investors face systemic risks in market transactions (i.e. Beta or beta,? Risk) and non-systematic risk (that is, Alpha or alpha,? Risk), by measuring the systemic risk and separating it, so as to obtain the strategic combination of excess absolute return (that is, alpha return), that is, alpha strategy. The following is a small series to tell you what is called alpha operation.
what is it? Risks and? Risk risk: the risk of misjudgment, that is, the first kind of error, also known as the first kind of error. This is an error when the process involved is still under control, but some point falls outside the control limit due to accidental reasons, and the conclusion that the process is out of control is made. Such mistakes will lead to unnecessary search for reasons for problems that do not exist and increase costs. Risk: that is, the risk of misjudgment, that is, the second kind of error, also known as the second kind of error. When the process involved is out of control, but the generated points still fall within the control limit due to accidental reasons, it is concluded that the process is still in a controlled state. At this time, the loss was caused by the increase of unqualified products that were not detected. The risk of the second kind of errors is a function of the following three factors: the interval width of control limits, the degree of process out of control and the size of subgroups. The nature of the above three factors determines that the risk of the second type of error can only be estimated generally.
alpha strategy involves a wide range of market fields, and is applied in various markets such as stock market, bond market and commodity market. At present, the most common hedging strategy in the domestic market is the alpha hedging strategy, which usually uses the advantages of stock selection and timing to find a spot portfolio with stable excess returns, and separates beta through derivative tools such as stock index futures, so as to obtain alpha returns with low market correlation. Especially in a bear market or consolidation period, can you use it? Spot bulls+futures bears? On the one hand, the long position of the portfolio that can obtain excess returns is established, on the other hand, the short position of the stock index futures is established to hedge the systematic risk of the spot portfolio, so as to obtain positive absolute returns. The best test of Alpha strategy is the stock selection model.
In the aspect of constructing stock portfolio, investors can choose stocks by quantitative model. Multi-factor model is the most widely used quantitative model for fund companies. Combining these factors organically constitutes a score for each stock, which is also called the expected return of the stock. When determining the weight of individual stocks in the portfolio, professional institutions will choose appropriate factors from the quantitative factor library to tailor the expected return model for investors according to the investor's income requirements and risk tolerance, and at the same time, take into account the expected risk and transaction cost of stocks, and calculate the weight of each stock in the portfolio by optimization method.
the alpha strategy should belong to a classification of statistical arbitrage in essence. The multi-factor regression analysis of historical data is used to screen out the targets that will perform better than similar stocks in the market, and stock index futures hedging is used to isolate the influence of all stocks rising and falling together on the position value, so as to achieve the purpose of obtaining stable absolute returns. In the China market, many Alpha strategic fund managers privately admit that the market value factor is far more important than any other factor. On January 1st, if we construct a combination of buying all non-ST stocks in the two cities and selling the Shanghai and Shenzhen 3 Index with equal market value, since most of the more than 2, stocks are much smaller in market value than the heavyweights, this combination is actually to buy a large number of small and medium-sized stocks and sell the heavyweights. The absolute return of such a combination in the past two years has almost outperformed all Alpha strategic private placements.
Therefore, the view is that almost all Alpha models give the result that the stocks that are most likely to give excess returns in the two cities are concentrated in various emerging industries such as media, computers, medicine, etc., while industries with large-cap stocks such as financial real estate resources can hardly find any expectation of excess returns. Thus, two problems are exposed: first, some fund managers keep large risk exposure and will? How long and short are stocks with large and small market capitalization? Packaged? Absolute returns unaffected by market fluctuations? . Another problem is that the stocks selected by the same model are too homogeneous, and trampling often occurs in extreme cases in the market.