Fengyunjun recently took stock of the CTA strategy of this year’s “Singing All the Way”, paying special attention to the quantitative CTA managers with a medium scale (2 billion-10 billion), and found that the champion’s CTA actually achieved a profit of 30 points, and the runner-up also made an angry profit 20 points, but if combined with risk indicators (such as maximum drawdown, return drawdown ratio), Fengyunjun still prefers “runner-up”. After all, we choose cta strategy to smooth account fluctuations in a sense. Too high, it is better to buy more shares directly. So who is the runner-up? Can I still buy CTA? It is a great honor to invite Mr. Chen Duncang, the deputy general manager of Liangdao Investment, to explain their doubts to everyone.
Q: The development history and current scale of Quantum Investment?
A: Let me introduce the company’s situation . Liangdao Investment was established in April 2015, and its full name is Shenzhen Liangdao Investment Management Co., Ltd. As the name suggests, we have always insisted on quantitative investment. Since 2010, we have insisted on building corresponding strategies through quantitative methods. The system and framework of the overall strategy center around multi-cycle, multi-variety and multi-strategy as the core to develop corresponding strategies. Strategies include CTAs as well as stock-related strategies. In 2020 our CTA product won the three-year Golden Bull Award .
The company’s development history , from 2010 to 2015, when the stock index was a very active variety, during this period, the main trading varieties or trading strategies revolved around the stock index.
From 2010 to 2015, with the continuous growth of the company’s scale, the strategy was constantly updated and iterated. In 2015, we also established a company for filing as a private equity fund manager. From 2015 to 2017, the company took CTA as an important strategic development direction.
In 2017, Liangdao launched the single strategy of CTA and issued it in the form of a single product line. In 2018, we made a Quantitative CTA Selected Series, which superimposed medium and long-term trends, medium and short-term trends, and multi-factor arbitrage strategies to create a composite product line, which is our representative product – Quantitative CTA Selected Series.
From 2019 to 2020, the cooperation with major institutions has been continuously strengthened, and the management scale has exceeded 2.5 billion by the end of 2021. At present, the management scale is about 2.7 billion, the CTA part is about 2.2 billion, and the stock is about 500 million.
Q: How about the fund manager and team?
A : In this part of the team, we have two founders. Liu Yiting Mr. Liu has rich experience in capital market investment, and has more than ten years of quantitative investment and trading experience in derivatives such as stocks, warrants, stock index futures and commodity futures. Currently, he is mainly responsible for the structure and development of the company’s overall operational decision-making and investment system. Li Wenhuo Li has more than 10 years of experience in programmatic development and trading of stock indexes and commodity futures. He has participated in the early development and maintenance of domestic pyramid programmatic software, and is good at programmatic strategy development. The strategy model has been sold for many years. At present, he is mainly responsible for the framework construction and strategy development of the company’s investment system technology platform.
In addition to the two shareholders, the core investment and research team has the following characteristics:
One is rich investment experience . Including the two partners, our core personnel basically have more than 10 years of CTA transaction experience.
Second, the overall team stability is high . The core personnel come from some securities companies and some leading institutions of futures. It can be said that the core personnel of the entire team have not been lost since joining.
Third , the research on strategy is on the cutting edge . The investment research team graduated from well-known universities at home and abroad, and has strong learning and iteration ability. This is a reflection of long-term competitiveness for the development of the entire company.
Q: Can you introduce the company’s core strategy and characteristics, and what are the advantages compared to other CTA managers in the market ?
A: Quantitative CTA strategy is to develop corresponding strategies around multiple dimensions. The strategy has high richness and diversified income. The sub-strategies can achieve good complementarity and balance in the overall portfolio. Compared with single-style strategies, the stability and adaptability of the portfolio have been greatly improved. To achieve multi-logic and multi-dimensional coverage in the breadth of the strategy, and at the same time achieve more refined execution in the depth of the strategy.
The first is to cover the mainstream varieties, so that the varieties are scattered
The varieties we cover are basically 40 to 50 mainstream trading varieties, including their main contracts and sub-main contracts. We will develop corresponding transactions that cover the underlying targets. Whether it is a trend strategy or an arbitrage strategy, we are basically all varieties. Covered, very spread out positions.
The second is multi-cycle, our strategy will cover different dimensions and be more adaptable to market conditions at different stages
In terms of cycle level, the proportion of medium and long cycles is about 25%-35%, the holding period is about ten to twenty trading days, the proportion of short periods is about 10%-20%, and the holding period is about 10 to 20 trading days. About three trading days, and the medium-cycle position strategy, the position is about 5-10 trading days.
Finally, the sub-strategy correlation is very low and the complementarity is relatively strong.
In terms of strategy performance, Quantitative focuses more on the diversity of strategy logic and the accumulation of strategy libraries. The trend strategy is adapted to the profit opportunities brought by the trend market, and the multi-factor arbitrage combines the volatility characteristics of the market situation to capture the price strength relationship between varieties, which is a type of α-type strategy. The strategies are highly complementary, and the products of the selected series are more adaptable. Whether it is a trending market or a volatile market, there are corresponding strategies to capture profit opportunities . The stability of the combination is stronger. Compared with a single strategy, the overall fluctuation can be better controlled, and a long-term relatively certain return target can be pursued. The medium and short-term trend strategy accounts for about 10% of the weight, the medium and long-term strategy accounts for about 30%, and the multi-factor arbitrage is about 60%. This structure is a combination target that we think is the best Sharp. The proportion is relatively fixed and will not be based on subjective style. judgment to adjust the weight.
Advantages: From the results, the advantage lies in the accumulation and reserve of the strategy library, in order to capture relatively more certain sources of income in the more complex market environment in the future, and maintain the long-term effectiveness and long-term competitiveness of the strategy. But fundamentally, it comes from the investment and research team’s ability to update and iterate. Long-term experience in trading and strategy development enables the team to have a deeper understanding of the market and to be able to follow changes in the market, maintaining a regular update and iteration rhythm.
Q: Can you briefly introduce the characteristics of each sub-strategy and the applicable market conditions?
A : Trend strategy: It has better performance in the stage where the trend style in the market continues. According to the difference of cycle levels, different cycle trend strategies capture the profit opportunities brought by different market levels, and the profitability is not good in the market return or relatively volatile market stage.
Long-short strategy: In the stage where the strong and weak differentiation between varieties or sectors in the market is relatively continuous, it has better performance. The long-short combination positions are more diversified to adapt to the market, and the market has a better level of volatility and the style is more sustainable. Profitable space. Poor profitability for market turmoil.
Q: Please give an example to illustrate the advantages of the CTA strategy and whether it can deal with different market conditions.
A: For the selection strategy, it is a composite product line. Its great advantage lies in the diversification of combination strategies, and the diversified combination methods are not only trends, but also include arbitrage strategies to deal with different cycles and different market conditions. In short, its dependence on market style is lower than that of a single strategy, and its combination stability is stronger than that of a single strategy. This is actually the advantage and source of the selection strategy.
Selected and diversified strategic combinations can play a better role in adapting to different and complex market conditions. For example, in 2018 and 2019, the market style switching was more obvious in the past two years, and the selection also achieved relatively good performance during this period. Including the market style of this single market in 2020, the medium and long-term trend strategy captures the profit opportunities brought by the general market trend.
Q: What are the current product lines and what is the historical performance of the products?
A: At present, the main product lines are the cta product line (selected series) and the multi-strategy product line (cta + index increase). Cta has undergone a long-term test in the market, and its performance can refer to the trend of selected net worth. The multi-strategy product line is a mixed strategy of stocks and CTAs. In the past two years, the performance of CTAs and the stock market has not been consistent, and there are more negative correlation and complementary characteristics, especially the extreme market conditions of CTAs in the past 21 years and recent years. During this period of extreme stock market conditions, multi-strategy shows more characteristics of portfolio stability, has better control over retracement, and can also achieve absolute returns.
Q: The CTA strategy has performed very well this year. What do you think of the current CTA market? Is now still a good time to buy CTAs ?
A: For quantitative strategies, we pay more attention to the trading environment of the market, or the structure of investors. For this year, we feel that the CTA market is more environmentally friendly than last year, and is more suitable for quantitative strategies to operate. Most of the quantitative CTA strategies did not perform well last year, mainly because of the impact of external intervention, which caused an impact on the price, resulting in some disorder in many futures products in the market, and the rules could not be captured. Difficult to adapt to.
This year’s regulatory level is relatively weak, unlike last year’s large-scale and high-intensity regulatory approach, so overall, this year’s market environment provides a relatively good space for quantitative CTA strategies, and the allocation value of CTA will be further highlighted.
From the perspective of the volatility level of commodities, for quantitative CTA strategies, or for most CTA strategies, one condition for making profits in the market is that the market has a relatively reasonable volatility level, and CTA essentially earns volatility. money. At present, the market still maintains a relatively large volatility level, and many uncertain factors coexist, including geopolitical factors, including weather disasters, etc., there will be some opportunities in some varieties or some sectors.
As long as there is a contradiction between supply and demand in the spot market, it will lead to the interpretation of the price of commodities. This process has a certain space for capturing revenue for quantitative CTA.
Regarding the question of whether it is time to buy CTAs, we are more concerned about the configuration value of CTAs. From the perspective of configuration, it is difficult to judge the short-term timing, but from a long-term perspective, CTAs The ability to obtain sustainable positive returns is significant. In the long run, as long as you can hold it for half a year or more than a year, or even a longer time period, it is more suitable to configure the CTA strategy.
Most individual investors do not tend to do CTA timing. Generally speaking, the general principle is not to chase high. It is a better time to have a stage of retracement, or to intervene in a stable stage . Because the CTA market is unpredictable most of the time, we spend most of the time doing a good job in the strategy, and then wait until the entire commodity market has such a trend or fluctuation, or a strong and weak relationship, which brings profit opportunities to our strategy.
Q: Last year, the CTA market was relatively difficult to do. How did the measurement products perform?
A: Last year, the market was divided into several stages. In the second half of the year, there were two more obvious V-shaped reversal stages. One started in mid-May. In addition, the policy in October intervened again on black, especially in thermal coal. intervention. We are a full-variety investment strategy, and the reversal or trading restrictions of a single product have less impact on our portfolio. However, the overall reversal of the market will face certain retracement pressures for the CTA strategy, especially the medium and low frequency strategy. We also experienced a relatively large retracement at that time.
After the period from May to August last year, policy supervision weakened and strategies began to adapt to the entire market again. The adaptive ability of the strategy is still relatively strong. Since August, the strategy of selected products has gradually repaired and withdrawn, and several groups of sub-strategies are continuing to hit new highs. In the secondary supervision stage, we were in a state of sideways fluctuations, and hit a new high in January this year. Of course, there are also many factors, including that we have put a lot of effort into the update and iteration of the entire strategy, and we have continued to make the strategy more extreme in depth and more diversified in breadth.
Q: How is the risk control management done? How to control the pullback in the face of some unexpected situations? (For example, sudden regulation at the policy level?)
The risk control of quantitative strategies is more about risk control management from the source of strategy logic, and more methods are expressed in the form of models. In principle, the strategy does not intervene in the actual operation and implementation process. In the face of some extreme market conditions such as supervision and other factors, timely intervention will be taken. For example, the transaction meets the relevant requirements of supervision, and on the other hand, it controls the structure or position, and the specific intervention method takes corresponding measures according to the actual situation.
$ Quantitative CTA Selection No. 1 (P001054)$ $ Quantitative Multi-Strategy Enhancement No. 1 A (P001055)$
[Risk warning: The content of this article does not constitute any investment advice or investment basis]
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