CTA yields ranked in the first year of private equity strategies, and more than a thousand new products were established in the first year

Author:Securities daily Time:2022.06.17

17jun

Wen | Wang Ning

Since this year, for private equity funds, the CTA strategy (commodity trading consultant strategy, also known as management futures) has won one fell swoop in many strategies, on the one hand The number of products has exceeded a thousand. According to the latest data from the private equity row network, as of June 16, the average return rate of the CTA strategy during the year ranked first with a score of 4.26%. At the same time, the number of new products reached 1096. The CTA strategy is divided into two categories: subjective and quantitative. The subjective CTA strategy is a subjective research judgment based on the fundamental and technical aspects of the fund manager, while the quantitative CTA strategy is to analyze the establishment of a quantitative trading strategy model. Investment decision -making by the trading signal generated by the model, there are fewer human intervention factors. A number of private equity managers told the Securities Daily that based on the flexibility of strategy and investment opportunities expressed in the market during the year, CTA products have become the most popular private equity funds this year. The enthusiasm of the product is accelerated. Looking forward to the second half of the year, the Federal Reserve ’s interest rate hike rhythm, the continuous spillover of geopolitical risks, and the expected growth of domestic economic growth will provide more investment opportunities for the commodity market. It is expected that CTA products will also get better yields. Nearly 50 % of CTA products have been known as the "crisis Alpha" during the year. Due to the low correlation with the non -commodity assets of the stock market, it has attracted much attention from the market. In the past two years, in the background of the stock market, the fluctuation rate of the commodity market has increased, which provides basic conditions for the CTA strategy to obtain a better yield. According to the latest data of the private equity row network, the number of CTA products in recent years has shown an increase year by year. In 2019, only 1056 CTA products were established in the market. In 2020, there were 1483 products. In 2021, the number of products increased to 3023. As of now, the number of new CTA products this year has reached 1096, which is basically the same period last year. Since the beginning of this year, the average yield of CTA products has ranked first in the eight major strategies. Data show that the average yield of 2285 CTA products with performance records during the year was 4.26%, leading ahead of the stock multi -strategy. Among them, 1121 CTA products achieved positive returns, accounting for 49.06%. Among the positive income products, 184 yields between 20%and 50%, 37 yields exceed 50%, and the highest yield rate is 431.67%. Among the negative income products, 89 drops have fallen by more than 20% The minimum yield was -74.08%, and the first performance was 505.75%. From the perspective of the other seven major strategies, although the solid income has become another strategy to achieve positive returns during the year, its average yield is only 1.26%. The stock multi-header strategy rebounded sharply in May, but it still ranked seventh with the average yield rate of -13.90%during the year, which was only higher than the average yield of the event-driven strategy; It is -0.69%, -6.69%, -6.82%and -7.30%. It is worth mentioning that the 29,000 private equity securities funds that have been established for 5 months and have recorded records have an average return of -5.99%during the year, and 7,249 only obtain positive returns, accounting for about 25%. Yin Zhiyu, general manager and investment director of Qingqian Private Equity Fund, told a reporter from the Securities Daily that since this year, in the face of various uncertain factors, investors' risk dislikes have continued to rise, overall market investment preferences have contracted, global stocks and global stocks and global stocks and global stocks and global stocks and global stocks and global stocks and global stocks and global stocks and global stocks and global stocks and global stocks and global stocks and global stocks and global stocks and global stocks and global stocks and global stocks and global stocks and global stocks and global stocks The bond market has been impacted to varying degrees, resulting in poor performance of investment funds with related large categories of assets. Correspondingly, these uncertainties have increased the volatility of the commodity market. The prices of multiple varieties such as crude oil and coke reached a new high in nearly ten years, and the volatility of other commodities is also higher than the historical average. The CTA strategy represented by commodity futures options, the performance of the year is more eye -catching. It is expected that the private equity fund manager will continue to win stock debt products in the second half of the year that in addition to providing a foundation for the improvement of the commodity market volatility, the unique flexible characteristics of the CTA strategy are also one of the important factors for their good returns. "Relative to other strategies, there are several advantages of the CTA strategy: first, the correlation with the stock and bond market is low, the other is that the leverage mechanism has improved the opportunity to obtain a positive yield, and the third is that the long -short trading mechanism is more flexible. "Yin Zhiyu said that the futures market is a two -way and T+0 trading mechanism, and its flexible characteristics may obtain positive returns when price rise and fall. This is very different from the T+1 mechanism in the A -share market. At the same time Lord, due to the asset's short -term transaction mechanism, can participate in transactions to obtain income. Wang Jun, chief strategy analyst of Hei Wing Assets, told reporters that the CTA segmentation strategy is relatively abundant and can capture more profit opportunities. The competitiveness of the core of this type of strategy needs to make a series of diversified combinations in order to make the overall strategy performance even more Long -term stable. For investment opportunities in the second half of the year, a number of private equity managers still hold a more optimistic situation in the CTA strategy. Hou Yanjun, general manager of Hou Shicheng, told a reporter from the Securities Daily that commodity assets are the best target of the CTA strategy. Whether it is high -frequency, arbitrage or trend, etc., its profitability is relatively stable. Manager's ability.

Since the beginning of this year, the commodity index is high and the market volatility has increased. This has provided the foundation for CTA products to obtain high yields. Based on the domestic and foreign market fundamental uncertainty judgments, the CTA strategy in the second half of the year still has greater investment opportunities."The Federal Reserve's later interest rate hikes and rhythm, whether the geopolitical risks continue to spill on and the implementation of the relevant measures of domestic economic growth are the three important logic to determine the future investment market investment." Yin Zhiyu said that in the second half of the year, the volatility of the commodity market remains maintainedThe possibility of high levels is high, which is in line with the CTA strategy investment characteristics and is expected to continue to win the debt strategy.