Affected by many factors, the A-share market has been falling continuously recently. The data shows that the Shanghai Composite Index fell by nearly 200 points in the past week, with a decrease of 5.56%, and fell by 7.75% in the past 1 month; Shenzhen Component Index fell by 5.29% in a week, and fell by 6. 1 month recently.
In this context, quantitative hedge funds have played a hedging role. Among them, five funds, such as Guangfa Hedge Arbitrage and China Post Absolute Income Strategy, all achieved positive returns, and Guangfa Hedge Arbitrage ranked first with a yield of 0.32% in the past week. In the past month, only 15 of all 20 funds have achieved positive returns, with Guangfa hedging arbitrage ranking first with a yield of 6.96%, and the last fund only fell by 0.29%.
A hedge fund manager said that the recent continuous market decline led to the expansion of the negative basis of stock index futures, but yesterday the negative basis showed a convergence trend. This shows that after a short-term decline, market sentiment has been released to a certain extent, and the current market expectation is no longer so pessimistic.
Zhu Binquan, fund manager of the quantitative investment department of Haifutong, said that the current negative basis difference of stock index futures is large, indicating that the market demand for hedging is strong and investment sentiment is cautious. Based on the timing model, they adjusted the stock index future positions in time. Zhu Binquan said that in terms of investment strategy, in the long part of stocks, we should adhere to the established investment strategy and quantitative model, and invest in high-quality stocks with matching valuation and growth and healthy balance sheets, because these stocks will be more flexible when the market falls, outperform the market and contribute more excess returns.
In the context of increasing market volatility, some hedge funds have increased their hedging ratio. Yesterday, Guangfa Hedge Arbitrage Fund, a subsidiary of Guangfa Fund, announced that as of July 3 1 day, the fund held stock assets of RMB/KLOC-0.40 billion, accounting for 66.02% of the fund's net asset value; The market value of short contracts hedged by stock index futures is 65.438+0.33 billion yuan, accounting for 62.65% of the fund's net asset value. As of April 30, the Fund held stock assets of RMB 65.438+0.04 billion, accounting for 65.55% of the Fund's net asset value; The market value of short contracts hedged by stock index futures is 94.98 million yuan, accounting for 59.35% of the fund's net asset value. The influence has increased.
An industry insider told reporters that their hedge funds have also recently increased their hedging ratio, mainly to minimize losses in recent market fluctuations and to preserve returns to a greater extent.
(Article source: Securities Times)