量化中性策略到底是怎么赚钱的？买中性产品还要择时吗？

Core Viewpoint - The article discusses the performance and mechanics of quantitative neutral strategies, emphasizing their ability to generate returns independent of market fluctuations while also highlighting the associated risks and costs involved in their execution [2][3][9]. Group 1: Mechanics of Neutral Strategies - Neutral strategies aim to achieve returns that are not correlated with market movements by going long on stocks and shorting index futures, effectively hedging market risk and capturing stock selection alpha [3]. - The concept of "basis" is crucial, as it represents the difference between futures and spot prices. A negative basis (contango) increases the cost of hedging for new positions, while a positive basis (backwardation) reduces costs [5][8]. - The performance of neutral strategies is significantly influenced by the basis level at the time of position establishment, impacting overall profitability [8]. Group 2: Historical Performance - Neutral strategies have shown positive returns from 2019 to 2024, with notable annual variations. For instance, they achieved double-digit returns in 2019 and 2020, but faced challenges in 2024, with a year-to-date return of -2.60% as of October [9][10]. - The article provides a detailed performance table for various strategies from 2019 to 2024, indicating that while some strategies performed well, others struggled, particularly in 2024 due to market volatility and extreme conditions [10]. Group 3: Market Conditions and Timing - The article suggests that the success of neutral strategies is contingent upon market conditions, particularly the availability of excess returns and the level of basis costs. Favorable conditions include high trading volumes and volatility, which enhance the potential for excess returns [15]. - The recent market conditions in 2024, characterized by extreme price movements and liquidity crises, have adversely affected neutral strategies, leading to significant drawdowns [13][14]. - The article concludes that timing is essential when investing in neutral products, as entering during periods of high basis costs can lead to unfavorable outcomes [15].