Private Equity Perspectives (December 2023):
Combined with odds, macro, trend and strategy environment, index enhancement strategy, CSI 500 is currently recommended
Looking at the macro, trend, strategic environment and congestion, CTA strategy is more advantageous in the short and medium cycles
However, due to the turnover rate and differentiation to a low level in the past 1 year, the proportion of the number of super-indexes is differentiated, and the hedging cost has risen to an annualized high of about 10%, which makes the overall environment unfavorable to the market-neutral strategy
High-quality author list - The volatility of the underlying index of options has fallen to a one-year low, with the volatility of the CSI 300 at 10% and the volatility of the CSI 500 at less than 12%. Historically, this volatility is likely to occur. Therefore, it is necessary to beware of risks in the later stage of option puts;Conversely, for the option volatility arbitrage strategy, it means that the future income opportunity increases;
ETF intraday volatility is related to the intraday T0 income space, and activity (turnover) is related to discount premium, both of which jointly affect ETF arbitrage strategy. At present, both are at a low level, and the income environment of ETF arbitrage strategies is poor.
Private placement due diligence and recent product recommendations
Since the beginning of this year, the professional research team of Dip has investigated more than 100 private equity firms, and for the due diligence targets, Dip has strict screening criteria, spending limited energy on the objects worthy of due diligence, and will integrate the performance, team background and industry reputation before the due diligence, and combine the current macro environment, such as the recent focus on the mining of medium and low volatility strategy managers.
The research potential list includes: recommendations from professional institutions (top brokers), excellent FOF asset managers and managers in the industry, through data mining (market list + data screening), institutional hot sales (mainstream institutions are on sale), and strive not to miss outstanding managers worthy of attention in the market.
When evaluating private equity managers, Dip focuses on the following points:
The maturity and stability of the investment research team.
The ability to iterate on the strategy and its proof.
Multi-dimensional analysis and comparison of performance.
Strategy Features and Whether There Are Barriers - Scarcity of Shares & Scale Dividends.
Combined with the analysis of the current market environment, it is recommended to have products with phased beta.
Under these standards, Dip launched the product recommendation manual for December, and Shao Nan listed the characteristics and reasons for recommendation of some typical products at the meeting, as follows:
Low volatilityTaoli's option arbitrage strategy, the reason is that the market volatility has come to a very low position, if the volatility rises, it is conducive to the play of the option arbitrage strategy, Taoli has focused on option arbitrage for many years, and has achieved good returns this year.
As a veteran quantitative manager, Yuanlan has a relatively complete product line in CTA, quantification** and arbitrage, and multi-strategy products are dynamically allocated in each sub-strategy, striving to create stable returns under the premise of strict risk control (the maximum drawdown does not exceed 2%), and the income has exceeded 1% in the past month.
Quantitative managers
Fir trees, the scarce alternative factor-based managers in the market, with alternative factors accounting for more than 70%, are over-excellent, the factor decay is slow, and the correlation with similar strategies in the market is low.
Toth, the manager is characterized by deep machine Xi, minimal risk exposure, and low excess volatility. Huiyan: Distinctive cutting-edge private equity, portfolio arbitrage strategy income is diversified, and the net value curve is stable.
Subjective manager
Qinchen, the main **manager Lin Sen is a veteran ** manager of E Fund, with excellent historical performance, but he is not a group-type track player, he belongs to the left side of the value growth style, and his alpha mining ability is outstanding, and it is still a positive return this year.