In 2021, the quantitative strategy of attracting both gold and eyes handed in a quite brilliant report card, but the differentiation between subdivision strategies is also very obvious.
According to the latest statistics of private placement network, the average return of quantitative hedge funds in 2021 is 15.5%. Among them, the quantitative long strategy won the title with an annual average yield of more than 20%, while the market neutral strategy ranked the bottom.
Many industry insiders said that due to the decline of the excess return of the industry due to the rapid development of quantitative investment and the significant increase of the basis fluctuation of stock index futures, in the medium and long term, the market neutral strategy may reduce the return and increase the fluctuation.
According to statistics, 2781 quantitative hedge funds included in the statistics have an average return of 15.5% in 2021. Among them, the quantitative long strategy has a leading performance, with an annual average rate of return of 20.09%, the quantitative Multi Strategy ranks second with an average rate of return of 15.17%, the CTA strategy ranks third with an average rate of return of 12.51%, and the market neutral strategy once favored by prudent investors ranks bottom with an average rate of return of 10.7%.
\u3000\u3000 “Last year, the CSI 500 index showed a strong performance, with an increase of more than 15% in the whole year. The performance of quantitative long strategy based on the enhancement of the CSI 500 index naturally showed a bright performance. The performance of market neutral strategy products mainly depends on excess returns and hedging costs. Last year, the volatility of stock index futures basis intensified and the excess returns also decreased, so the overall performance of market neutral strategy products showed a good performance Relatively backward. ” A private placement researcher in Shanghai said frankly.
Bao Guizhi, director of Tongzeng capital investment, also said that the fluctuation of market neutral strategy in 2021 was significantly greater than in the past. There are two main reasons: first, the quantitative investment scale has increased rapidly and the overall excess return of the industry has decreased; The two is the frequent switching of market style in 2021, the aggravation of sector rotation, the lagging response of market neutral strategy and the lack of timely adjustment.
Standing at the starting point of 2022, what kind of quantitative segmentation strategy is more cost-effective for individual investors?
“In the medium and long term, the allocation value of index enhancement strategy is higher.” A head quantitative private placement person in Ningbo said frankly that in the past, market neutral strategy funds were products with low volatility and high yield, but since 2021, the rapid development of quantitative investment has significantly reduced the excess return of the industry and significantly increased the basis fluctuation of stock index futures. Therefore, market neutral strategy not only gradually decreased the yield, but also intensified the fluctuation, The performance price ratio is gradually lower than the index enhancement strategy products that can capture the earnings of beta in the era.
The reporter learned from insiders that in May 2021, magic square, a quantitative private placement giant, quantitatively launched the policy of “zero redemption fee” for neutral products, hoping to give investors a chance to choose again. Because for investors, the hedging cost of neutral products is too high, and long-term holding is not as good as index enhancement products.
Black Wing assets also said that the original intention of the neutral strategy is to exchange the hedging cost for a more deterministic excess return, but the excess return is converging year by year. At the same time, in the long-term deep discount environment of stock index futures, the neutral strategy has to pay more than 10% of the hedging cost every year. Therefore, at this stage, the cost of neutral strategy products has not decreased, but the excess return in exchange is decreasing year by year, the stability is also significantly reduced, and the cost performance is much lower than before. Based on the principle of prudent investment, investors can allocate a certain proportion of equity assets and invest in other strategies with low correlation with stocks and bonds to build the investment portfolio, such as “index enhancement + CTA strategy”.
The reporter learned that based on the high medium and long-term cost performance of index enhancement products, a number of quantitative private placement took them as the main products, and some head quantitative private placement also laid out the whole market quantitative stock selection strategy.
A 10 billion quantitative private placement person in Shanghai said frankly: “In the past, the company would recommend CTA strategy and market neutral strategy to individual investors, and the net value performance was relatively stable. However, in the process of China’s capital market gradually maturing, beta earnings can not be missed, so now we hope to make the index enhancement strategy bigger and stronger. At the same time, the company will also lay out the whole market quantitative stock selection strategy, namely ‘air index increase’ strategy, in order to improve the market wind Get richer alpha benefits in case of grid uncertainty or fast switching. “
