#fengyunjunkancta# In the past two months, Luo Shu, the CTA “General of Changsheng” who once had high returns and low drawdown, suffered a huge drawdown in this round of CTA kills, causing many investors to question. However, just as Feng Yunjun analyzed the reasons for this round of cta adjustment and the performance of each sub-strategy in the previous article, simply put, Vena’s large retracement can be attributed to its 70% fundamental factor. In terms of strategy, the sub-strategy The combined medium-term institutions and fundamental strategies exceeded 60%, and in this decline, the term structure was the first hardest hit, both in terms of retracement and timing. The fundamental strategy is more suitable for the commodity market itself, which is driven by fundamental factors, and the important reason for the decline of this round of cta is the increased risk aversion in the market caused by the Fed’s unexpected interest rate hike, rather than the substantial change in commodity fundamental factors. So, what can we think about the substantial retracement of Luoshu?
Fengyunjun has selected some well-known quantitative CTAs on the market.
By analyzing the commodity year of 2020, the small year of 21 and the quantitative CTA performance of this year, we have come to the following conclusions:
1. First of all, due to the characteristics of the cta strategy itself, the income of the bulk of the cta must be contributed by the commodity bull market, such as the whole year of 2020 and January-April of 2022. At this time , trend strategies and cross-section strategies with a long cycle often perform strongly , while some strategies with a short cycle are slightly inferior, such as Bopu, Luoshu, and Juncheng this year. From January to April this year, the performance of Juncheng, Quantity and so on is amazing. However, for long-term CTA products, especially single-strategy-based products, when the overall market is not good, the withdrawal is also more difficult for investors to bear.
2. Let’s take a look at the 21 years when cta is not very easy to do and what the situation is under the plummeting market since June this year. In 2021, global liquidity was loose and supply and demand were tight. The South China Commodity Index rose by 20% throughout the year, but the commodity market was subject to strong supervision. Overall, the performance of the cta strategy was relatively average. Among them, the sudden reversal of policy regulation has led to a large retracement of CTA in the medium and long cycle, but it is better than the short and medium cycle in terms of income, mainly due to the grasp of the two stages of 2-5 and 8-9. However, some short-cycle CTA strategies perform poorly throughout the year from the perspective of income. The main reason is that short-cycle CTA is very unsuitable for repeated market switching in extreme cycles (such as within 3 days), which will lead to high transaction costs. Significant wear and tear. For example, from October to December, during this period, the overall retracement of cta was relatively large, and the cross-sectional strategy and fundamental quantification of short-cycle and sub-strategies all retraced relatively large. Then, if it is considered that the 21-year return drawdown ratio is greater than 2, the performance is relatively good, and Bopu, Luoshu, Liangdao (Fuxiang), etc. are on the list.
Let’s take another look at this year.
It can be seen that the volatility of quantitative cta managers this year is extremely large, especially during the period from 6.10 to 6.30, some managers have a huge retracement. The reasons for the collapse of cta during this period and the performance analysis of sub-strategies have been analyzed in detail in previous articles, and will not be repeated here. Let’s take a look at the conclusion: Vena and Bopu, which have performed very well in 21 years, have both retraced greatly this year (the main reason is that the cycle is long + the proportion of fundamental factors is high). On the contrary, some short-cycle cta have well controlled the retracement , the performance is relatively good, such as text; Juncheng (80% cross-section long and short + 20% trend time series) with more than 3 billion leading the explosive force in January-April; in addition, the more stable performance is some strict multi-cycle , Multi-substrategy fusion cta.
So, how to buy CTAs to improve the win rate and holding experience?
First of all, the time of entry is very important . Fengyunjun has mentioned many times in previous articles: the characteristics of CTA itself determine that it is a strategy that requires waiting and “squatting”. There is no way to choose the time, and it is difficult to analyze. Concussion periods of withdrawal are often good entry points. At present, it may take a long time to wait after entering, but the retracement after the big drop is relatively controllable and the price is relatively high.
Second, choose “short” or “long” ? The quantitative CTA of the long-term strategy tends to fluctuate and retrace more, but it has a greater explosive power when it comes to the market. Then, investors may ask: Is it safe for me to choose a short-cycle CTA? It is true that some short-term CTA long-term retracements are better controlled, but they are not absolute, and even a large retracement will occur in a certain period, such as the period from October to December in 21 years mentioned above. Its advantage is that it can generally turn quickly when the market reverses rapidly, but its disadvantage is that it is not aggressive enough when the big market comes, and the strategy is not suitable for the market that frequently switches with the market. In addition, short-cycle CTAs often have higher requirements on managers’ investment research capabilities and strategy iterations. Investors should prefer experienced and well-known managers, and at the same time focus on historical drawdown control capabilities.
Third, how to improve the holding experience ? CTA plays the value of long-term asset allocation. What we value is its low correlation with stocks and other assets, and it should be held for at least one year. Therefore, the investor’s holding experience is very important. From the detailed analysis above, we can feel that there is no sub-strategy or a periodic frequency band that can pass through the “bull and bear”, and each sub-strategy has its own advantages and disadvantages. If you want to balance long-term returns and holding experience, you can choose those that really strictly implement multi-cycle, multiple sub-strategy ratios (such as trend, cross-section, arbitrage, fundamentals, etc.; the cycle is a combination of short, medium and long), multi-factor combinations The composite CTA such as Egret, Quantitative Selection, Hui Shi, etc. or CTA-FOF such as Bo Fuli. In addition, the strategy capacity of CTA is relatively low. For example, the capacity of medium and long-term strategy (1-2 weeks) is generally 4 billion to 5 billion (not absolute). Investors should pay attention to the upper limit of its capacity, but in fact, well-known CTA managers either close disk, or the window period will not be very long.
Finally, can the cta be laid out at the current point in time?
The current commodity market volatility has dropped to a relatively low level. Since August, the entire commodity market has been in a period of repeated shocks after substantial adjustments. The quantitative CTAs of various companies have basically remained stable for more than a month. Although we can’t predict when the next blowout will come, far from it, if we choose to enter the market in July-August and November-December after the two major drawdowns in 2021, the current return is relative to In the same period, the CSI 300 was also exceeded by 30 points, so Fengyunjun believes that the current CTA entry is a stage with high cost performance.
$ Liangdao CTA Selection No. 1 (P001054)$ $ Luo Shuyu and Jian’an (P666017)$ $ Bopu CTA Multi-Strategy No. 2 Phase 1 (P000919)$ $ Juncheng CTA Enhancement No. 5 (P001155) $ $ Hui Shi Yuan Feng CTA No. 1 (P001097)$ $ Fu Shan Investment – Feng Shi No. 1 Zhiyuan CTA Phase 1 (P000934) $
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