股指期货策略扩容 机构看好量化投资表现
作者:张文斐  2019/8/20 22:05:29  来源:原创  浏览:726

近日,由浙商期货主办的“华南地区金融衍生品量化交易论坛”在深圳举行。伴随着国内量化行业的飞速发展,一批又一批优秀的量化机构不断涌现。与会嘉宾表示,近年来策略同质化、策略拥挤等现象时有发生,对产品净值影响较大,唯有与时俱进、与众不同的策略,才能保持生命力,具有更好的赚钱效应。

股指期货交易安排调整后,平今手续费有所降低。与会嘉宾认为,对于少量资金来说,平今可以用锁仓来取代,因此手续费不是问题。而手数放开和保证金比例降低,扩大了策略容量,对量化机构而言是重大利好。

“一般来说,股指期货的日持仓量呈月牙形变化。”共翔量化资产研发部房世辉表示,为降低手续费,量化投资通常用锁仓来取代平今,这个方法具有两面性,在降低成本的同时使得策略容量变得更低。开盘时持仓量是最高的,交易时段平昨导致持仓量下降,下午对锁开仓导致持仓量上升,这即是股指期货交易用开仓取代平仓的过程。因此,股指期货持仓量呈现早晚高、中间低的月牙形态。

在房世辉看来,现在股指期货维持振荡走势,传统的趋势策略已经失效。相同的策略很容易造成拥挤效应,策略要不断与时俱进,只有与众不同、独树一帜才能形成赚钱效应。

博普资产是一家专注股指期现套利的量化机构。记者了解到,股指期现套利即交易基差波动。在基差高位,卖出股指期货的同时买入一揽子成分股;在基差低位,买入股指期货的同时卖出一揽子成分股。该策略的特点是低风险低收益,与大盘涨跌无关,与风格偏移无关,能容纳较大资金。

在博普资产基金经理陈力看来,股指期货交易恢复常态化在两方面对公司影响较大:一是手数的放开,二是保证金比例的降低。“手数放开除了增大策略容量外,还使得投机对手盘增加、基差变大。实际上,我们的策略收益无非是单笔利润率×换手率×杠杆。基差波动大,单笔利润高;振动加剧机会更多,换手率增加;保证金比例降低,财务杠杆加大。股指期货交易常态化之后,单笔利润、换手率和杠杆增加,对策略而言是大的利好。”陈力说。

陈力表示,公司2012年开始从事股指期货套利,2015年股指期货交易受限对公司影响很大,产品规模慢慢萎缩。后来又恰逢资管新规出台、委外赎回,短时间内公司资金管理规模大幅减少70%。“现在的套利方式和以往也有不同,以前正基差时是无风险套利,现在负基差不得不对策略进行一定的调整,比如加入一些日内波段操作等。”他说。

据期货日报记者了解,2019年6月21日,证监会发布《公开募集证券投资基金参与转融通证券出借业务指引》。转融通允许公募基金参与证券出借业务,将丰富A股市场融券业务的券源供给,有利于融券业务的开展,预计将对股指期货负基差产生一定的收敛推动作用。

在此背景下,与会嘉宾也看好股指期货未来的发展。泰德嘉禾投资董事长李宇新表示,日前推出的转融通是革命性的制度,最近两年股指期货经常深度贴水,Alpha要弥补深度贴水的损失,才能实现正收益。转融通推出以后,将大大改善对冲成本。另外,港交所即将推出的MSCI中国A股指数期货,或将促进我国股指期货的进一步放开。


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