恢复年内正收益！量化中性业绩持续修复，私募备案数量回暖

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class="breadcrumb"> 您当前的位置：<a href="/">证券时报</a> > <a href="/article/list/fund.html">基金</a> > <a href="javascript:;">正文</a> </div> <div class="clearfix"> <div class="column-810 l"> <div class="detail-title"> 恢复年内正收益！量化中性业绩持续修复，私募备案数量回暖 </div> <div class="detail-info"> <span>来源：证券时报网</span><span>作者：券商中国沈宁</span><span>2024-12-01 19:54</span> </div> <div class="detail-content-wrapper"> <div class="social-bar"> <div class="tt">点赞</div> <div class="like like-btn " data-id="1433917" data-url="/operation/like.html"></div> <div class="fav post-btn " data-id="1433917" data-url="/operation/collect.html" ></div> <a class="comment" href="#comment"></a> <div class="tt">分享</div> <div class="share-popup social-share" data-initialized="true" data-title="恢复年内正收益！量化中性业绩持续修复，私募备案数量回暖" data-description="恢复年内正收益！量化中性业绩持续修复，私募备案数量回暖" data-image="https://static-web.stcn.com/upload/2024/1201/20/674c5b46019b4dea0683.jpg" data-url="https://h5.stcn.com/pages/detail/detail?id=1433917&jump_type=reported_info" > <a class="social-share-icon icon-wechat wx"></a> <a class="social-share-icon icon-qzone qq"></a> <a class="social-share-icon icon-weibo wb"></a> </div> </div> <div class="detail-content"> <script src="https://static-web.stcn.com/static/scripts/echarts.min.js"></script><p>9月底的一轮股市风格变化，一度令中性策略遭遇挑战。不过伴随市场逐步回稳，中性策略业绩近期正在持续修复。</p><p><strong>年内业绩回正</strong></p><p>股票市场中性策略近期表现回暖。私募排排网数据显示，截至11月22日，股票市场中性策略指数近一周收益为0.71%，近一个月收益为1.45%，表现较之前明显回暖。正是基于市场中性策略近一周的出色表现，其今年以来收益也由负转正。此外，主观多头表现不及量化多头，主观多头指数近一周收益为-1.47%，不及量化多头近一周-0.91%的收益率。今年来亦是如此，主观多头指数今年以来收益仅为0.76%，远不及量化多头5.98%的收益。</p><p>华东某大型量化私募表示，整体来看，基差水平已逐步回归常态，中性策略产品的净值也得到了一定程度的修复。从业绩表现来看，9月27日以来，大部分量化中性策略都已恢复正收益，并创下近两个月以来的历史新高。</p><p>平方和投资研究部指出，2024年中性产品业绩不理想，超额端波动变大，主要是因为今年风格收益波动性的影响增大，风格频繁切换导致超额波动性增加，超额波动性的增加会加大人为主观干预的可能性；基差端也比往年更难控制，9月底这波负基差变成正基差，造成了短期剧烈的业绩回撤，近期重回深度贴水，也让中性产品业绩有所回暖；9月底暴涨行情，点燃了股民们的风险偏好，beta太好的话对中性是不利的，但近期随着市场行情继续震荡调整，在成交量回暖的情况下，使得中性策略获取超额收益的条件正日趋完善。</p><p><strong>仍有配置价值</strong></p><p>今年10月18日，国内知名量化私募幻方量化向投资者公告称，计划逐步将对冲产品投资仓位降低至零，意味着这家量化巨头将正式放弃中性策略。据了解，幻方两年前就已决定专注股票量化多头策略，近年来主动控制资管业务规模，已将主要精力放在自营业务。</p><p>行业巨头的举动引发了业内对于量化中性策略前景的讨论。券商中国记者采访发现，中性策略的前景仍然被不少机构看好。</p><p>上述华东量化私募认为，尽管市场环境可能充满挑战，中性策略仍具备重要的中长期配置价值。对于机构投资者而言，中性策略作为低波动策略，与股票、债券等大类资产相关性较低，可以帮助机构投资者做资产配置。对于个人投资者而言，应综合考虑自身的风险偏好、收益预期以及当前持仓组合，选择适合的策略配置。</p><p>“展望未来，我们仍看好中性策略。一方面，市场情绪的改善和交易活跃度的回升，为超额收益的获取创造了更有利的条件。另一方面，当下股指期货基差的波动逐渐回归常态，基差水平趋于稳定，为新开仓的中性产品运作提供了良好的环境。近期，我们的中性策略已备案新产品，并在多个渠道发行。”该量化私募称。</p><p>平方和投资研究部表示，中性依然有价值，但是需要管理人做出及时的改变，以适应市场的变化，客户也需要更加充分的认识中性的优缺点，理性配置。在超额端，公司会减少模型受风格收益的影响（但并不是放弃风格收益），在遇到风格频繁切换的行情下，降低模型的超额波动。在基差端，进行更加精细化地基差管理，尽可能降低基差波动的影响。只有让超额和基差两端的波动降低，才能降低人为干预的可能，让量化重归量化。对于中性这类有价值的产品，推荐投资者可以考虑在基差合适的时候布局。</p><p><strong>私募备案有所回暖</strong></p><p>今年以来，私募基金整体实现正收益。私募排排网数据显示，截至11月22日，私募基金综合指数今年以来收益为2.55%。分策略来看，五大策略均录得正收益，其中债券策略指数以6.05%的收益领跑，其次是期货及衍生品策略指数，今年以来收益为5.13%，股票策略指数表现垫底，今年以来收益为1.50%。</p><p>Wind数据显示，今年11月，中国基金业协会备案私募新产品795只，数量创出今年8月以来新高，较10月环比增长超三成。在业内人士看来，这是私募行业逐步回暖的信号。</p> </div> <div class="detail-content-editor">责任编辑：陈勇洲</div> <div class="detail-content-tags">  <div>综合</div> <div>私募</div> <div>业绩</div>  </div> <div class="stock-tags"> </div> <div class="detail-content-statement"> <div>声明：证券时报力求信息真实、准确，文章提及内容仅供参考，不构成实质性投资建议，据此操作风险自担</div> <div>下载“证券时报”官方APP，或关注官方微信公众号，即可随时了解股市动态，洞察政策信息，把握财富机会。</div> </div> <div class="comment" id="comment"> <div class="comment-tt">网友评论</div> <div class="comment-input"> <div class="ds-tip"><span login-btn>登录</span>后可以发言</div> <textarea name="content" placeholder="请输入内容" class="hidden"></textarea> <div class="btn send-comment-btn" data-url="/operation/submit-comment.html?table=news&id=1433917" data-id="1433917">发送</div> </div> <div class="comment-tip">网友评论仅供其表达个人看法，并不表明证券时报立场</div> <div class="comment-list"> <div class="empty comment text-center" style="display: block"> 暂无评论 </div> </div> </div> <div class="list-page-tab black"> <div class="active">为你推荐</div> </div> <ul class="list" data-fetch="true" data-url=""> <li 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