近七成告负，量化对冲策略何以失效？

Core Insights - In the past year, nearly 70% of quantitative hedge strategy theme funds reported negative net asset value growth despite a bullish market, indicating a significant underperformance compared to the overall market [1][2][4]. Performance Overview - As of August 22, the Shanghai Composite Index, Shenzhen Component Index, and ChiNext Index saw cumulative gains of approximately 34%, 49%, and 73% respectively over the past year [4]. - Among 23 quant hedge strategy theme funds, the average return was -1.04%, with 16 funds showing negative returns, accounting for nearly 70% of the total [4][5]. - The best-performing fund, Zhongyou Absolute Return Strategy, achieved a net asset value increase of 5.56%, while several others also reported positive growth [4][5][7]. Factors Contributing to Underperformance - The underperformance of quantitative hedge funds in a bull market is attributed to several key factors: 1. Rising hedging costs due to reduced or reversed futures discounts, which have significantly impacted fund returns [8][9]. 2. Insufficient adaptability to market style changes, leading to challenges in keeping pace with rapidly shifting market trends [9][10]. 3. Liquidity pressures in a bullish market, making it difficult for funds to adjust their portfolios effectively [10]. 4. Strategy homogeneity, resulting in increased competition and reduced opportunities for excess returns [10]. Strategic Adjustments - To enhance returns, many hedge funds are adjusting their hedging ratios based on cost changes and diversifying their portfolios by including interest rate bonds, convertible bonds, and long equity strategies [11][12]. - Some funds have successfully integrated convertible bond strategies to mitigate risks and improve return potential [12].