The quantitative strategy in the market includes two parts: the bullish trend of the market and the neutral performance of the market. The bullish trend of the market includes exponential enhancement and active quantification, while the neutral market performance includes quantitative hedging, which is the so-called alpha strategy.
Alpha strategy refers to obtaining relatively stable alpha income after hedging market risks with financial derivatives, and such products have also made great development in recent years. Quantification is actually a very broad concept, involving various asset classes. For example, commodity futures have a series of CTA strategies to quantify, and there are also many strategies to quantify.
From Public Offering of Fund's point of view, the mainstream quantitative strategies in the market mainly include three categories:
The first category is active quantization strategy.
The strategy of active quantification is to select stocks through quantification, and then combine active fundamental screening to construct such a strategy combining active quantification and quantification.
The second category is exponential enhancement strategy.
Index enhancement refers to tracking an index first, which is generally the mainstream broad-based index in the market, such as CSI 300 or CSI 500 or even CSI 1000. On the basis of this index, we will pursue long-term stable excess returns, that is, the enhanced alpha part.
Alpha strategy of the third kind of quantitative hedging
The core of Alpha strategy of quantitative hedging is to combine index enhancement to obtain excess returns relative to index, but at the same time, it will introduce stock index futures to hedge and strip off market fluctuations or what we call index to obtain relatively stable Alpha returns.
In the past five years, especially in two or three years, the scale of this strategy has also greatly increased. From 20 15 1500 million to 65 billion now, it is also a very mainstream strategy in Public Offering of Fund.