CTA strategy this year in the private equity strategy in the income of far ahead, once dominated the private equity industry.
CTA strategy (Commodity Trading Advisor Strategy), also known as commodity trading advisor strategy, also known as managed futures, is mainly to predict the trend of investment targets such as commodities, through futures options and other derivatives in the investment to do long, short or long and short two-way investment operations, for investors to obtain income.
With commodity prices soaring in the first half of the year, CTA products, which mainly invest in commodity futures and other derivatives, have been favored this year.
However, recently, a well-known quantitative private placement has issued an announcement to suspend the fundraising of CTA single-strategy products, what signal does this reveal?
CTA Product "Current Limit"
On the evening of June 21, the well-known quantitative private equity Egret Asset Management issued an announcement that based on the consideration of protecting the interests of investors and the company's strategic planning for continuous deepening in the multi-strategy field, it was decided to suspend the new funds of its CTA single-strategy series products from July 15, and each sub-strategy of Egret Quantitative Multi-Strategy has capacity space, and the fundraising of multi-strategy series products will not be affected for the time being.
In the future, Egret Asset Management will continue to pay attention to the dynamic changes in strategic capacity, and before approaching the upper limit of strategic capacity, it will carry out incremental flow restriction of corresponding product series in advance, suspend fundraising planning, and inform investors and partners in advance.
Source: Egret Asset Management
CSI Jun first interviewed relevant people of Egret Asset Management, he said: "It is not to reach the upper limit of capacity, the CTA strategy still has capacity, but the CTA single-strategy product is stopped in advance, mainly to leave space for multi-strategy products." ”
He further said that this is also for the sake of the holder, this year the CTA strategy has been more popular, if purely for the purpose of expanding the scale, it is completely possible to release the CTA single strategy products, the product margin only occupies 20%, if only do a separate CTA product, the remaining funds will be idle or cash management. However, the multi-strategy product is equivalent to the remaining funds can be used to full, and a certain income is obtained. ”
On the other hand, he said that in the past two years, the CTA strategy has been on fire and has been sought after by a large number of funds, but in fact, many customers do not understand the CTA strategy, do not have long-term allocation thinking, and are only attracted by the high returns of the past. This type of client is more suitable for investing in multi-strategy products, because the drawdown is smaller, the source of income is more diverse, and it is more conducive to the long-term investment of the client.
It is understood that Egret Asset Management was established in December 2015, and third-party data shows that the current management scale is between 5 billion yuan and 10 billion yuan.
In the first five months, the CTA strategy revenue was the first
Coincidentally, previously, Zou Yitian, a partner of Taurus Quantitative Private Equity Black Wing Assets, revealed at a meeting that last year, Black Wing Assets controlled the scale of short-term CTA, mainly for the consideration of the upper limit of strategic capacity, because the frequency of short-term transactions is relatively fast, and the corresponding strategy capacity is relatively limited. In his view, the scale of management is the "killer" of income, and in order to protect the income of investors, it is necessary to temporarily seal the market. However, the dynamic scale and market performance have a certain relationship, if the market turns, there will be more funds pouring in, therefore, will observe various types of data dynamics to adjust the amount of funds.
He said that although CTA products ushered in a large-scale outbreak this year, CTA strategy products are the most typical assets affected by the principle of barrel short boards, and there may be a phenomenon of capital crowding at present, and it is recommended to pay attention to CTA strategy products with full variety coverage for the whole market and high sharp and high strategy capacity. For individual investors who intend to directly participate in futures market transactions, they should do a good job in capital position management, strive to improve their understanding of commodities, and avoid holding positions that are contrary to the direction of the market.
For CTA strategy investors, Guojin Securities believes that the priority of future risk prevention should be higher than winning returns, and it is recommended that investors pay attention to sharpe and Kalmar ratio of products when allocating futures macro strategies, and diversify the income sources and weights of the overall portfolio, and recommends standard futures macro strategies.
According to data from third-party institutions, among the eight major strategies of private placement, as of the end of May, the average yield of 7.32% in the first five months of the managed futures strategy ranked first, and the private yield of the managed futures with the highest return from January to May was as high as 96.44%. The average yield of private placements of futures strategies of different sizes is all positive. Among them, the average yield of 10 billion scale futures private placement is 7.91%; the average yield of 50-10 billion futures private placement is 6.33%; the average yield of 2 billion to 5 billion yuan scale futures private placement is 7.03%.
According to Chaoyang perpetual data, as of May 27, the number of CTA products issued this year reached 736, compared with 458 in the same period last year, an increase of 60.70% year-on-year.
Editor: Wang Zhuying