Domestic stock quantitative products can be traced back to 65438+February 2004. The first quantitative hedge fund in China, "Warburg Trust-Fund Optimal Arbitrage", made a profit of more than 10% in the first year when the market went down that year, bringing quantitative hedge products into people's field of vision. Since there was no stock index futures and ETF at that time, the main strategy of this product was to capture the large discount opportunity of closed-end funds and carry out optimal arbitrage. However, limited by the domestic financial market policy, most of the early stock quantitative products were mainly arbitrage strategies. Due to the inherent defects of arbitrage strategy, the issuance of quantitative funds has been in an empty window for a long time in the five years after the emergence of "Warburg Trust-Fund Optimal Arbitrage". It was not until 20 10 that the Shanghai and Shenzhen 300 stock index futures were listed. At this time, the stock quantitative fund finally has a feasible hedging tool, and all kinds of alpha strategy and stock index futures arbitrage strategy funds really have room to exert their fists and feet. Compared with overseas mature markets, the A-share market is weak, leaving more opportunities for quantitative investment strategy exploration and greater potential for obtaining excess returns. I just smelled the broad development prospects of the domestic quantitative market and decided to return to China for development.

I never hesitate to invest in talent and system construction. In addition to the quantitative standard trading and data system, I also spent a lot of money to purchase the API risk control model of MSCIBarra China market version, which is extremely rare in the field of private equity quantitative investment. The system invested heavily is not once and for all. It has become my daily work and my team's daily work to continuously optimize the system by digging out the details. In the following five years, as I expected, the domestic quantitative market ushered in a period of rapid development. 20 13, the bull market on the growth enterprise market made Alpha strategic products earn a lot of money. At the end of 20 14, the event of "black swan quantitative hedging" made our products shine a little. However, during the stock market crash from June to August in 20 15, several rounds of sharp falls caused huge market fluctuations. Our company has gained a lot with various quantitative trading strategies and quickly made up for the previous losses. However, good times are always short-lived. After the 20 15 stock crash, stock index futures were regarded by many people as a "tool" for financial institutions to maliciously short. On September 2, 20 15, CICC introduced strict intraday trading restrictions on stock index futures, and the trading volume did not exceed 10 lots, which made the market liquidity tend to dry up, the market discount was serious, and the Alpha strategy was greatly affected. Fortunately, my team responded quickly, on the one hand, from arbitrage hedging strategy to stock long strategy, on the other hand, from stock market to CTA strategy of commodity futures, government bond futures and other varieties.