The Sharpe Ratio, proposed by william Sharp, a 1990 Nobel laureate in economics, is also known as the Sharpe Index, one of the standardized indicators for the performance evaluation of funds. The significance of the Sharpe ratio is to calculate how many units of excess return per unit of total risk to any portfolio historically. Therefore, if the Sharpe ratio is greater than 1, it means that the fund's return rate is higher than the risk of volatility in the past period, and if the Sharpe ratio is less than 1, it means that the fund is more risky than the return rate.
In order to evaluate the performance of private equity funds more comprehensively, the private placement ranking network counts the five-year, three-year and one-year equity strategy private placements, ranks them according to the Sharpe ratio, and produces the September Equity Strategy Stable Fund Product List.
It should be noted that the equity strategy private equity fund included in the ranking of the stable product list must have a management scale of more than 500 million. In addition, products included in the one-year stable product ranking need to meet the new high net worth in the past three months; products included in the three-year and five-year stable product rankings need to meet the new high net value in the past three months. In addition, the listed products also need to meet the product scale greater than or equal to 5 million, and the performance disclosure level is A.
In this issue of the list, Shanghai "Small and Beautiful" quantitative private equity Jingqi Investment became the biggest winner, and its representative product "Jingqi Guanghe Long Valley" won the three lists, and the Sharp ratio in the past five years, the past three years and the past year recorded 3.38, 3.66 and 4.96 respectively. "Jingqi Photosynthetic Long Valley" is strategically a quantitative bull, and the earnings as of October 22 this year have reached ***%. However, the private placement network page shows that the product is not raised for the time being.
Hangzhou medium-sized private equity Yingyang Asset's products also made the third list. "Yingding No. 9" was shortlisted for the five-year list, and the Sharp ratio in the past five years was 1.35. "Yingyang No. 15" was shortlisted in the three-year and one-year lists at the same time, and the Sharp ratio in the past three years was 2.59, and the Sharp ratio in the past year was 2.84. Both products are strategically subjective bulls.
The tens of billions of private placements whose products have been shortlisted for this issue include Jiukun Investment, Shengquan Hengyuan, CEIBS Ruibo, Jia ken assets, Jinge Liangrui, Ningbo Magic Square Quantitative, and Innova Assets.
Jiukun Investment "Jiukun Stock Long-short Allocation No. 1" and "Jiukun Rixiang CSI 1000 Index Enhancement No. 1" were shortlisted for three-year and one-year respectively. Shengquan Hengyuan's "Shengquan Hengyuan Dingzeng No. 6" was shortlisted for both the five-year period and the three-year period, ranking third and fourth respectively. CEIBS Rebbe's "CEIBS Rebbe Chitu Phase I" and "CEIBS Rebbe 17 All-Weather" were shortlisted for the five-year and three-year periods respectively.
Here are the details of the list:
Private Placement Network Reviews:
Jingqi Investment's "Jingqi Photosynthetic Long Valley" won the first place in the September Equity Strategy Robust Products List (five-year) with a Sharpe ratio of 3.38. Jingqi Investment is a private equity fund engaged in quantitative investment, with a management scale of 1 billion to 2 billion. Tang Jingren, the fund manager of "Jingqi Guanghe Long Valley", graduated from the Department of Economics of UCL in the United Kingdom, and was an analyst in the investment banking department of CICC and the manager of the overseas business department of South China Futures.
Longqi Technology's "Dragon Flag Superstar No. 1" won the second place in the September Equity Strategy Robust Products List (five-year) with a Sharpe ratio of 1.54. Founded in 2011, Longqi Technology is located in Hangzhou, with a management scale of 2 billion to 5 billion, and is a quantitative hedge fund with a long history. All strategies of Longqi Technology are programmatic trading, and the strategy operation is based on the self-developed intelligent portfolio management system and trading system.
Shengquan Hengyuan's "Shengquan Hengyuan Fixed Increase No. 6" won the third place in the September Equity Strategy Stable Products List (five-year) with a Sharpe ratio of 1.52. Shengquan Hengyuan is a Private Equity Firm in Nanjing founded in 2014, with a management scale of more than 10 billion yuan and a core strategy of relative value. In terms of investment philosophy, Shengquan Hengyuan insists on risk control as the first, and believes that if the investment risk is well controlled, the investment will be half successful.
In addition, Shenzhen Yitong Investment, Panyao Assets, CEIBS Ruibo, Haichuan Huifu Assets, Kangmand Capital, Haochen Investment, Pingshi Assets and other private equity subsidiaries also have products on the list.
Jingqi Investment's "Jingqi Photosynthetic Long Valley" won the first place in the September Equity Strategy Robust Products List (three-year) with a Sharpe ratio of 3.66.
Newfoss Investments' "Newfoss Value Select" won the second place in the September Equity Strategy Robust Products List (three-year) with a Sharpe ratio of 3.11. Founded in 2015, With an office in Guangzhou and a management scale of 1 billion to 2 billion yuan, Nufus Investment is an institution integrating public investment research capabilities and private equity management mechanisms. Its investment philosophy is based on economic cycles, industry trends, corporate dynamics and market preferences, and the development of investment strategies.
Tongheng Investment's "Treasury Treasurer Holding Treasure No. 5" won the third place in the September Equity Strategy Stable Products List (three-year) with a Sharpe ratio of 2.95. "Treasury Treasurer Holding Treasure No. 5" is a stock long-short strategy product, which is managed by Zhuang Chengkai. Zhuang Chengkai, currently the manager and investment director of Tongheng Investment Fund, master of finance from Wang Yanan Institute of Economics of Xiamen University, bachelor of mathematics and applied mathematics from Xiamen University, and former quantitative researcher of Guomao Futures R&D Center, has many years of real experience.
In addition, Shengquan Hengyuan, Yingyang Assets, Renbu Investment, Baixi Assets, Quanxi Investment, Renqiao Assets, New Vitality Capital and other private equity subsidiaries also have products on the list.
In September, the champion of the Equity Strategy Stable Product List (one-year) was still won by Jingqi Investment's "Jingqi Photosynthetic Long Valley", with a Sharpe ratio of 4.96 in the past year.
Innova Asset Management's "InnovaTex No. 8" won the second place in the September Equity Strategy Robust Products List (one-year) with a Sharpe ratio of 4.95. Founded in 2014, Innova Asset Management is a Beijing private equity firm focused on quantitative investment, including but not limited to arbitrage strategy, stock selection strategy, alpha strategy, CTA strategy, etc., and the current scale has reached more than 10 billion.
Bopu Technology's "Bopu Absolute Value No. 1" won the third place in the September Equity Strategy Robust Products List (one-year) with a Sharpe ratio of 4.45. Founded in 2012, Bopu Technology is a Shenzhen private equity firm focusing on the field of quantitative investment, with a management scale of 5 billion to 10 billion yuan. With the concept of "technology-driven, global market, social responsibility", Bopu Technology firmly believes that technology is the driving factor of quantitative investment, has accumulated experience in financial engineering, trading system design and related software and hardware development, and independently developed backtesting, trading and risk control platforms.
In addition, Fujian Zeyuan Assets, Nufus Investment, Sanxi Capital, Jiuyi Assets, Huazhihuijin, Renbu Investment, Jiukun Investment and other private equity subsidiaries also have products on the list.