Size again?Quantitative giant “overturned”!Where are the excess returns

2022-05-16 0 By

Recently, quantitative private equity giant Jiukun investment of a $200 million dollar fund retreated nearly 40%, causing market concern.Not only Jiukun, starting from September 2021, the collective withdrawal of quantitative private equity products, the trend has lasted for half a year.The head quantified private placement of products, there are many net retracement of more than 20%, some even hit the liquidation line.Many quantitative managers say bluntly, “The rapid rise of scale affects excess returns.”Industry insiders said that the retreat not only means risk, for investors, should also focus on managers in the market environment changes greatly, whether the strategy does not drift.Recently, a $200 million dollar fund of jiukun Investment, a quantitative private equity giant, retreated nearly 40%, causing concern in the market.China Securities Journal · China Securities Taurus reporters learned that the fund in January flat retracement of about 7.8%, superimposed about 5 times leverage, retracement estimated at 39.13%.The retracement for the fund since the establishment of the largest one, the stage of net high retracement has been more than 55%.This isn’t the first product in the industry to suffer a major pullback.In 2021, in the structured market, various sectors appear differentiation, many quantitative strategy products have bright performance, causing investors’ attention and buying.In the scale of the rapid rise, entering the trillion yuan mark, quantitative strategy products suffered a large withdrawal, many billions of quantitative private equity managers closed down “closed customers”, and even private equity executives in moments to apologize for investors.In the interview, China Securities Journal · China Securities Taurus reporter noted that a number of quantitative managers mentioned the trend of excess return reduction.Ning Yuqing, market director of Fortune Investment, said that the current market trading volume has increased than before. Since last year, the scale of many quantitative managers has risen rapidly, which makes the market trading more difficult and investors face more volatility risk.In her opinion, the scale of about 10 billion yuan is more comfortable for quantitative manager’s transaction, and the operation is relatively flexible.Zhong Anqi, channel director of Blackwing Asset, introduced that there are several common factors in the quantitative market at present. One is the traditional fundamental factors, including macro data, which has the advantage of large capacity and can carry a large amount of capital.Second, technical factors, such as high-frequency volume price factor, can be facated by price changes and momentum, so as to select stocks in the whole market. Its characteristics are that in the case of very high frequency, excess is relatively stable, but the capacity is relatively small;The third is machine learning factors. In the quantitative market in 2021, it is such factors that shine brightly, contributing high returns to many index enhanced products, and also making the quantitative market scale climb rapidly.However, in ning Yuqing’s view, retreat not only means risk, for investors, should focus on managers in the experience of market overheating to too cold environment changes, the strategy does not drift.”Managers who stick to their style get long-term Alpha returns in the market.”Ning Yuqing suggested that investors try to avoid when overheating to choose a very hot manager, you can do some reverse investment in the cold market.HFT gains tend to stand out when volumes are high, but the strategy can also suffer a big pullback when volumes are low.In Ning Yuqing’s view, each strategy has its own advantages and disadvantages, but also its own market style.For investors, the most important thing is to understand the manager’s strategy style and adapt to what kind of market environment, product volatility.How to deal with the trend of decreasing excess returns due to scale increase?Song Xinghua, fund manager of Zhuchi Asset, a quantitative FOF manager, said at snowball Private Equity’s annual strategy meeting that they will focus more on managers of moderate size in 2022 to break through the constraints of the market environment.Excess earnings xing-hua song thinks, although quantitative market become more and more difficult, but on the other hand, the liquidity in the market now than in the past five years there has been a very big change, expand the market depth, also produced more strategy space, quantitative private ‘can have the opportunity to look for the administrator to configure of differentiation.Yinnuo asset market director Li Xia said, with the scale of the climb, the future quantitative institutions of excess returns or down to single digits.Even so, she suggests that investors, for the need of asset allocation, can consider allocating quantitative strategy products in addition to subjective products, so as to spread portfolio risk and share the dividend of index enhanced strategy period.In addition, ineffective fluctuations in the A-share market can still contribute to excess returns.Source: China Securities Journal Original title: Scale again?Quantitative giant “overturned”, a number of executives debate where excess returns