Skip to content
All library documents

A 2022 Snapshot of Public and Private Quantitative Fund Returns

Article BigQuant
Read the original

Summary

This report reviews Chinese public quantitative funds and private quantitative market-neutral strategies using observations available through March 2022. It groups public funds into market-neutral products, CSI 300 enhanced funds, and CSI 500 enhanced funds, using the median daily return across surviving funds to represent each group. It also tracks an index of private market-neutral funds and monthly results for ten relatively large quantitative managers.

The reported figures show differing results across groups: public market-neutral funds had negative aggregate returns year to date, while both index-enhanced categories had positive aggregate excess returns. Private market-neutral products also showed a small positive year-to-date return, alongside a range of February manager results that included a negative result. These are historical snapshots, not strategy tests or evidence of persistent alpha. The analysis depends on selected fund populations and short reporting windows, and it explicitly cautions that future market conditions may differ from the historical period.

Key ideas

  • The report tracks three categories of public quantitative funds and private market-neutral products.
  • It uses median daily returns to summarize each public fund category.
  • The reported year-to-date outcomes differed between market-neutral and index-enhanced funds.
  • Ten large private managers are compared using monthly market-neutral returns.
  • The short historical window does not establish persistent performance, and results may change with market conditions.

Tags

EquitiesChina marketsStatisticsFactor investing

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.