Two days ago, the director of the factory just said that the neutral products are now converging on the basis and the hedging costs are low, and then everyone hopes to have a steady income, you can consider the neutral products. As a result, a big news came today, and a dollar-neutral product under Jiukun retraced nearly 40% in January. Some friends may have questions, "neutral products" are not hedged, how can they lose so much? The specific reasons will be discussed in detail, but one thing we should be clear about is that neutral products do not exactly equal low risk...
High volatility due to high leverage
The market is still good in these two days, although the volume of transactions is still not a big improvement, but it has stopped the decline since January.
In the days when everyone is generally at ease, something has happened here again.
Jiukun Investment was exposed to a dollar fund fell nearly 40% in January, and the fund fell nearly 20% in December last year, with a cumulative drawdown of more than 55% in two months!
In addition to the strategy-related factors, the drawdown is mainly because the product carries about 5 times the leverage.
Don't look at the current fall so fiercely, this dollar product was popular fried chicken last year, as of August 31 last year, even if the performance commission is as high as 50%, the fund's accumulated fee after the return has reached 149.16%, the annualized average fee after the return reached 47.88%, the maximum drawdown is only -5.04%, Sharp's high unreasonable, many friends are quite excited.
This kind of product with high return and low drawdown has always been favored by investors, and the subscription threshold of $300,000 has not stopped the enthusiasm of investors.
After the middle of last year, many investors who bought this product hoped that the fund would continue to replicate the excellent performance of the past, but they may have ignored the phrase "past performance does not represent future performance" in the product materials.
The ideal is very full, the reality is very bone, after this wave of retracement, now some investors have a book loss of more than 50%.
In fact, in August last year, the director also had two friends who had a demand for the US dollar fund and wanted to buy this product, but after careful consideration, one felt that the leverage was too high and the fluctuations would not be small, and the other felt that Carry wanted to raise 50% a little too high, so the two friends decided to wait and see for a while, so it was a stage of "escaping the disaster".
Since the retracement has already occurred, what we want to explore is the reason for the retracement and the subsequent response of Jiukun.
First of all, this is a neutral product with leverage, the fluctuation is normal, the profit and loss are of the same origin, and this product is configured as a low-volatility product, and I can only say that I have not figured out the product risk.
Jiukun product investment report shows that "without considering leverage (about 5 times), the overall income drawdown in January was about -7.8%, of which -4.7% came from alpha, -2.1% from market value exposure exposure, and expenses and basis (hedging costs) contributed about -0.5% of the loss respectively"
In fact, from the finger increase of Jiukun, it can also be seen that the alpha piece since January, Jiukun has not done well, coupled with the overall market is also declining, such performance is also reasonable, the key is 5 times leverage to amplify the loss.
For the follow-up product operation, Jiukun also has 3 points to deal with:
1. At the end of January, the market value exposure of the product has been adjusted to 0 to hedge the market risk.
2. On February 4, 2022, the fund will be subscribed with its own funds of 30 million US dollars, and the risk and return will be shared with the holders.
3. In the subsequent operation of the fund, it will maintain stricter control over the exposure of risk factors, and will continue to maintain the current healthy leverage level in line with the supervision of the mainland and Hong Kong, compliance with the ISDA Agreement and strict risk control."
In addition, Jiukun also said that it will waive the redemption fee for investors who hold this product and that investor redemptions are not subject to lock-up period restrictions.
Here again, we can't treat neutral products with leverage as low-risk products, profit and loss are of the same source, and if you want high returns, you have to bear high volatility.
At present, it is not very meaningful to directly determine that the Jiukun strategy is invalid, after all, the performance of the fund in the past two years or so is still very eye-catching, and it has been leveraged before. Relying on leverage to amplify gains feels justified, because leveraged amplification losses are complaining, then it is not interesting.
Buying such products itself is to pursue long-term high returns, and it will be more objective to hold the cycle at least for more than 1 year and then evaluate.
In addition, the proportion of subscriptions to such products should not exceed 20% of investable financial assets.