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]