In the middle of the night on February 16th, a news spread in the fund circle that an overseas product of a domestic top quantitative private equity lost nearly 40% in January. This product is a quantitative hedging product, with a certain leverage added, from The offshore market reversed investment in A shares.
If the high multiple leverage is removed, the performance is comparable to the performance of domestic products.
The first financial reporter learned from people familiar with the industry that the quantitative agency was established in 2012 by the tens of billions of private equity Jiukun.
In addition to raising funds in China and issuing quantitative products that deploy A-shares, Jiukun also raised funds in overseas markets and invested in A-shares through the offshore market. Pacific Quantitative Hedge Fund Class A.
A "UBIQUANT Asia Pacific Hedge Fund January 2022 Class A Investment Report" released by the private placement on February 16 shows that the fund's January return was -39.13%, the largest drawdown of the product since its inception in April 2019 was -55.09%.
Jiukun exclusively responded to the first financial reporter in the early morning of February 17th: "This drawdown is mainly due to excess drawdown and market value exposure. Since the beginning of this year, the volatility of A-shares has intensified, the market environment has changed dramatically, and many industry sectors have experienced huge changes. Reversal, whether it is a public fund or a private fund, the performance is quite dismal. We have experienced many turbulent stages of capital markets at home and abroad, and we have mature mechanisms to deal with them properly. In the future, we are also confident and capable of dealing with various risks and challenges. Effectively safeguard the interests of the majority of investors.”
Year to date (as of the close on February 16), the ChiNext Index has fallen by as much as 13.28%, the CSI 500 has fallen by 7.92%, and the CSI 300 has fallen by 6.1%.
However, such a huge drawdown of Jiukun overseas products in the short term is still related to leverage.
Many domestic private equity institutions have branches in Hong Kong. According to information disclosed by the Hong Kong Securities and Futures Commission (Securities and Futures Commission) SFC last year, Ubiquant Asset Management under Jiukun Investment has obtained the No. 9 issued by the Hong Kong Securities and Futures Commission SFC in November 2021. Card.
It is reported that the drawdown of many products in Jiukun has been controlled within 13% since the beginning of this year, but the drawdown of overseas products is mainly due to the increase of leverage.
The fund product itself has already shown the "high volatility risk feature positioning", which means that while the product creates a larger profit space, it may also face a larger retracement and volatility, with the same profit and loss.
According to a Jiukun product investment report obtained by the reporter, "without considering leverage factors, the overall return is about -7.8%, of which -4.7% comes from alpha, -2.1% comes from market value exposure, fees and bases. The difference (hedging cost) contributed to a loss of about -0.5% respectively. With superimposed leverage (leverage was maintained at around 5 times in January), the fund's drawdown manager estimated that it was -39.13%." The fourth week of January, that is, In the week with the sharpest drop in A shares, the CSI 500 index fell by about -5.6% that week, and the market turnover shrank significantly, from more than one trillion yuan to between 700 billion and 900 billion. Among them, the market value exposure of the fund was exposed to a sharp drop in the market in a single week. Under the influence of , contributed 50% of the loss.
Alpha and basis contribute the rest of the losses.
A private equity investment manager engaged in macro hedging told the First Financial Reporter: "If the institutions did the opposite in January, such as buying growth, short value, and leverage effects, it would indeed be enough for them to lose money." Since the fourth quarter of last year , The booming track represented by new energy and semiconductors suffered a sharp sell-off, and institutional changes and overvaluation were the main reasons.
The above investment report also shows that based on the long-term confidence in the strategic portfolio, Jiukun said that it had subscribed for the fund with its own funds of US$30 million on February 4, 2022, saying that it "shares risks and benefits with investors".
In the face of the continuous sharp decline in the fund's net value, Jiukun said that in the follow-up operation of the fund, it will maintain stricter control over risk factor exposure.
Since the beginning of this year, the products issued by the leading institutions have generally been unable to withstand the pressure of the collective market decline. Few of the newly issued products have a net value of "water" (above 1). Quantitative strategies (macro hedging, index enhancement) and fundamental longs are all unavoidable.
Earlier news that the net value of Zhengxin Valley’s 30 billion products fell to 0.66 was once fermented in the market, and recent relevant data show that as of the end of January, Suzaku’s income this year has been -11.46%, Juming -11.54%, Gao Yi (Feng Feng) Liu) -9.41%; in terms of quantitative strategies, Yenfu Index has increased its income this year by -7.37%, Lingjun CSI 500 income -10.01%, Tianyan CSI 500 income -11.02%, Magic Square CSI 500 income - 12.27%, Jiukun CSI 500 income -12.37%.
Since the fourth quarter of last year, "index strengthening" has become "index weakening" as the market declines.
A FOF institutional fund manager told reporters that it was observed that some quantitative strategies may trigger the stop loss point in the fall to form "more kills and more", which will increase the market's decline in the short term, and even lead to some stocks oversold.
"Investment in quantitative products in 2022 also needs to make certain timings. When the index falls out of the margin of safety or falls to the long-term moving average, investors can moderately participate in index enhancement products. At the same time, generally when the market regains confidence, there is a certain momentum. Quantitative strategies will perform better, because often these strategies are making money that is chased by investor sentiment.”
In addition, scale constraints cannot be ignored.
After the scale expansion in 2021, the number of tens of billions of private placements has soared.
But the problem is that at present, a considerable part of the excess returns of private equity quantitative institutions still comes from transactional alpha, and the strategy is no longer purely daily-frequency position adjustment and superimposed T+0 strategy, but to the level of multiple positions adjustment within a day, which is not conducive to transactions. Sexual alpha is increasingly dependent.
However, with the expansion of the scale, frequent turnover means that the trading price will deviate significantly from the initial target price, so the trading alpha diluted to each product will continue to decline.
Therefore, institutions also recommend focusing on some institutional products with limited strategic capacity, or some more niche quantitative strategies.
For example, at present, more and more institutions have considered the limitations of a single asset, and hope to choose a multi-asset portfolio (such as allocation of stocks, bonds, commodities) to try their best to cross the cycle.