A new phenomenon: quantitative funds raised to fight the new currency with private sub – fund channel strategy popular newspaper reporter Li Husheng He Jingyi Chinese fund stock index futures after the new regulations, quantitative hedge fund survival under pressure, lack of liquidity and the market continued to discount the basis for many fund managers are affected in the investment. In the case of not in accordance with the conventional operation, passive fund managers began to break the sidelines, but there is also a part of the fund manager out of positive research, to cope with the new market strategy center. In the specific measures, private equity fund is obviously different. Public funds to participate in the new hit this year, the market risk increases, as of February 19th, the absolute earnings based quantitative hedge fund most of the proceeds are negative, the best performance of Warburg Societe Generale quantify hedging A and C earnings are only 0.54% and 0.4%. According to a fund manager in Shanghai, this return is actually the rebound performance after a long period of time, the yield curve is flat. The accounts have been operated according to the CTA strategy, but the public offerings can not invest in commodity futures, and the risks of the strategies are too high at present." Shanghai a fund company to quantify the director admitted that the proportion of asset’s two quantitative hedge fund management really do quantitative hedge operation is very low, most positions in the new play and monetary fund assets, but it also raised the common ways to quantify hedge funds. "According to the asset size, quantitative hedge has not become the main investment strategy, stock index futures basis has been maintained after negative premium, many strategies are not well carried out, even in a very long period of time just offset the losses caused by the poor." The fund manager said. Playing new is a new way to quantify hedge funds. According to Wind data, including the south, Castrol absolute return quantitative Alfa (070017, fund) fund, fortune SGAM quantify hedging strategies, Fortis Alfa hedge, arbitrage, hedge GF icbccs absolute return strategy, only to quantify the hedging strategy as the main participated in the new year’s call. Among them, Warburg Societe Generale quantitative hedging strategy participated in 8 times, with a total investment of 6 million 530 thousand yuan, there are nearly 20% of the floating surplus. According to relevant sources, the proceeds from the investment in new funds have greatly exceeded the previous ones. With the change of strategy, people change with each other. The director of the quantitative Department disclosed that the operation of new and currency investment has been going on for several months. The number of team members has been reduced slightly, and only 3 people have participated in the daily hedging operations, of whom 2 are assistants. The fund managers also said that the company’s quantitative hedging strategy has been adjusted. Compared with the public fund, private equity has more flexible ways than private fund, and the Mixed Multi Strategy Model gradually replaces the original single strategy mode of private placement. Shanghai a large private insiders said, the stock index futures new regulations to quantify hedging products suffered great impact. "Now the quantitative investment is at a relatively low level, we continue to quantify the stock selection on the one hand, on the other hand, on the trend of strategy to do some new development, but the commodity market after all capacity.

量化基金新现象:公募转向打新配货币 私募子策略盛行-基金频道   中国基金报记者 李沪生 何婧怡   股指期货新规之后,量化对冲基金生存受到压力,基差的持续贴水以及市场流动性不足让不少基金经理在投资中受到影响。在无法按照常规操作的情况下,消极的基金经理开始休息观望,而也有一部分积极的基金经理另辟蹊径,开始研发子策略应对新的市场情况。而在具体应对措施上,公募私募基金明显不同。   公募量化基金参与打新   今年以来,市场风险加大,截至2月19日,以绝对收益为主的量化对冲基金多数收益为负,表现最好的华宝兴业量化对冲A和C收益也仅为0.54%和0.4%。据上海一位基金经理介绍,这样的收益其实已是反弹之后的表现,此前很长一段时间收益曲线都是平的。“专户一直按照CTA策略操作,但公募却不能投资于商品期货,目前可做的策略风险都太高。”   沪上某基金公司量化部总监坦言,旗下管理的两只量化对冲基金真正做量化对冲操作的资产比例非常低,大部分仓位用在了打新和货币基金资产上,而这也是公募量化对冲基金目前普遍的做法。“根据资产规模来看,量化对冲已经不能成为主要的投资策略,此前股指期货基差一直维持负贴水时,很多策略都不能很好地开展,甚至在很长一段时间里所做的只是抵销基差带来的损失。”上述基金经理表示。   打新是量化对冲基金的一个新出路。Wind数据显示,包括南方绝对收益、嘉实量化阿尔法(070017,基金吧)、华宝兴业量化对冲策略、海富通阿尔法对冲、广发对冲套利、工银瑞信绝对收益策略等多只以量化对冲为主要策略的基金参与了今年来的多次打新。其中,华宝兴业量化对冲策略共参与了8次,共计获配投入资金653万元,目前有近20%的浮盈。据相关人士透露,投资新股为该基金带来的收益较之前有大幅度突破。   策略变化,人员也随之变化。上述量化部总监透露,打新和货币投资的操作已持续了数月,目前团队人数已略有减少,参与日常对冲操作的仅有3人,其中2人为助理。上述基金经理也坦言,公司量化对冲策略人员已进行了调整。   私募摈弃单一策略   相比公募基金,私募的变通方式更多一些,混合多策略模式逐渐替代私募原先的单一策略模式。   上海某大型私募内部人士表示,股指期货新规使量化对冲产品受到很大冲击。“现在量化投资处于相对低谷,我们一方面继续原有的量化选股,另一方面,在趋势策略上做一些新的开发,但商品市场毕竟容量有限。”   广州凯纳投资总经理陈曦表示,现在量化对冲产品主要策略是CTA策略。原来阿尔法中性策略是大头,但是期指限制以后一直是贴水状态,很难做到超额收益,现在仓位只能空着。“套利策略因为期指流动性不佳也没法做,只能在别的产品上找一些套利机会,比如分级基金套利、商品套利等,但市场容量有限。而新交所富时A50股指期货涉及外汇额度的问题没法走出去,另外由于偏好小盘股,用A50对冲效果也不佳。”   另一家大型私募由于采用的是主动管理型对冲策略,所受影响相对较小,但目前对冲仓位也只能基本为零。   与公募相比,私募另外一个不同点在于团队配置上的不断完善,实际上这也是私募策略多元化的结果。多家私募对记者表示,目前量化对冲团队已经细分为阿尔法策略团队、期货CTA策略团队、统计套利策略团队以及将要加入的宏观对冲团队和日内交易类团队。   但几乎所有的采访对象都表示,如果期指投资不能出台新政策,对冲基金2016年仍难见大机会。相关的主题文章: