What is a quantitative hedge fund?
Quantitative hedging products have the following characteristics:
1, with wide investment scope and flexible investment strategy.
Due to the limited investment scope, the proportion of ordinary public offerings participating in derivatives investment is low. For example, China's "Guidelines for Securities Investment Funds to Participate in Stock Index Futures Trading" stipulates that the value of stock index futures contracts held by funds shall not exceed 65,438+00% of the net asset value of funds, and the value of futures contracts held by funds shall not exceed 20% of the total market value of stocks held by funds. Moreover, it is necessary to give priority to hedging and strictly limit speculation.
For some private quantitative hedging products (such as private equity funds, corporate accounts, etc. ), not only in cash, bank deposits, stocks, bonds, securities investment funds, central bank bills, short-term financing bills, asset-backed securities, financial derivatives, commodity futures and other assets can be flexibly allocated. And there is no limit on the proportion of investment, which greatly improves the flexibility of investment.
2. Take the pursuit of absolute expected annualized expected return as the goal.
Due to Public Offering of Fund's restrictions on investment scope and positions, such as the requirement that equity funds should not be less than 60% (some funds are higher), asset management can only be carried out by buying and holding or lowering positions, and it is more dependent on the weather, so it is impossible to avoid systemic risks in a falling market. Therefore, the performance evaluation of public offering has always paid more attention to the relative expected annualized expected return ranking, which caused the dilemma that some of the above funds still lost money although they outperformed the market. Hedge funds, on the other hand, have flexible investment strategies, which can reduce the systemic risk of portfolio by hedging long/short positions and stock index futures. No matter whether the market goes up or down, they can get the absolute expected annualized expected return under certain risks, and the goal is to pursue the absolute expected annualized expected return.
On the other hand, in recent years, the A-share market in China has always been in a weak and volatile state, and the rotation characteristics between industry sectors are obvious. Therefore, the performance of public offering fluctuates greatly, and the fund with the first performance this year is likely to be the last one next year, which is likely to make us debut. Affected by this, investors' risk preference is decreasing, and the pursuit of stable expected annualized expected return is becoming more and more urgent. Products that absolutely expect annualized expected returns are also increasingly valued and welcomed by the market.
3. Better risk adjustment and expected annualized expected return.
By comparing the performance of overseas hedge funds and major market indexes, we can see that the long-term cumulative expected annualized expected returns of various strategic hedge funds all exceed the major market indexes, and all have achieved positive historical expected annualized expected returns. When the market falls, hedge funds will also show some flexibility, such as during the 2008 financial crisis. On the whole, hedge funds provide better defense while obtaining stable expected annualized expected returns.
4. It has low correlation with major market indexes and has asset allocation value.
By investigating the correlation between the hedge fund index and the world's major market indexes in 13 years, we can see that the correlation between the hedge fund index and the world's major market indexes is relatively low except for the Hang Seng Index, among which the Nikkei 255 and the French CAC index are negatively correlated with all hedge fund indexes. Therefore, adding hedge funds to the portfolio can reduce the expected annualized expected return fluctuation of the portfolio as a whole and improve the expected annualized expected return of the portfolio after risk adjustment. In addition, there is a high correlation between hedge fund indexes, so the allocation among hedge funds with different strategies can not effectively reduce the overall risk of the portfolio.
Advantages of quantitative hedging: