Today, Simmons, the originator of quantitative funds, passed away, and many people may have heard of this great god.
The most known is probably his impressive performance, which has been as high as 39.1% of the historical annualized fee of the Medallion Fund since 1988.
And this fund has a management fee of up to 5% and an excess performance share of 44%, with an annualized rate of 66% before the fee!
What's even more exaggerated is that in terms of pre-Fei performance, there has not been a year of loss of money in history, so I ask you if you are outrageous.
If you follow compound interest, this fund should soon exceed Lao Ba's total wealth.
But in reality, the size of the medal fund is only $5 billion, and almost all of the shares are held by Simmons employees.
At the end of the day, it's the flaws of quantitative investing itself.
In Simmons's investment system, he likens quantitative investing to a gecko, which eats food when there is a trade, and remains motionless when there is no trade.
One of the main ones is short-term arbitrage and frequent trading.
However, the scale of the strategy involving arbitrage is not large.
Therefore, although the medal fund has earned hundreds of billions of dollars, almost all of the income has been used for dividends, which has been controlled around $5 billion.
This is also the reason why Simmons' yield far exceeds that of Buffett, but his wealth does not exceed that of Buffett.
But Simmons has also tried to break through the existing scale,
For example, in 05, a new fund was launched - Renaissance Institutional Investor Equity Fund, with a maximum size of 100 billion US dollars;
In October 07, a second new fund was launched - the Renaissance Institutional Investor Futures Fund, with a maximum capacity of $50 billion.
However, although the performance of the medal fund has been soaring, the performance of the new fund has not been satisfactory.
The Renaissance Institutional Investor Equity Fund earned 5.5% in 2005,
In 2006 and 2007, Jiping did not make money, the scale declined rapidly, and the performance of futures funds was weaker than that of its peers.
This may be the sword of Damoske on the scale of the fund...
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Some people may wonder what is the effect of quantitative investment in A-shares, and can Simmons's success be replicated?
As a genius mathematician, Simmons recruits traders who are all math and physics masters from top universities, and programmatic trading does not have any emotional color.
If you have watched the movie "Decisive 21 Points", you will understand this business model,
Only use the law of large numbers, make correct transactions with a high probability, and make money machines without emotion.
Copying a Simmons can be hard, but quantitative investing does work in my A...
Because I'm not transparent enough about private equity net worth, I won't expand on it.
Let's take the public offering as an example.
I counted 355 funds with "quant" in their names across the market, and then counted their historical performance:
Founded for more than 3 years, the median return was -20.9%, compared with -26.6% for CSI 300 and -24.8% for partial equity hybrid funds in the same period.
For those established for more than 5 years, the median rate of return was 29.4%, compared with 1.85% for CSI 300 and 43.2% for partial equity hybrid funds in the same period.
Founded for more than 10 years, the median return is 155%, compared with 71.8% for CSI 300 and 136% for partial stock hybrid funds in the same period.
In general, quantitative funds still have excess returns compared to the CSI 300 index of A-shares.
Compared with the index of partial stock hybrid funds, quantitative funds have slightly underperformed in the big blue chip market in the past five years, but they have outperformed in a ten-year dimension.
Although it is not as rosy as imagined, it can be considered if the expectation is only to beat the market.
Here is a list of the best performing quantitative funds in the last 10, 5, and 3 years,
Three-year rankings:
The first place is Wang Ping's investment promotion quantitative selection, 40.5% in three years;
the second is the national financial quantitative multi-factor of Internet celebrity Ma Fang, with 36.7% in three years;
Coincidentally, China Merchants Quantitative Selection was actually included in the rebalancing of the Taurus 20 in August 22 and has been held until now
After being included, Wang Ping's performance can also rank fourth among the 355 quantifications.
The disadvantage is that the performance is too good, and now the scale is getting bigger and bigger, Wang Ping has managed more than 10 billion yuan, and he has been bought to limit the purchase.
Among them, the performance is better than Wang Ping, such as Huatai Berry Hong Kong Stock Connect Quantitative and Changsheng Quantitative Dividend,
These two rises, in fact, are more due to the blessing of the high dividend market.
China Merchants Quantification itself is based on the CSI 500, and the alpha characteristics are more significant.
Five-year rankings:
The five-year dimension investment quantitative selection still ranks first, but the national financial quantitative lags behind, followed by Changsheng quantitative dividend.
10-year ranking:
Over the past decade, the top performers were:
Wang Ning's Changsheng quantitative dividend +429%;
Zhang Letao's ICBC quantitative strategy +255%;
田汉卿的华泰柏瑞先行+209%
Of course, only Tian Hanqing is the first veteran of the quantitative industry (Changsheng and ICBC have been replaced),
And she has been managing from the release of the product to the present, so her product performance will be more convincing.
I mention it here, in fact, Tian Hanqing's scale is only 3 billion, for a ten-year veteran, this plate is actually not too big.
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Note that some of the above public offering quantifications are actually not high-frequency quantifications, and most of them can only be called "quantitative longs"
Because according to my observation, the annual turnover rate of these public offerings is 3-7 times.
You must know that the average turnover rate of the entire public offering market is also as high as about 4 times.
So these funds, to be honest, there is still a big gap between the high-frequency trading of the medallion and the medal,
However, at least it is an indirect verification of quantitative funds, which is still a bit α
Finally, at the level of choosing quantitative funds, it is better to choose fund managers with a smaller management scale as much as possible.
For example, priority is given to products with a total management scale of less than 5 billion and a fund scale of less than 1 billion.
After all, the bigger the plate, the fewer investment options can be made, and the less excess returns will naturally be.
But there are so many products on the market, the performance continues to be good, and the scale will grow from small to large, until the yield decline becomes mediocre.
Therefore, it needs to be excavated repeatedly, which is also a choice that has no choice.
That's about it.