain extent.
In addition, in view of the performance controversy of head quantitative private placement, new wealth has counted the returns of CSI 500 quantitative index products with asset management scale ranging from 0-500 million yuan, 500-1 billion yuan, 1-2 billion yuan, 2-5 billion yuan, 5-10 billion yuan and more than 10 billion yuan since 2022. The average returns are negative, but they have achieved excess returns, which are 5.35%, 2.52%, 4.58%, 4.86%, 6.98% and 4.18% respectively (Figure 14).
Figure 14: income of CSI 500 quantitative index added products in private placement of all sizes since 2022
Data source: Chaoyang sustainability, new wealth consolidation (deadline: April 9, 2022)
It can be found that the performance of quantitative private placement of 5-10 billion yuan is the best, and the performance of quantitative private placement of more than 10 billion yuan is the penultimate. The data show that the smaller the scale, the better the performance of quantitative private placement. The R & D and upgrading of quantitative strategies need to invest a lot of manpower, technology and capital, and can only be undertaken by quantitative private placement with a certain scale. If the scale of quantitative private placement is too large, it will be affected by the quantitative “Impossible Triangle” effect such as scale, income and fluctuation. In this regard, some quantitative private placement has opened the exploration of Multi Strategy products, and the results need to be observed.
06. Managed futures: outshining others, showing crisis alpha characteristics
Compared with the sharp retreat of the stock strategy dominated by subjective bulls and quantitative bulls since 2022, as well as the negative return of other private placement segmentation strategies, the managed futures (CTA) strategy has achieved a positive return of 4.5%, which is unique and once again shows its crisis alpha characteristics.
Managed futures mainly refers to the strategy of investing in China’s commodity futures, which also includes stock index futures and treasury bond futures in a broad sense. Among them, subjective CTA mainly adopts subjective fundamental analysis and subjective technical analysis to make medium and long-term investment in commodity futures, mostly trend tracking. Procedural CTA can be divided into quantitative trend and quantitative arbitrage, mainly focusing on quantitative trend. Among them, quantitative trend mainly uses medium and short-term momentum to select the time of commodities, and the trading frequency is higher than subjective CTA. Quantitative arbitrage is to carry out arbitrage trading on the price difference of futures to obtain stable income.
The commodity market fluctuated greatly in 2021. First, the global loose monetary environment is superimposed on the economic recovery, commodity inventories are generally low, there is a significant mismatch between market supply and demand, and commodity prices continue to rise. Subsequently, the state strengthened the regulation and control of the commodity market, the price of bulk commodities fell rapidly, and the Nanhua commodity index rose by 20.94% in the whole year. Due to the sharp rise and fall of the market, the median return of managed futures strategy in the whole year is 6.3%, lower than the annual average return of 20% in 2020.
From the perspective of segmentation strategy, the return of subjective CTA strategy and quantitative trend strategy is almost the same in 2021, reaching 13%, but the withdrawal of subjective CTA reached 4.11%, higher than 2.88% of quantitative trend. Generally speaking, quantitative trend strategy covers multi cycle momentum and has better risk control ability in the market with large rise and fall range. The overall income of arbitrage strategy reached 10%, the maximum pullback reached 3%, and the performance of the whole year was stable (Table 5).
Since 2022, affected by the epidemic, international situation and policies, there has been a phased mismatch between supply and demand in the commodity market, which has led to sharp fluctuations in commodity futures, which is conducive to the performance of CTA products.
It is worth noting that the market of CTA strategy is relatively concentrated within a year, often in a few months or even weeks, which is more difficult than stock timing. At present, there are 10 billion quantitative private placement tips to be vigilant against short-term chasing high risks.
The crisis alpha characteristic of CTA strategy stems from its low correlation with other private placement segmentation strategies and its relatively small capacity. Mixed CTA products matched with other segmentation strategies have higher capital utilization efficiency and stronger defense.
At present, China’s quantitative private placement Multi Strategy products mostly adopt the “CTA +” model, including CTA + index enhancement, CTA + stock bulls, CTA + market neutrality and so on. At the same time, whether it refers to growth, long stock or neutral strategy, it can also be enhanced by means of innovation and t0 to further improve earnings.
Under the background of A-share decline, both subjective and quantitative private placement are affected. Tide out, who is swimming naked, perhaps in the test, the truly capable private equity managers can better surface.
