近七成告负，量化对冲策略何以失效？

Core Viewpoint - In the past year, nearly 70% of quantitative hedge fund strategies have reported negative unit net value growth despite a bullish market, primarily due to rising hedging costs, insufficient style adaptability, liquidity pressures, and strategy homogeneity [2][4][9]. Performance Overview - As of August 22, the Shanghai Composite Index, Shenzhen Component Index, and ChiNext Index have seen cumulative increases of approximately 34%, 49%, and 73% respectively over the past year [6]. - Among 23 quant hedge funds, the average return was -1.04%, with 16 funds showing negative growth, accounting for nearly 70% [6][8]. - The best-performing fund, Zhongyou Absolute Return Strategy, achieved a unit net value increase of 5.56% over the past year [8]. Factors Contributing to Poor Performance - Rising Hedging Costs: Increased costs due to reduced or reversed futures discounts have significantly impacted fund returns, with the recent futures discount rates for the CSI 500 and CSI 1000 reaching 3.2% and 4.5% respectively [10][11]. - Insufficient Style Adaptability: The current market structure's increasing divergence poses challenges for strategies reliant on a single style, making it difficult to keep pace with rapidly changing market trends [10]. - Liquidity Pressures: Increased trading activity in a bullish market has led to greater liquidity fluctuations in small-cap stocks, complicating the rebalancing efforts of quant hedge funds [11]. - Strategy Homogeneity: The rising concentration of mainstream quant strategies has led to accumulated risks, making it challenging for some funds to achieve excess returns through differentiated strategies [12]. Strategies to Enhance Returns - Quant hedge funds are adopting neutral investment strategies, utilizing index futures for complete hedging of long stock portfolios while employing quantitative multi-factor stock selection models [13][14]. - Funds are dynamically adjusting hedging ratios based on basis level changes in index futures to optimize costs and are diversifying their sources of returns by incorporating interest rate bonds, convertible bonds, and increasing long stock strategies [15]. - For instance, some funds have reduced their hedging ratios in response to significant negative basis levels in the CSI 1000 index, while others have included convertible bonds in their portfolios to enhance return elasticity [15].