The transferable alpha strategy is based on the traditional alpha strategy and uses derivatives such as stock index futures to cover the required positions with less capital costs, thereby "extracting" part of the funds. The extracted funds are then used to invest in those that are related to the

Covers other asset classes where the position asset class is less correlated.

In short, the transferable alpha strategy refers to the use of financial derivatives to transfer the excess returns generated by one investment strategy to the market returns of another investment strategy without affecting the portfolio strategic asset allocation (see figure

1).

Figure 1 Illustration of the transferable alpha strategy implementation principle Suppose an investor has 10 million yuan in funds, and he originally planned to invest all of it in the stock market to obtain the market benchmark rate of return.

Now there is a transferable alpha strategy for him to choose. He can first buy 1 million yuan in stock index futures. Assume that the leverage ratio of the stock index futures is 10 times. In this way, the investor's position covering the stock market is still 10 million yuan, and the remaining

The 9 million yuan is like "borrowed" from the stock index futures market, and investors can use the remaining 9 million yuan to buy a certain bond asset that provides fixed income.

This strategy of using derivatives to separate and reorganize asset returns is the transferable alpha strategy.

From the above example, we find that after using the transferable alpha strategy, the investor's portfolio return is the sum of the return on the stock market and the return on investing in bonds.

As long as you find an investment variety that can provide high, stable and positive returns, you can use the transferable alpha strategy to freely recombine market benchmark returns and excess returns to increase investment returns.

For another example, assume that a fund has 100 million yuan in funds, of which 80 million yuan is allocated to large-cap stocks based on the Shanghai and Shenzhen 300 Index, and the remaining 20 million yuan is allocated to the treasury bond market.

Due to the average performance of the large-cap stock market, the average excess return obtained by investment managers in the CSI 300 Index is only 0.6%, while in the GEM market, investment managers can obtain an average excess return of 4.1%.

However, due to institutional restrictions, the fund can only invest in CSI 300 stock index constituent stocks and cannot invest in stocks on the GEM market.

This will greatly limit the fund's profitability, and using a transferable alpha strategy can solve this problem.

Assuming that the CSI 500 stock index futures margin rate is 10%, the fund manager can transfer 30 million yuan from the 80 million yuan allocated to large-cap stocks based on the CSI 300 stock index for investment in the GEM market.

First of all, buying a CSI 300 stock index futures contract worth 30 million yuan requires a margin of 3 million yuan.

This operation keeps the portfolio's market coverage position on the CSI 300 stock index at 80 million yuan (50 million yuan of CSI 300 large-cap stock investment + 30 million yuan worth of stock index futures contracts).

Secondly, allocate the remaining 27 million yuan to the GEM investment manager and use it as a pledge margin to establish a short position in the CSI 500 stock index futures, and sell the CSI 500 stock index futures contract worth 27 million yuan to hedge the GEM investment.

market risk.

Because this excess return comes entirely from the investment manager's stock selection skills and has nothing to do with market trends, it does not increase the risk of the entire portfolio. Therefore, whether the GEM market is rising or falling, this strategy can increase the portfolio's income or reduce the portfolio's losses.

.

For fund companies, the purpose of using alpha strategy transfer is to distinguish the performance of the portfolio manager from the market performance.

This strategy is very important for QDII funds.

For example, a Chinese fund management company knows Chinese listed companies very well, that is, it can obtain alpha returns from Chinese stocks. Now this fund company has issued a QDII fund to invest in other countries' markets (such as the United States). This company wants to invest the fund assets

Invest in the U.S. market while retaining alpha from its China market.

It’s a dilemma, but an alpha transfer strategy offers the best of both worlds.

The specific approach is as follows: The QDII fund can invest its assets in Chinese stocks, and at the same time hedge the systemic risks in the Chinese market through short positions in the CSI 300 stock index futures, retaining the fund's alpha income in China.

The fund can obtain index returns from the U.S. market by allocating the U.S. S&P 500 futures contract.

In this way, the QDII fund can not only obtain alpha returns in China, but also obtain index returns in the US market.

Case: An international investment company has a domestic stock investment fund of 100 million yuan and hopes to use the transferable alpha strategy to obtain returns that exceed those of the domestic stock market.

If the company intends to transfer approximately 20 million yuan from the funds allocated to domestic stock portfolio managers and allocate it to small-cap investment managers based on the Russell 2000 stock index in the U.S. stock market, the company can proceed as follows (see

Figure 2): Figure 2 Transferable Alpha strategy operation diagram. First, sell 20 million yuan of CSI 300 stock index constituent stocks according to the weight ratio, and at the same time buy 20 million yuan worth of CSI 300 stock index futures contracts.

Assuming that the margin for stock index futures is 10%, a margin of 2 million yuan is required to buy a futures contract.