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金沙娱乐官网网址:The most bullish base month rose by 10% Institutional "breaking" style dilemma

时间:2018/3/22 21:31:11  作者:  来源:  浏览:0  评论:0
内容摘要: Small-cap stocks have been diving since 2017, and the quantitative funds have become the hardest-hit areas.However, the situation has chang...

Small-cap stocks have been diving since 2017, and the quantitative funds have become the hardest-hit areas.

However, the situation has changed this year. At the beginning of February, after the A-shares oscillated, the major indices rose collectively, and small and medium-sized companies became absolute leaders. Compared to last year's sluggish market, small and medium-sized startups first out of the rally in the first quarter, in particular GEM refers to number rebounded as much as 20%.

Driven by market conditions, the overall performance of Quantitative Funds has picked up significantly this year. The fund with a serious loss last year has seen a significant rebound in net value since this February 9th wave, and the number of new-quantitative funds that have been established for more than a month has risen by more than 10%.

Many institutional sources believe that under the expected market fluctuations in 2018, the quantitative strategy will be more conducive to grasping investment opportunities. Each of the fund companies this year also strongly considers this type of product. However, whether quantitative funds can achieve counter-attacks in the following markets still requires market testing.

performance to pick up the establishment

February 6 of Invesco Great Wall quantify small-cap fund, is one of the largest product times new base established in the same period rose gold. As of March 20, its latest net value reached 1.1063 yuan, with a net increase of 10.63%.

Invesco's Great Wall quantified market Fund's net value The sharp rise in the short-term is closely related to the rapid opening of the market after the market adjustment. The net value fluctuations after its establishment have also been confirmed. In addition, the fund aims at the CSI 1000 index, which is a typical small-cap style fund, which is closely related to the recent market style.

After the pre-market market differentiation and shocks adjustment, many investment targets framed by quantitative strategies have dropped out of value, and new funds that can grasp the low point of time will inevitably benefit from the subsequent market rebound.

In addition to the Invesco Great Wall Quantitative Small-Cap Fund, the market has rebounded from the low level on February 9 to date, and many quantitative funds have achieved better performance. Some of these funds suffered serious losses in the market conditions of the past year, and they are now quite inconsistent. The trend of attack.

According to statistical data, since February 9th, the average increase in active quantitative funds has been 3.4%. Nearly 90% of funds have achieved positive returns. Among them, there are 16 active quantitative funds with an increase of more than 10% (partial share statistics). The China Shipping Quantitative Strategy, the medical industry , and Dongxing's quantitative multi-strategies were disaggregated by 18.09%, 15.74%, and 15.22% respectively. three.

It is worth mentioning that of the 16 quantitative funds that rose by more than 10% since February 9th, 7 funds have recorded full-year revenue for 2017, of which 6 were negative, only Changsheng Medical Industry 1 Only the fund has achieved a positive return of 4.61%.

Of the 6 quantitative funds with negative returns last year, 4 were ranked in the top 10 in the list of active quantitative fund returns in 2017, followed by Chinese businessmen's dynamic Alpha -18.51% ranked second lowest, and Golden Eagle Quantitative Select - 17.62% ranking fourth, Dongxing quantitative and multi-strategy -14.1% ranking seventh, long letter electronic information industry quantification -11.65% ranking penultimate. For these funds that performed poorly last year, this wave of rebound since February is a big comfort.

If we look at the situation since the beginning of the year, the percentage of active quantitative funds that have achieved positive returns is more than 60%, and the overall average rate of return is 0.52%, of which Tianhong quantified A/C-driven gains with a yield rate of 10.92%. First, Changsheng Healthcare, Wanjia Macro Time-choice Multi-strategy and Yinhua Medical Health A/C all had good performance gains.

However, in the context of quantifying the overall performance of funds, the situation of head-to-tail differentiation is still quite obvious. Hua Xia Zhi Sheng value growth A, Chinese entrepreneurs dynamic Alpha, long letter of the defense industry, southern strategy optimization, etc. are the funds with large losses in performance this year. Among them, Hua Xi Zhi Sheng value growth A is temporarily at the bottom with a net decline of -8.4%.

From the scale of Huaxia Zhisheng's value growth, it is already a fully-fledged mini-fund. In the first quarter of 2017, the fund suffered a massive redemption of 1.147 billion. The scale of the fund fell to 0.53 at the end of the quarter. Billion, then the scale has further shrunk, which is already lower than the liquidation warning line.

On March 16th, Ping An Dahua quantified flexible configuration hybrid fund passed the liquidation proposal into the liquidation process and became the first liquidation fund in the year.

Shenzhen, a quantitative fund manager, pointed out to reporters on March 21st that the quantitative funds in 2016 had shined in the turbulent city and attracted the attention of a lot of outsourcing funds. However, at the beginning of last year, the small-cap stocks continued to dive and the quantitative funds became heavy losses. In the disaster-stricken areas, many outsourcing funds chose to withdraw, so there has been a situation where a small number of quantitative funds have shrunk dramatically. Some funds have been unable to reverse their performance and may eventually go to liquidation.

“Style” dilemma

The performance of quantitative funds under different market styles has caused investors to be confused about this type of product, and institutional managers are also thinking about it.

March 19, Morgan Stanley Wang Xinxin of Huaxin Fund's quantifiable investment department pointed out that although quantitative investment can largely exclude the influence of emotional factors on investment decisions, compared with traditional active investment. It is undeniable that different quantification models also have different investment styles, which leads to different levels of retracement of different models at different time periods.

Wang Lianxin said that for quantitative investment, taking into account a model can be applied to a firm, nothing but high performance or low risk in the history of the backtest process. Therefore, although the basic assumptions and modeling methods vary from model to model, they can ultimately be evaluated and differentiated by using a more uniform performance measurement system and classified accordingly. For example, the small stock growth stock selection model often has the characteristics of high yield, while the broader stock value stock selection model often has the characteristics of low risk, so the quantitative product investment style will be more fixed than the active management fund.

Wang Lianxin believes that it is precisely because of the unavoidability of certain investment styles, investment performance will no doubt be affected by market drift. Especially in the recent one or two years, the style of the market has changed very often and the direction has become extreme. Regardless of active management or quantitative investment, it will face many tests in the market, and this is the best for deep plowing and self-consolidation. Time period.

He pointed out that although the market's overall wind direction may be unfriendly, what he can do is try to make more or less losses in a market style that is not suitable for him, so that when the wind direction changes again, it will not be The market has tossed too far, and it can also have more capital when it comes to its own market style.

There are also fund companies that are trying to optimize their quantitative strategies and systems. Bo Shi Fund General Manager of Index and Quantification Investment Huang Huang Ruiqing pointed out that the A-share market's style differentiation characteristics are very significant, in order to solve the problem of grasping the short-term style changes in the market and improve the stability of performance, its new fund The multi-strategies will adopt the multi-quantitative investment model of "active quantification + wind-capture strategy + allocation of Hong Kong stocks". The wind-capturing strategy is mainly aimed at effectively countering and correcting model failure risk brought about by extreme market changes.

For investors, when selecting quantitative funds, they should consider their risk appetite based on a clear understanding of the product.





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