What are the quantitative hedging strategies?
1.α strategy: use quantitative stock selection model to determine the stock portfolio, buy the stock portfolio at the same time, short the stock index futures to hedge the market risk (β) of the stock portfolio, and obtain the expected annualized expected return that the stock portfolio exceeds the market index, that is, α expected annualized expected return.
2. Arbitrage strategy: refers to the investment strategy of using the double pricing of the same asset in different markets or at different times to buy low and sell high to obtain the price difference. The basic assets that can be used for arbitrage include financial indexes, commodities, funds, options and foreign exchange. The common sub-strategies of arbitrage strategy are periodic arbitrage, intertemporal arbitrage, graded fund arbitrage and ETF fund arbitrage.
Among them, spot arbitrage is the mainstream arbitrage strategy in China.
3. Quantitative CTA fund: To put it bluntly, it is a futures fund that invests in the futures market. It only uses quantitative investment methods to study the price change trend of futures varieties and realize transactions in a programmatic way. Take the Shanghai and Shenzhen 300 stock index futures as an example. Shanghai and Shenzhen 300 stock index futures are long when they rise, short when they fall, and both rise and fall are profitable.
Alpha strategy of "keeping pace with the times"
For example, in 2009, the Shanghai and Shenzhen 300 Index climbed from 18 17.72 at the beginning of the year to 3575.68 at the end of the year, with an increase of 96.7 1%.
China galaxy Securities Research Institute's Statistical Report on the Performance of China Securities Investment Fund in 2009 shows that among the actively managed stock funds, Yin Hua You Xuan, Xinhua Growth and Xingye Society rank first, second and third respectively, and the expected annualized expected return doubles.
Further analysis of the quarterly reports of the above three funds shows that the fluctuation range of stock positions in the whole year is not large, and fund managers mainly outperform the gains of the Shanghai and Shenzhen 300 Index by selecting industry stocks.
On the other hand, those beta stars in 2008, based on the investment concept, more or less want to make absolute expected annualized expected returns. When the market rises, they are collectively aphasic because of their cautious mentality, slow opening of positions and scattered shareholding, which hinders the performance of many funds.
In hindsight, in this bull market since 2009, confidence is indeed more important than gold and currency. Moving is moving, moving is like a rabbit, flying over the eaves and walking on the wall with the wind. This is a situation.
Beta strategy of "retreat"
For example, in 2008, the Shanghai and Shenzhen 300 Index plunged from 5338.27 points at the beginning of the year to 18 17.72 points at the end of the year, with a drop of -65.95%.
According to the statistical report on the performance of China Securities Investment Fund in 2008 by china galaxy Securities Research Institute, among the actively managed hybrid funds, TEDA Growth, Huaxia Market and Golden Eagle Small Market are highly concerned about Beta, strictly control risks and cautiously open positions. Although they did not reach the absolutely expected annualized expected return, nearly 50% of the returns outperformed the Shanghai and Shenzhen 300 Index.
Compared with the "four villains" in the fund industry, in the bear market stage, there is no beta, no lightening, and there are eggs under the nest. Risk management became the core of fund investment management in 2008, so it fell less than others in World War I, making Beta fund managers famous.
They believe that good investors must allocate the same time in measuring risks and exploring opportunities. Giving up risk control is to let the expected annualized expected return pass. Quiet as a virgin is a hiding place for sleeping.
The neutral strategy of "taking action without losing time"
For example, looking at the bear-bull conversion since 2008 and 2009, it seems that few funds can resolutely implement the beta strategy, successfully avoid the plunge in the down phase, and obtain the expected annualized income beyond the expected level through the alpha strategy in the up phase.
Most alpha players who can select industry stocks when the industry stocks rise are soaring but ignore risk management; Most of the beta players who can control the downside risks when they fall are more stable than enterprising.
As the saying goes, a thousand dollars is easy to buy, but one will be hard to find! For fund investors, radical fund managers who can pay attention to Alpha's good works have an advantage in the rising stage; A prudent fund manager can focus on a well-controlled portfolio beta and remain calm during the downturn.
For those radical and steady "double-sided adhesive" investors, in order to achieve defensive and offensive investment performance, in addition to meeting fund managers with flexible offensive and defensive conversion of Alpha strategy and Beta strategy, they have to use neutral strategies on their own to kill each other. Work at sunrise and rest at sunset.