Core Insights - In the past year, nearly 70% of quantitative hedge fund strategies reported negative net asset value growth despite a bullish market, indicating a significant underperformance compared to the overall market [1][2][6] - The average return of 23 quant hedge funds was -1.04%, with 16 funds showing negative returns [2][3] - Factors contributing to this underperformance include rising hedging costs, insufficient style adaptability, liquidity pressures, and strategy homogeneity [6][8][9] Performance Overview - The Shanghai Composite Index, Shenzhen Component Index, and ChiNext Index saw cumulative gains of approximately 34%, 49%, and 73% respectively over the past year [2] - Among the better-performing funds, Zhongyou Absolute Return Strategy achieved the highest net asset value growth of 5.56%, while other notable funds included Shenwan Lingshin Quantitative Hedge Strategy A and Guangda Sunshine Hedge Strategy [2][5] - Conversely, nine funds experienced net asset value declines exceeding 2%, with four funds dropping over 4%, and the maximum decline approaching 7% [3][5] Year-to-Date Performance - Year-to-date, quantitative hedge funds have shown improvement, with an average return of 0.96% as of August 22, 2023, and 15 funds reporting positive growth [3][5] - The highest year-to-date net asset value growth reached 10.79% for Zhongyou Absolute Return Strategy [5] Contributing Factors to Underperformance - Rising hedging costs have been a significant issue, with the cost of short positions increasing due to reduced or reversed futures discounts, impacting overall fund returns [6][7][9] - The market's structural divergence has made it challenging for strategies reliant on a single style to adapt to rapidly changing market conditions [8][9] - Liquidity pressures in a bullish market have complicated the rebalancing of portfolios, affecting the execution efficiency of strategies [8][9] - The accumulation of similar strategies among mainstream quant funds has led to increased competition and reduced opportunities for excess returns [8][9] Strategic Adjustments - To enhance returns, many hedge funds are adjusting their hedging ratios based on changes in futures basis and diversifying their portfolios by including interest rate bonds, convertible bonds, and increasing long equity positions [9][10] - Some funds have utilized the low correlation between quantitative hedge strategies and convertible bond strategies to spread risk [10]

【导读】过去一年，近七成量化对冲策略主题基金单位净值收益率为负 最近一年，大盘走牛，量化对冲基金却有近七成单位净值增长率告负。对冲成本上升、风格适应性不足、流动性压力及策略同质化等，成为量化对冲基金 在牛市中跑输的主要因素。 为拓宽收益来源，不少对冲基金在根据对冲成本灵活调整配置比例的同时，也通过利率债、转债及股票多头策略提升组合性价比。 过去一年 中国基金报记者 王建蔷 天心 近七成对冲策略基金收益告负 最近一年，大盘走牛，大部分基金斩获可观涨幅，仍有部分基金逆市亏损。 据Wind统计，截至8月22日，过去一年，上证指数、深证成指、创业板指累计涨幅分别约34%、49%、73%。 具体来看，收益表现较好的基金中，中邮绝对收益策略过去一年单位净值涨幅最高，达5.56%；申万菱信量化对冲策略A、光大阳光对冲策略6个月持有A 期间净值涨幅分别为4.15%、3.55%；海富通安益对冲A、广发对冲套利期间净值涨幅也均超过1%。 而在亏损的基金里，9只单位净值跌幅超2%，4只跌幅超4%，最大跌幅接近7%。 若将时间区间缩小至年内，量化对冲基金表现明显好转。截至8月22日，这类基金今年以来平均收益转正，为0.96%；其中1 ...

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].