Quantitative Hedge Fund Product Design Based On Alpha Strategy

The securities market has been growing in recent years,financial derivatives have been launched,more and more tools have been sold,and the complexity of products has gradually increased.Many investors have started to buy fund products with low volatility and moderate returns.Quantifying hedge fund products is a kind of trend finance with a wide range of investments,multiple investment strategies,stable returns,low volatility,low correlation with stock market indices,portfolio value,and better risk-adjusted returns.tool.This article builds a quantitative hedge fund product based on a multi-factor alpha strategy to achieve the demand for investors to pursue absolute returns.The idea of ??the Alpha strategy is based on the capital asset pricing model.In this model,the yield of the portfolio is the sum of the risk-free interest rate plus risk compensation.Therefore,the higher the return,the greater the risk assumed.The ?value determines the expected return of the portfolio.The higher the ?,the higher the expected return,the lower the ?,and the lower the expected return.The Alpha strategy refers to the establishment of a spot position with an alpha value under the condition of avoiding systemic risk,and the stock index futures are short positions,so as to earn a gain that exceeds the market index.In order to get alpha earnings,stock picking and short stock index futures are the key.As the time for the launch of stock index futures in China is still short,the A-share market is in a transitional period when regulations and supervision are weak,and there is an opportunity to earn returns that exceed benchmarks.Therefore,the quantitative hedging industry has very promising prospects.This article focuses on the overall design of the product and analysis of the product's benefits and risks.Firstly,the market demand analysis and design principle of the product are described.Positive and negative factors are selected based on the multi-factor model,and they are subjected to extreme value and standardized data processing.The comprehensive scoring method is used for stock screening to construct the spot portfolio,and the adjustment cycle is adjusted.For a month.Then calculate the hedge ratio to allocate funds,and use the ratio to short the CSI 300 stockindex futures to build a quantitative hedge fund product.Then select the data for the past five years to conduct the historical backtesting.From the four indicators of the product's net value,yield,Sharpe ratio,and information ratio,analyze the product revenue in detail.From the two indicators of the risk of return and the maximum rate of return to the risk Analysis;mainly from the three aspects of impact costs,basis risk,capital allocation risk to take risk control.Through empirical tests,we have obtained a result that the net value of the product has grown faster than the benchmark net value,and the volatility and the maximum pull-back rate have been significantly lower,indicating that the product design based on the alpha strategy is effective.Finally,the full text is summarized and related deficiencies and prospects are given.