Cold Palace Products "Go Hot" Note: Quantify Hedge Funds Reliable "Anti Fall" Against The Wind Sail?

In March, too much magic and "long live" stocks broke out 4 times. The main index of the 128 main markets in the world accumulated negative returns in March.

The three largest indexes of A share also fell. In March, the cumulative stock index fell 4.51%, the Shenzhen composite index fell 9.28%, the gem index fell 9.64%, and 28 Shen Yi industry index all fell.

Almost all the funds have taken profits in the bull market in 1 and February. This year's most intense technology fund is generally more than 10% callbacks in March.

Against this background, some quantitative hedge funds have shown a very strong resistance.

Since the establishment of the core of the Baode Everbright trust in 2004, this kind of product has been developed in China for 16 years. Including the harvest fund, Huaan fund, Wells Fargo fund, TEDA Manulife, etc., all of them have been interested in developing quantitative fund business, recruiting more Ivy League schools or overseas fund managers.

"At the beginning of this year, our company is still debating whether to ban quantitative hedge funds. Investors complained about their complaints last year and were not satisfied with the proceeds. Unexpectedly, after the Spring Festival suddenly fell, and now entered the shock market, such funds have been taken seriously. A private equity fund official said.

According to reporters, the recent public funds are also developing quantitative hedging products. Currently, 30 public offerings in the market quantify hedging products, of which 7 have been established since November 2019.

Hedge funds will also lose money.

Wind data show that in March, the 30 public offering quantitative hedge fund (A/C class share separately calculated, the same below) the average yield was -0.28%, the median was 0.08%, the yield range was -3.56% - 1.39%, of which 20 funds were positive earnings, accounting for 60%.

Private placement quantified the performance of hedge funds. Data from private placement networks showed that the overall average yield of 627 quantitative hedge strategy funds in March was 0.45%. Among them, 412 funds achieved positive returns, accounting for 65.71%.

Another example of quantifying the "magic" role of hedge funds is that in February 3rd, on the first trading day of the year of the rat, A shares fell three in Shanghai stock market under the impact of the epidemic, the Shenzhen stock index fell 8.45%, and the gem index fell 6.85%. Wind data showed that on the same day, about 70% of the 28 hedge funds valued at the time of the market gained positive returns, and the net value rose by 0.33% on average, with the largest loss of products being only 0.31%.

However, quantifying hedging products also fails.

Many investors may not know much about quantified hedge funds, but surely many people have heard of the world's largest hedge fund Bridge Fund.

In the afternoon of March 18, 2020, information about "bridge water burst warehouse" was circulated wildly in the institutional market.

Soon, Ray Dario, founder and chief investment officer of the bridge water fund, responded to the growing questioning of the market. Dario threw out the fund's net performance this year, and the 8 funds fell sharply, falling by 7%-21%. He said that although such a performance "is not what I want, but this is consistent with my expectations in the current circumstances."

That is to say, the bridge water did not burst the warehouse, but the response from the bridge also admitted a huge loss.

In fact, with the spread of the epidemic and the avalanche of crude oil prices this year, the US stocks, gold, commodities and even the stage of American debt are fluctuating violently, which directly leads to the short-term failure of the hedge model.

"Bridge water fund is empty stock, multi bond, but because of the sudden liquidity exhaustion, it can not achieve normal efficient hedging and there is a huge withdrawal." A personage of metaphysical quantification told reporters.

In fact, not only overseas quantitative hedge funds encounter such problems. In the same period, domestic quantitative funds also encountered difficulties.

"Domestic quantitative hedge funds have also been affected by overseas fluctuations recently. Quantifying the hedge industry is more closely related to the impact of the premium. It is necessary to have a high Alfa stock selection excess to effectively cover the premium, and the difficulty is more difficult than the US stock market." The above metaphysics Fund said.

Another private person also said, "quantifying hedge funds depends on the inefficiency of the market. In overseas markets, because of institutional investors, the market is relatively effective, and the strategy of quantifying hedging is relatively large."

In China, a major variable of hedging is that hedging strategies are difficult to play when the discount of stock index futures is particularly serious. From the 2015 stock market crash to the first half of 2017, the stock index futures market had a higher discount rate, which led to the high cost and low efficiency of hedging strategies. In desperation, quantitative hedge funds have to choose to reduce their positions.

In fact, although the hedging strategy in principle is down, it can not guarantee that there will be no loss. For example, when the stock index futures in 2016 failed to function properly, it would be very likely to lose money if the hedge fund was chosen to choose a high position in -2018.

Different strategies for public and private placement

Looking back at the development of domestic quantitative funds, private equity funds developed earlier and faster. This is related to the pursuit of absolute earnings by private placement, which quantifies Nintaus's suitability for such absolute return products.

In the first half of 2019, a lot of money poured into private hedge products, because the hedge products of private placement were better in the 2017 and 2018 bear markets, but in 2019, A shares took the bull, and quantified hedging products did not continue to perform brilliantly, resulting in many funds wanting to withdraw.

Another reason for private placement to quantify losses in hedge funds is related to the style of the private placement itself. Private placement is generally hedged by the CSI 500 stock index futures. Spot selection is also the enhancement of 500 small and medium value market stocks, with less consideration of the fundamentals of stocks, and the adoption of high-frequency methods, such as changing positions 20%~50% a day. When the scale of transactions is large, the price of small stocks is more vulnerable. If there are no multiple strategies to supplement, the performance will often be affected.

A private person told reporters that the larger the size of the strategy, the more serious the hedge fund strategy is. For example, a 1 billion level private placement quantitative hedge fund strategy has a large space to release, while another 6 billion level strategy is restricted, while another ten billion level quantitative hedging strategy is also limited in strategy.

The practice of public offering is obviously different from that of private placement.

A large fund company's quantitative fund manager told reporters that according to regulatory requirements, public offering quantitative hedge funds can only use futures hedging account short, according to the provisions of the gold stock investment scope for the card 800 constituent stocks. But the public offering quantitative hedge fund hedge generally uses the Shanghai Stock Index 50 stock index futures, Shanghai and Shenzhen 300 stock index futures (relatively more), the CSI 500 stock index futures as the short part, the long part uses the quantitative model stock selection, through the model appropriately controls the relative hedge index's industry deviation and the risk exposure.

According to the public offering, the number of hedge funds in the stock market is mainly based on Shanghai and Shenzhen 300, while buying Shanghai and Shenzhen 300 stock index futures, forming an enhanced effect of Shanghai and Shenzhen 300. The spot part is often a basic and relatively low frequency strategy, so the risk of public offering is relatively small. The limited net exposure of the public offering hedging products is mainly concerned with risk control of stock selection and portfolio building.

Public offering hedging strategy products are more likely to be targeted at "fixed income +" as a substitute for fixed income.

In the future development, the aforementioned public offering quantitative fund manager said that China's public offering quantitative hedging development was affected by the stock index futures regulatory policy after the stock market crash in 2015, and once stagnated. In April last year, CICC gradually relaxed the related restrictions on stock index futures, and at the end of last year, the new products of hedge funds were re approved and approved. Public offering quantitative hedge funds will re-enter the development channel.

"Quantified hedge fund is a medium and low risk product targeted at absolute return. In the future, there will be potential for bank financing to undertake absolute gains." The above public fund managers said.

Since 2019, because the yield of fixed income products is relatively low, for example, the yield of 10 year bonds, IMF and pure debt funds is often less than 3%, therefore, as an alternative product of "fixed income +", investors' attention to hedging products is enhanced.

?