Different from subjective investment, quantitative investment is a data-driven investment method, that is, looking for all kinds of "high probability" events that can bring excess returns from massive historical data, constructing a quantitative model according to these laws, and investing in strict accordance with the model.

With the characteristics of low withdrawal, stable income and controllable risks, the quantitative private placement managers, mainly quantitative funds, have officially emerged and become an important force. Although it is easier for quantitative strategies to get high returns in the volatile market, the high-frequency trading track has become increasingly crowded, and low-frequency and fundamental strategies have become the direction of strategy expansion. Many quantitative private placements have also increased their investment in fundamental strategies.

Quantitative private equity fund rankings rank quantitative funds from four strategies: stock quantitative neutral strategy, stock quantitative strategy, managed futures quantitative strategy and quantitative arbitrage. It should be noted that if multiple products of the same private equity institution are listed, only the products with the highest income will be included in the top ten list statistics. And by the end of 2002 11,it is necessary to quantify the scale of corporate management in which private equity funds are included in statistics over1100 million yuan.

The average income of 2420 quantitative funds included in the statistics this year is 1.0 1%, and the winning rate in the first month is not high. 1543 quantitative funds obtained positive returns, accounting for 63.76%. From the point of view of the median income, the quantification of neutral stocks leads by 0.95%, the stock quantification strategy is equal to the median of quantitative arbitrage, and the median of managed futures quantification is negative.

Judging from the average income of quantitative funds, stock quantification is still the first, followed by stock quantification strategy. Less than half of the managed futures quantitative funds get positive returns, and only 48% of the 5438+ 10 managed futures quantitative funds make money.

The following are the top ten returns of 202 1 1 quantitative private equity funds:

The income of neutral strategy in stock market comes from three parts, namely, long position of portfolio, short position of portfolio and cash flow generated by short selling. The advantages of neutral strategy in stock market are that double alpha can be obtained, the combination structure is not limited by weight and has low volatility; Its risks include stock selection ability, model risk, adjustment risk, short selling risk and long-short mismatch.

At present, in the domestic market, the neutral strategy commonly used in the stock market is alpha strategy, that is, while holding long stocks, financial derivatives (mainly stock index futures) are used to hedge the market risk of holding long positions, so as to obtain excess returns or alpha returns.

According to the incomplete statistics of the data center of private placement network, 5 1 1 hedge fund products with only performance records have been included in the ranking statistics this year, with an average income of 1.38%. Among them, 395 stocks quantified neutral products achieved positive returns, accounting for 77.30% of the positive returns, of which 45 were neutral products with returns above 5%.

Red Wall Taihe's "Jinhu Unlimited Steady No.6" is the champion of the stock quantitative neutral strategy list of 202 1 and 1. Tailai Xintai No.3 B invested by Tailai and Hualiang Minsheng No.2 of Minsheng Assets also entered the top three of the list.

Different from the subjective long strategy, the basic and technical research of stock quantification strategy is mainly based on quantitative method model. From the selection of individual stocks to the construction and trading of portfolio, the results of quantitative model are the basis for decision-making, and no one makes decisions. Common stock selection models include fundamental multi-factor model, quantitative multi-factor model and alternative multi-factor model based on big data. It should be noted that the stock quantitative fund here mainly includes quantitative long-term strategy, and the index-enhanced products are not included in the statistics.

The average return of118 stock quantitative strategy funds ranked by private placement network statistics this year is 1. 18%, and only 62.25% funds have achieved positive returns. The funds of Mi Yuan Investment, Lishi Investment and Jirui Capital were ranked in the top three respectively.

Using computer system to construct mathematical model to judge the trend of future futures varieties, instead of people's subjective judgment to make investment decisions. In the specific operation, the trend income of varieties can be obtained by establishing long or short positions. In the highly volatile market environment, CTA strategy often has strong profitability.

According to the statistics of private placement network, the average income of 450 managed futures quantitative strategies has been 0.26% since this year, but this strategy was at the bottom in June 5438+ 10. Not only is the median negative, but only 48% of the funds get a positive return of%. The top three honors in managing the quantitative strategy of futures are products of Fuhe Assets, Yushu Investment and Qihe Juguan Asset Management.

Quantitative arbitrage does not depend on the subjective judgment of investors, but uses a computer system to build a mathematical model to explore the price mismatch of related futures varieties in the market, and uses this price mismatch to carry out arbitrage strategies, including spot arbitrage, inter-period arbitrage, cross-market arbitrage, cross-variety arbitrage and so on. Quantitative Arbitrage Strategy 202 1 1 The top three private placements in the list are Digital Matrix, Qi Jing Investment and Yuyan Investment in turn.