With the sharp rise and fall of global stock markets, it is particularly important to avoid risks and grasp absolute returns in a severe concussion stock market. Recently, a number of quantitative hedge funds have announced the implementation of the investment strategy of using stock index futures to hedge, and how this kind of fund can guarantee returns in the concussion market has surfaced.
Quantitative hedge fund hedging strategy
Partial short share increase
Yesterday, CICC absolute income Fund released the implementation of the investment strategy of using stock index futures to hedge. According to the announcement, as of March 20, the fund held stock assets of 93.3415 million yuan, accounting for 71.1% of the fund's net asset value, and the market value of short contracts hedged by stock index futures was 80.6062 million yuan, accounting for 61.4%. Compared with the previous announcement period, the two ratios on December 20 last year were 55.47 per cent and 48.16 per cent respectively, and the proportion of the fund's holdings and short contracts increased significantly by more than 13 percentage points in the past three months.
The strategy announced by Huatai-PineBridge's quantitative absolute income mixed fund on March 11 showed that the market value of short contracts increased slightly by 1.07 percentage points to 81.87%, while the shareholding ratio remained unchanged at 83%.
The absolute income strategy of China Post is to avoid risk by reducing positions. As of March 9, the fund held 40.31% of its shares, down 8.65 percentage points from December 9 last year, while the market value of short contracts fell from 47.61% to 36.29% over the same period.
From the proportion of short positions, the proportion of short positions in equity long positions of the three quantitative funds of CICC, Huatai Berry and China Post are 87.1%, 98.25% and 89.36% respectively, all of which are relatively high.
Overall, since the great stock market earthquake in March, the market value of the above-mentioned funds is larger than the market value of short contracts, but the proportion of short positions in some funds has increased significantly, and funds are mainly through reducing positions, increasing the proportion of short positions and other means to avoid risk.
The value of asset allocation is obvious
A number of industry insiders said that from the perspective of asset allocation, the proper allocation of fixed income and the quantification of neutral products are conducive to achieving steady value-added and long-term absolute returns.
The above-mentioned person in charge of quantitative investment believes that quantitative hedge funds and ordinary active equity funds are products of two different sources of risk. From the perspective of asset allocation, on the one hand, the stock funds managed by excellent active equity fund managers should be allocated to obtain the risk premium of the stock market; on the other hand, the allocation of fixed income or quantitative neutral products, it is also helpful to diversify the risk sources of the investment portfolio.
According to the Quantification Investment Department of Huatai-PineBridge Investments, quantitative hedge fund products are characterized by providing absolute returns, low risk and low correlation with other assets, and are the third category of assets independent of stocks and bonds. its goal is to achieve absolute returns that do not depend on the rise and fall of the market.