Financial Associated Press (Shenzhen, reporter Shen Shuhong) news, recently repeatedly fell below the net value of the defense line, in the past flowers brocade, fire cooking oil against the background, so that many private placements are particularly anxious. Appeasing customers, responding to redemptions, reducing positions, reducing management fees, etc., have become the true portrayal of the current private equity industry.
The same is true of well-known quantitative private equity Hefu Investments. On February 14, a festival full of sweetness and warmth, the company held an unusual strategic exchange meeting, responding to sharp questions from channels and investors: Why did the product plummet? Will the stop loss be liquidated? How to deal with it? Will redemption be temporarily opened? How big is the current strategy adjustment? How can a tweaked strategy be profitable?
Hefu Investment responded at the strategy exchange meeting that although the scale has shrunk to less than 10 billion, the company's current operating conditions are very stable, and the products with larger drawdowns have also been reduced, and the classification factors, failures and drawdown factors have been more risk control, the exposure is tighter, and more exposure is placed on the pure alpha. At the same time, the company has added more short-term and volume price factors with higher turnover rates, and the overall signal is more balanced and the turnover rate will be higher.
"Recently, the quantitative industry has encountered the biggest challenge in the past five or six years. But in our experience, the next year or two will usher in a good time to do quantification. In addition, although this year's start is not good, this year's quantitative situation should not be worse than last year's. ”
Why lose
On February 11, Hefu Investment, a well-known quantitative private placement, issued an announcement to investors and sales agencies, saying that the unit net value of its Hefu Flexible Hedging No. 9 Phase A Private Securities Investment Fund on February 10 was 0.8774 yuan, which was below the early warning line of 0.88 yuan, touching the early warning.
Subsequently, the company apologized to investors, saying that it had adjusted the management fee for the product to 0% from February 8 and decided that the product would not charge management fees in the future until it did not return to net value1. At the same time, the institution has also invested 5 million yuan in the fund of funds of the product in the form of its own funds on February 10.
At the online strategic exchange meeting held on February 14, Cai Jueyi, founding partner and general manager of Hefu Investment, Dong Chang, founding partner and investment director, and the market leader once again apologized, and faced the doubts of investors and channels, and elaborated on the operation of its products in more detail.
"From top to bottom, we are very active in dealing with the impact of market and net worth fluctuations on investors." The company's market head admitted that at the end of 2021, Hefu Investment has stopped raising products related to its hedging strategy.
Based on the optimism about the long-term healthy and stable development of the hedging strategy and the confidence in the company's active investment management ability, the company used its own funds of 40 million yuan before the Spring Festival to subscribe for the share of fund products under its management, and plans to increase the scale of its own fund subscription in the future.
"We have always put risk first, all investment decisions and online models have undergone very rigorous review and evaluation, and only the strategies that we believe have the most opportunity to create value for customers will be used by us to trade." However, Cai Jueyi, general manager of Hefu Investment, frankly stated that the recent market and the company's entire strategic style are not so matched, which has led to fluctuations in net worth, momentum and other factors have exceeded the largest drawdown in history.
Dong Chang, the company's investment director, further analyzed that after September 2021, the short-term style of the market switched relatively quickly, which is very difficult for the company's investment style of using data mining to statistical rules. Recently, some long-term factors have also continued to retrace, and the basis of its flexible hedging products has dropped from 44% in September last year to 7% at the end of December last year. By February 2022, the basis had shrunk sharply to 3%.
"The loss on the basis, the loss at the product level is about 4%-5%. At the same time, the broader market fell, making the loss of the beta level to the product also about 3%. ”
In addition, Hefu Investment also revealed that Hefu Flexible Hedging No. 9 has several large redemptions in recent months, which have also had a certain impact on net value fluctuations.
The position has been reduced to 30%.
From the perspective of resume, Cai Jueyi, the founder of Hefu Investment, once worked in the trading strategy team of quantitative hedge fund Quantitative Global Capital in the United States, and then worked at Shanghai Mingtun Investment, managing a number of products. In 2016, he co-founded Hefu Investment with Dong Chang and Zhang Gaochi, who also graduated from Peking University. According to Tianyancha data, Cai Jueyi holds 40% of Hefu Investment, Dong Chang holds 40% of the shares, and Zhang Gaochi holds 20% of the shares. Among the three founders, Cai Jueyi and Dong Chang are mainly responsible for managing the field of asset management strategy, and Zhang Gaochi is mainly responsible for managing the self-operated sector.
As of October 2021, the scale under management of Hefu Investment has officially exceeded 10 billion yuan, and it has successfully advanced to the 10 billion quantitative private placement. According to the reporter's understanding, at present, the company's management scale has shrunk to 8 billion yuan.
For the largest drawdown in the history of flexible hedging No. 9 product recently, Hefu Investment said in the strategy exchange meeting that the current operating conditions of the company are very stable, and it has done a position reduction treatment for products with larger drawdowns, and has carried out stronger risk control of classification factors, failure and drawdown factors, with tighter exposure and more exposure on pure alpha.
At the same time, the company has added more short-term and volume price factors with higher turnover rates, and the overall signal is more balanced and the turnover rate will be higher. "To a certain extent, this avoids the crowding effect caused by the relatively fast quantitative volume in the past two or three years."
Dong Chang revealed that the position of Hefu Flexible Hedging No. 9 has been reduced to about 30%, and the process of reducing the position is relatively stable, and the loss of net value has not affected. The cash after the reduction will be used to buy reverse repurchase or commodity-based products, and the expected annualized return is around 3%.
"But we didn't buy particularly long-term cash management products. Once the net value returns to about two percentage points above the warning line, the company will consider increasing the position. ”
Dong Chang said that since 2022, Hefu Investment has successively launched many new strategies, including non-linear and short-term strategies, as well as factor correlation and crowding evaluation signals.
"Last week or so, our adjustments were basically in place. And this is not a small fine adjustment. At present, the expected revenue of the excess part of the related products has improved, and we will continue to launch some machine learning signals in the future. He said the adjusted strategy will be more adaptable to high-volatility markets.
Dong Chang explained that in the past year, Hefu investment has invested a lot in both the technical level and the hardware level, and there are more and more mature quants to carry out strategic iteration, and the run-in with new colleagues has gradually entered a better state. "In the next six months to a year, we will continue to increase investment in hardware and computing power." Hopefully, these efforts will help us get through this uncomfortable drawdown period faster. ”
"In the next six months, we will also focus more on making some pure alpha predictions, which are short-term." Dong Chang said.
"In the long run, I think what we pass on to investors is still a very competitive product." Cai Jueyi said.
Is it better to quantify?
"Recently, the quantitative industry has encountered the biggest challenge in the past five or six years, and such a black swan-like event has surprised everyone." Cai Jueyi said frankly.
But in its experience, the quantitative industry will usher in a wave of rapid rebound after such a difficult time. In the next year or two, he believes that there will be a very suitable time for quantitative strategy.
The challenge is there, not broken. This, for quantification, may be a good thing.
"Although this year has not started well, the cost of hedging has now fallen to the lowest moment in history since 2015 when there was a deep discount, which is very beneficial for hedging products." Overall, this year's quantitative situation should not be worse than last year's, and the probability of obtaining positive returns throughout the year is also very large. ”
Cai Jueyi said that every investment method has its difficult moments, and in the short term, it may encounter various problems, which requires the trust of investors and the joint efforts of quantitative people. In the long run, quantification is still a very competitive way to invest.
However, from a longer time dimension, Cai Jueyi believes that the overall trend of quantitative returns is constantly declining, and the high returns that have erupted quantitatively in the first three quarters of last year cannot become the norm, which requires investors to be psychologically prepared.
At the level of industry supervision, Hefu Investment pointed out that supervision is paying more and more attention to quantification, and the impact on the development of the quantitative industry is positive. From November 2021, all quantitative private equity managers, including the company, will report to the China Foundation Association every month on the operation of their products.
"If the market is more regulated, it is obviously more beneficial to the industry." The company said.