Bagua base
In recent years, people pay more and more attention to quantitative investment, including scale, strategy and performance. Quantitative investment refers to the use of statistical and mathematical methods to find all kinds of "high probability" strategies that can bring excess returns from massive historical data, and implement investment in strict accordance with the quantitative model constructed by the strategies, and strive to obtain long-term, stable and sustainable excess returns above average.
Compared with the traditional active management method, quantitative investment is an investment method with high investment breadth and low investment depth. Quantitative investment emphasizes disciplined investment, which can overcome the influence of investors' subjective emotions.
There are many strategies used in the market now. Let's look at several mainstream strategies.
First, the market-neutral strategy.
Market neutrality strategy is the most widely used strategy in China. According to CAPM theory, the stock return consists of two parts, one is the beta return of the overall market risk, and the other is the alpha return brought by the stock's own risk. The neutral strategy is based on the dimension of eliminating market systemic risks, and hedges market risks by constructing long and short positions at the same time, thus obtaining relatively stable absolute returns. The common operation methods in China are buying stocks, shorting stocks and other stock index futures with market value. The profit model is that the stocks bought exceed the ups and downs of the broader market. Market value hedging is not a complete beta hedging, but it can reduce the amount of calculation and the rate of position adjustment, which is widely adopted by domestic investment institutions.
The key point of Alpha strategy is that the selected stock portfolio returns should continue to outperform the Shanghai and Shenzhen 300 Index, and the average increase is greater than the Shanghai and Shenzhen 300 Index when the market rises, and the average decrease is less than the Shanghai and Shenzhen 300 Index when the market falls, which is sustainable and stable.
Usually, managers make quantitative stock selection according to valuation, growth, market value, momentum, expected changes, capital concern, technical indicators, events, performance and other dimensions to build a portfolio. At the same time, based on the industry allocation ratio of CSI 300, the system differentiates the selected stocks according to the macro-economy and industry prosperity, and dynamically adjusts the investment portfolio regularly according to the changes of various factors.
Build a neutral strategy, buy stock portfolio 100 yuan, short stock index futures 100 yuan, and the long and short portfolio values are equal:
1, market rise: stock portfolio (rising to make money)+index income (rising to lose money) = 10%+(-7%)=3%.
2. Market decline: stock portfolio (rising to make money)+index income (rising to lose money) =(-7%)+ 10%=3%.
3. Market volatility: stock portfolio (rising to make money)+index return (rising to lose money) = 10%+(7)= 17%.
The main risk of alpha strategy lies in stock selection strategy.
In some time periods, the stock selection model may fail because of the regular changes of the stock market, unexpected events and the probability attribute of the statistical model itself, resulting in short-term losses in the long-term underperformance market. This requires fund managers to constantly improve the investment model and operation skills to enhance the probability of winning. In addition, the alpha strategy is also affected by the basis difference. Many times, there will be a certain premium loss, and the strategy is very important for the risk control of the basis.
Second, arbitrage strategy.
1, statistical arbitrage
Statistical arbitrage is the statistical analysis of historical data, the estimation of the probability distribution of related variables, and the analysis of the fundamental data of arbitrage transactions.
Using statistical analysis tools, this paper studies and analyzes the historical data of the relationship between a group of related prices, studies the historical stability of the relationship, estimates its probability distribution, and determines the extreme region in the distribution, that is, the negative region. When the price relationship in the real market enters the negative domain, it can be considered that this price relationship cannot last long, and the probability of arbitrage success is very high.
2. Spot arbitrage
Spot arbitrage refers to a low-risk strategy that takes advantage of the arbitrage opportunity generated by the expansion of futures and spot basis to undervalue the target, short the target and close the position after the spot basis returns to a reasonable range.
Spot arbitrage strategy is a trading mechanism based on the basis of the Shanghai and Shenzhen 300 stock index futures and the Shanghai and Shenzhen 300 index will converge at maturity. When the basis difference between the futures index and the Shanghai and Shenzhen 300 index is large enough, we can construct a reverse combination to obtain the income generated during the convergence of the basis difference. At present, China can only carry out "short basis" forward arbitrage, that is, when the basis is greater than 0, buy stock index ETF or a basket of stocks, and sell stock index futures with equal market value at the same time, and close the position after the spread converges. When the basis is less than 0, it is impossible to carry out reverse arbitrage by selling stock index ETF or buying stock index futures with equal market value at the same time due to insufficient securities lending. When the futures price is significantly discounted, the reverse arbitrage is cut off due to the obstacles in securities lending, and the discounted state develops freely. Only through a sharp rebound in the market will long speculators raise the price to a premium again. This is also an important reason why the market discount did not recover in time.
The main risk of spot arbitrage is that the market price fluctuates violently, which leads to floating losses. Specifically, the basis difference between the tracked targets does not return or even reverse for a long time, and the spot income cannot effectively cover the risks such as transaction cost, impact cost and cash cost.
3.ETF arbitrage
ETF arbitrage means that investors can buy ETF shares in the primary market from fund management companies through top ETF dealers, or redeem ETF shares into their portfolios, and at the same time, they can buy and sell ETFs in the secondary market at market prices.
Suppose the constituent stocks of an ETF plummet, which makes the net value of the ETF drop rapidly, but the market price of the ETF fails to keep up in time, and there is a short-term price difference between them. At this time, you can buy a portfolio of ETF stocks as an ETF, and then sell ETFs in the secondary market to achieve low buy and high sell and obtain the price difference.
Two trading orders of ETF arbitrage, one is to buy a basket of stocks from the secondary stock market, convert them into ETF shares in a certain proportion, and then sell ETF shares in the secondary market, provided that the price of the basket of stocks is lower than the ETF price and there is a premium; The other is to buy stocks from the ETF secondary market, convert them into a basket of stocks according to a certain proportion and sell them in the secondary market. This is based on the premise that the ETF price is lower than a basket of stocks and there is a discount.
4. Graded fund arbitrage
There are two arbitrage modes for graded funds.
One way is to arbitrage when there is a discount premium in the price comparison between the parent fund and the sub-fund. When the combined price of A/B shares is greater than the net value of the parent fund, there is an overall premium arbitrage opportunity. Through the on-site subscription of the parent fund share, it is split into A and B and sold in the secondary market to complete the premium arbitrage. When the combined price of A/B shares is less than the net value of the parent fund, there is an overall discount arbitrage opportunity. By buying Class A shares and Class B shares in the secondary market in proportion, applying for merger into parent shares and redeeming them, the discount arbitrage is completed.
However, the discount premium arbitrage cannot be completed in real time, and it needs to face the risk of price fluctuation of 1-2 trading days. Risk exposure can be managed by hedging stock index futures.
Generally, there are more opportunities for premium arbitrage in a bull market and more opportunities for discount arbitrage in a volatile market with high winning rate.
Another arbitrage method is that when the market falls, the A share of graded funds with discount clauses includes option value arbitrage, as well as bottom positions-hedge premium arbitrage and cyclic discount arbitrage based on overall discount premium arbitrage.
Third, CTA strategy
CTA strategy is to invest in the futures market, and use historical data to find the profit rule through statistics, mathematics and programming. Divided into trend strategy and arbitrage strategy.
The trend strategy is to go long with the market rising and short with the market falling, so CTA strategy will get a good profit space after any futures commodity enters the trend.
Arbitrage strategy is to lock the arbitrage space through the "price difference regression" between different contracts such as cross-term, cross-market and cross-variety.
Intertemporal refers to the arbitrage of the same trading variety in different trading weeks. Historical data show that the futures prices of different contracts are highly correlated, and the spread presents stable statistical characteristics. When the price difference between two contracts with different maturities/contracts with different varieties deviates from the reasonable range, we can buy low-value contracts and sell high-value contracts in the futures market at the same time, and then reverse the liquidation after the price difference returns and carry out inter-period arbitrage trading.
More specifically, intertemporal arbitrage refers to the arbitrage between futures brackets in different months. An arbitrage model in which futures contracts of the same commodity in the same market with different maturities are bought and sold at near distance or near distance, and the price difference of contracts with different maturities is used to make profits.
The transaction process is as follows:
Cross-variety arbitrage is similar to intertemporal arbitrage, but it is used between contracts of different varieties in the same term. The specific investment process is as follows:
Cross-market arbitrage refers to buying (selling) a certain commodity contract in a certain delivery month of one exchange and selling (buying) the same commodity contract in a unified delivery month of another exchange, and hedging profits in two exchanges at favorable opportunities.
Cross-market strategy involves hedging of foreign exchange and international futures trading, which is difficult to realize and rarely used in China.
Due to the leverage of futures, the market value of such strategic positions is often very large, sometimes even exceeding the total asset value of products, resulting in the largest fluctuation of yield among all quantitative strategies. When the market continues to fluctuate, such a strategy will be greatly withdrawn due to leverage. Another limitation of this strategy is that there are not many futures varieties that are actively traded in the market at present, and high-frequency trading relies heavily on the volume of varieties. The short interval between opening and closing positions makes the strategic capacity small.