Do quantitative hedge funds lose money?
In the financial market, there is no business that can make a steady profit, so no matter what strategy or trading method is adopted, it is inevitable to lose money. Quantitative hedging will also lose money, sometimes it may be very tragic, and the process and various safeguard measures involved in quantitative hedging are very demanding. If one trading link runs normally and another trading link has problems, if hedging is not timely, it will lead to greater risk exposure.
Quantifying hedge fund losses:
Affected by the continuous discount in the stock index futures market, the quantitative hedge funds that performed well last year have obviously passed the "small year" this year, and the overall performance is average. The data shows that the average expected annualized expected return of 20 hedge quantitative funds (calculated separately) in the first three quarters is-1.26%. Although it still shows resilience compared with this year's A-share market shock, the expected annualized expected return is obviously not as good as last year. From the perspective of investment strategy, quantitative hedge funds increased their positions in the third quarter, and many funds also increased their hedging efforts.
In the first three quarters, there was a slight loss of 1.26%, and the most serious loss exceeded 14%.
In response to the irrational decline of A-shares, CICC began to implement the new rules of stock index futures in September last year. The daily account opening of a single stock index futures is limited to 10 lots, and the daily transaction fee is greatly increased, so the cost of hedging a batch of hedging products is greatly increased, which directly leads to the flat performance of such products in the first three quarters.
The data shows that in the third quarter, the average expected annualized expected return of 20 absolute expected return funds (of all types) in the market was -0.08%, while the Shanghai Composite Index rose by 2.56% in the same period. Only funds such as Huatai Bairui Quantitative Expected Return and Huabao Xingye Quantitative Hedging achieved slightly positive expected annualized expected return, and the loss rate of the worst performing products reached 3.6%.
Judging from the performance of the first three quarters, the average expected annualized expected return of such quantitative hedge funds is-1.26%. Huabao Xingye quantitative hedging, Haifutong Alpha hedging, Huatai Bairui quantitative expected annualized expected return, Guangfa hedging arbitrage and other products performed well, and the loss rate of the worst-performing products exceeded 14%.
The expected annualized expected rate of return of such products seems to be resilient, but it is much worse than last year. The data shows that in 20 15 years, the average expected annualized expected return of eight hedge quantitative funds is as high as 12.8%.
According to a fund manager in Shenzhen, the new rules of stock index futures have great influence on quantitative hedging products. "In the past period of continuous deep discount, the expected annualized expected return of such products generally declined, and the Alpha strategy basically failed, mainly by actively looking for new strategies to improve the expected annualized expected return or find trading opportunities."
Some fund managers also said that the deep discount situation is improving. Yingyong Quantitative Fund said in the announcement, "In the third quarter of 20 16, the stock index futures market continued to be in a state of deep discount, and its liquidity dropped significantly, which had a certain impact on the implementation of the hedging strategy. With the stability of market sentiment, the discount level of stock index futures contracts has converged, but the discount phenomenon is expected to continue. "