Quantification And Index Enhance The Magic, Routine And Pit Behind Overnight Fame

I don't know who took the head first, quantitative and exponential enhancement overnight fire.

The earliest is that some media said that the transaction volume of A-shares has exceeded trillion yuan for dozens of consecutive trading days, with 50% of the trading volume coming from quantitative analysis, which caused an uproar in the market.

Then the quantitative fund managers of various fund companies began to take road shows to tell everyone that this year's CSI 500 quantitative index enhancement products had a high yield, so the index enhancement products were highly concerned by the market.

After the heat of public opinion passed, professionals began to express their opinions, denying that the huge volume of trading came from quantitative trading. At the same time, some investors soberly thought and found: "if we can choose high-yield index enhanced products this year, why not choose a new energy fund? After all, new energy funds with high returns have doubled by now, and index enhanced products will not necessarily maintain the same growth in the future."

Index enhancement is hot, but be careful to be misled

At the end of the day, the core earnings of the CSI 500 enhanced products come from the tracking index. But in fact, from the lowest price in March this year, to the beginning of August, the return of the CSI 500 index was not as good as that of the gem.

If investors are really inclined to invest in the index, at least until August, the strengthening of the CSI 500 index may not be a very bright investment target.

However, for fund companies and securities companies who want to develop wealth management business, this is a good opportunity to seize the hot spots and do marketing.

For example, recently, CICC wealth announced that its public offering fund investment advisory service "a + fund investment consultant" has been officially put on the market, "300 plus force" and "500 plus force" index enhancement portfolio. The underlying assets of these two products are index enhanced funds.

According to CICC wealth, the underlying design of these two portfolios first enhances the selection of fund products through quantitative and qualitative methods, and attaches importance to the ability to create excess returns and the ability to win. In terms of portfolio construction, it pays attention to the correlation between products, so as to reduce the risk of single manager's strategy failure.

At the same time, this is the first time that CICC wealth has launched a similar index fund investment advisory product. At present, there is no similar fund in the industry. Although some of the fund investment advisory products in the market are equipped with index enhanced funds, from the perspective of position product details, they are mainly actively managed assets.

In addition, various fund companies have also popularized what is the index enhancement, how to do the quantitative strategy, and how to select the factors, but it seems that they intend to let the fundamentalists "forget": the main income of index enhancement products comes from the tracking index.

However, the management fee charged by index enhanced products is much higher than that of Index ETF. For example, according to the data of daily fund, the management rate of China Southern stock exchange 500 ETF is 0.5% per year, while that of rich country China Securities 500 index is 1% per year.

At present, some articles on index enhanced products compare the management rates of index enhanced products with those of active equity funds, which seems to be "cost-effective". However, the comparison of two product sequences with different sources of core income is a "marketing trap" that fundamentalists should pay attention to.

In addition, fund companies promote index enhancement products, which can make up for the regret of most fund companies for missing the ETF track. Once the ETF track has grasped the market opportunity, it is difficult for the latecomers to subdivide the market. However, the index enhancement products are not the same. Compared with the peers, the higher yield is the selling point of the fund, and there is no worry about the layout sooner or later. The wrong ETF Market can be made up by index enhanced products.

It's a good business for fund companies.

Quantification is good, but be careful of "black box"

In parallel with exponential enhancement, there are quantitative strategies. In short, the stock selection and trading of the enhanced part of the index enhancement can be completed manually or by writing programs. Since computer tools are widely used in the investment industry, most index enhancement products can also be called quantitative products to attract investors' attention.

"However, before the focus on quantitative index enhancement products, the quantitative products mentioned by the private equity industry mainly referred to market neutral products with hedging, or products traded by quantitative stock selection. Recently, the terms" quantitative "and" index enhancement "are relatively popular. To some extent, the quantitative products mentioned by public offering are their quantitative index enhanced products." Private equity practitioners said.

But the actual quantitative strategy is obviously not so single.

Quantitative strategy, simply understood, is to use computers to screen out a variety of "high probability" events and factors that can bring about excess returns from massive data. This is called "factors" that affect stock price changes, and uses effective factors to build mathematical models instead of subjective judgment to formulate investment strategies.

And the classification of quantitative strategies. According to the investment target, it can be divided into quantitative stock strategy and quantitative CTA (futures) strategy; According to the investment strategy, it can be divided into market neutral strategy, unilateral strategy and other strategies.

As can be seen from the following branch graph, exponential enhancement is only one of the small branches.

However, such complex quantitative strategies often appear in private placement rather than public offering.

Wei Jianrong's team of Kaiyuan Securities said that the quantitative restrictions on private placement were less and more flexible, including the possibility of intra day t + 0 trading of stock bottom positions and convertible bonds, and the flexible use of stock index futures or options for hedging. In contrast, public funds are more restricted.

In fact, the main difference between quantitative strategy and active management is that the performance of quantitative products is more easily attributed, and there is a set of explanatory data model for stock selection and trading behavior.

At present, the returns of various funds' CSI 500 quantitative index enhancement products are not the same, except for the index itself β The enhanced part of the return is realized by each fund manager according to his own model.

However, how to realize the model of excess return, there is no fund manager to speak out. "Because the big taboo of quantitative model is that it can't be too detailed. If it's too detailed, it's easy to be copied by others," said the former private equity practitioners.

For example, in this year's CSI 500 index enhancement product, Bodao Zhongzheng 500 has the highest excess return. Its fund manager, Yang Meng, has not publicly disassembled the income source of the enhanced part. In the investment strategy and operation analysis of the fund, it is also the judgment of the macro environment, and does not explain the enhanced part of the fund itself.

From this perspective, index enhanced products will not be more transparent than active equity products, and those models are like "black boxes" in front of investors. On the contrary, for a long time in the past, active equity fund managers communicated more with the funders in quarterly reports, and showed their real ideas and judgments more significantly.

Investors who blindly rush into index enhanced products or quantitative products need to be careful. Today's excess return may be the source of risk for tomorrow. When the model fails, the excess return will no longer exist and may even be the biggest source of loss.

After all, there is a saying in the investment world that profits and losses are the same.

At present, there are few fund managers or fund companies in the market to tell investors when the model will fail.