私募人士:量化对冲策略的低谷期已过去
作者:崔蕾  2018/1/28 21:57:30  来源:原创  浏览:1123

   1月27日,朝阳永续主办的2017年度第十二届中国私募基金风云榜在上海举行。在圆桌论坛环节,多位量化对冲私募基金人士就“2018年对冲突围之道”各抒己见,分析展望了2018年量化对冲基金的发展形势。
   很多投资者认为过去两年是量化对冲策略的“小年”,对此,中金睿投董事长阚睿认为,任何策略都有适合它的市场情况和不适合的情况,无论国内还是国外都是这样的,投资者不仅要研究投资标的的配置,也要注重投资策略的配置。
   “目前量化对冲策略的情况有了非常大的改善,我们公司的策略从2017年下半年开始已经逐步正常化了,今年1月份也保持了正收益。量化对冲作为一个中性策略,它的回撤和风险都比单边策略低很多。”阚睿说,在市场不明朗的情况下配置对冲策略,是化解市场风险比较好的选择。
   泓信投资董事长尹克认为,量化策略去年面临严峻考验的原因是多方面的,比较重要的是整个市场环境的重大变化。“2016年第三季度以来市场环境明显变化。量化策略究其根本是分析历史大数据,去寻找规律并投资,在市场发生变化时,必然会有一个适应期,去年上半年就是量化模型和市场新环境的磨合期。”他说,量化策略不是一个静态策略,会根据市场数据的变化,不断自我学习、自我优化,以适应新环境。
   尹克表示,实际上,2017年下半年量化策略的收益是有反弹的,主要是因为上半年大量资金离开了量化市场,市场上的量化基金数量与年初相比有所下降。对于量化策略而言,如果是一个“拥挤”的策略,收益是比较低的。
   另外,从整个投资组合的角度去考虑,他认为,不同策略类型、不同资产类型进行优化配置,最终目标是把整个财富组合的收益空间做到最大化。无论是相对收益策略还是绝对收益策略,都有自己的风险收益特征,在组合里都有配置价值。
   在CTA这个大的策略类别中,也包括基于量化基本面的CTA策略。与其他类别的量化策略不同,2017年CTA市场出现了一些分化。据千象资产创始合伙人陈斌介绍,去年做中长线的传统CTA策略普遍业绩不佳,但其他类型如中短线、偏高频的CTA策略表现并不比2016年差,基本面量化CTA策略2017年的机会甚至比2016年更好。
   陈斌也认为,资产组合中需要融合很多不同类型的策略,每个策略类型都有一定的周期性,一个策略不可能永远都好。“做CTA产品,同样也需要把很多不同的CTA策略组合到一个产品中去,策略本身也要更加丰富和多元。”他说。
   展望2018年,阚睿认为,量化对冲策略的低谷期已经过去。前两年因为政策和市场原因,量化对冲策略确实比较低迷,但现在是非常好的进入机会,量化投资向上的空间基本已经可以看到了。
   陈斌表示,现在是比较特殊的时候,“量化小年”已经持续了很长时间,过去两年做量化对冲的机构也在逐步减少。现在这个时间点,很有可能是黎明前的黑暗,投资者可以重新考虑介入量化投资。

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