Disclaimer
The content of this article is only open to qualified investors !
Qualified investors of private equity funds refer to units and individuals that have corresponding risk identification capabilities and risk-taking capabilities, invest no less than 1 million yuan in a single private equity fund, and meet the following relevant standards:
(1) Units with net assets of not less than 10 million yuan;
(2) Individuals whose financial assets are not less than 3 million yuan or whose average annual personal income in the past three years is not less than 500,000 yuan.
The financial assets mentioned above include bank deposits, stocks, bonds, fund shares, asset management plans, bank financial products, trust plans, insurance products, futures rights, etc.
This article is the content of the A+CLUB Manager Support Plan Roadshow on August 18, 2023. The sharing guest is Sun Min, the founder of Wuzhi Investment. It is for communication and reference only and does not constitute any investment advice . Welcome to communicate with Director yz1523311 and get the roadshow PPT.
Company Highlights
Wuzhi Investment is a trading-type quantitative private equity fund with quantitative compound trading strategies as its underlying cornerstone, market trends as its orientation, and optimized combinations based on timing characteristics. Find a balance between scientific laws and trading evidence, respect empirical data, and respect market information.
1. Timing system
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Stock + futures timing system.
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Historical verification is effective: long-term bottom prediction and mid-cycle top prediction.
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Grid-based timing signals: long-cycle, medium-cycle, short-cycle "vertical" multi-dimensional and all-round timing judgments in advance. Wait for the market timing of stocks, the timing of small and medium-sized stocks, and the "horizontal" segment timing of commodity futures. "Vertical"
2. Composite strategy line: market diagnosis + time-driven response
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Rich strategy library: Based on the Wuzhi team's rich self-operated strategy library and more than 10 years of technology accumulation in the industry, we can simultaneously obtain multi-dimensional market returns through diversified professional asset allocation methods.
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Three-tier product risk control structure: Programmed real-time market classification, matching strategies, monitoring of global market hot spots, and strategy optimization configuration. Combining market diagnosis and event driving, Wuzhi has achieved true ex-ante risk control at the strategic configuration level, reflecting the greatest advantage of composite strategies.
Company Profile
01Company Profile
Shanghai Wuzhi Investment Management Co., Ltd. obtained the private equity fund manager registration code on October 16, 2020. Wuzhi adheres to a "scientific, agile, stable and practical" attitude and takes the pursuit of absolute investment returns as its own responsibility. Its products include stocks, Multiple product lines such as futures and alternative asset fixed income to meet the different income needs of investors.
02Team introduction
Our trading team has been working together for nearly ten years. Its members come from overseas hedge funds and domestic quantitative leading private equity funds, and its historical performance is at the forefront. Team management is flat, project development is agile, and the reward mechanism is fair. The strategic output of scientific research has a strong academic research atmosphere and focuses on the gradient cultivation of its own talents. The team has PhDs in mathematics, physics and several Physics Olympiad winners. The investment manager trading team mainly graduated from the University of Science and Technology of China and other first-class science universities at home and abroad, including Princeton University, Yale University, Columbia University, Boston University, New York University at Stony Brook, Taiwan Normal University, etc.
03Core characters
Sun Min Quantitative Investment Director Founder
Education background
Ph.D. in Quantum Physics, University of Science and Technology of China, visiting scholar at Dortmund University, has studied the direction of quantum games and quantum computing. He studied under many academicians of the Chinese Academy of Sciences.
past experience
Engaged in quantitative trading for fifteen years. From 2015 to 2018, Yu Mingluo Investment was in charge of the futures quantitative trading group and timing factors. The largest fund management scale is more than 2 billion, and the performance returns during the period of product management are excellent in the forefront of the industry.
strategic background
Stocks + futures, compound trading strategy background. Stock market strategy, dedicated to the programming of high-yield stock alpha investment strategies, and good at making prediction models (timing models) with high success rates and effective information. Futures market strategy, research and development of complex CTA strategies based on volatility allocation, customized cross-market multi-strategy composite products. Based on the strategic research and development framework built on data mining + artificial intelligence technology, the team has led the team to become one of the first teams in China to apply artificial intelligence to quantitative trading.
04Company selected photos
05 product line
① Wu Zhi Yi X: Managed Futures Series
(Also: highly leveraged managed futures products, closed)
② Wu Zhi 2X: Stock Neutral Series
eg <Wuzhi No. 22> CSI 1000 Neutral Strategy
③ Wu Zhi Three X: Stock Quantitative Long Series
eg <Wu Zhi No. 30> CSI 1000 quantitative alpha strategy (referring to growth strategy)
④ Wu Zhi Five X: Compound Arbitrage Series
eg <Wuzhi No. 50> Derivatives Arbitrage Strategy
⑤ Wu Zhi Six X: Stock relative enhancement series
eg <Wuzhi No. 60> Compound arbitrage strategy
⑥ Multi-strategy hedging and robust products (coming soon)
results showcase
01Stock Relative Enhancement Product No. XX
Based on the Alpha strategy and quantitative timing system of different style indexes, the style weights are dynamically adjusted to dynamically track Alpha. ETF & stock index hedging to protect against negative market trends.
The latest net worth is 2.66, the peak net worth is 2.67, the cumulative profit is 166%, the maximum retracement MDD is 3.98%, and the strategy style is stable.
02CSI 1000 Neutral Product No. XX
It is a low-volatility stock investment strategy, which consists of long-term positions + short-term positions.
Features: The stock neutral strategy is less sensitive to market fluctuations and aims to pursue absolute returns.
The latest net value of historical performance is 1.5, and the peak net value is 1.5.
2023: Cumulative profit 5.2%, maximum drawdown MDD 2.18%, profit-risk ratio 7.2, theoretical risk control line 5%.
03 Derivatives Arbitrage Product No. XX
It mainly consists of derivatives arbitrage strategies, which can better resist the risks caused by market fluctuations during market fluctuations.
Features: Steady income.
Historical performance of derivatives arbitrage (2020-2022): latest net value 1.28, peak net value 1.28, cumulative profit 13.7%, maximum drawdown MDD 3.47%, return-to-risk ratio 3.95, theoretical risk control line 5%.
Historical performance of derivatives arbitrage (2015-2016): latest net value 1.251, peak net value 1.257, cumulative profit 14.7%, maximum drawdown MDD 2.66%, return-to-risk ratio 5.54, theoretical risk control line 5%.
04Multi -strategy hedging and robust product No. XX
Net worth 1.19, peak net worth 1.19, cumulative profit 19.2%, maximum drawdown 0.6%, balanced style.
Earnings annual statistics: 14.3% in 2022, 3.9% in 2023.
Sharing points: Time-based system—— Alternative investment portfolio allocation under the reversal market
The first point is the original intention of founding
The original intention of Dr. Sun when he founded WuZhi Investment was to do something different from the leading quantitative institutions in China. He divided the WuZhi product line into two categories, one is common high-yield strategy products, and the other is products with fluctuations within 5 points. A robust strategy for stock futures options.
Why do the latter? Dr. Sun judged that as the domestic secondary market develops to a relatively mature stage, the strategic excess in the market will decline. Combined with the release of new asset management regulations in 2018, non-standard switching and other demand factors, the subsequent development of quantitative strategies will be based on many factors. The multi-strategy allocation of assets mainly pursues quantitative hedging strategies that are relatively stable and have relatively low exposure.
At present, it is a single-line low-volatility product such as stock futures options, arbitrage strategy, etc. In the future, Wuzhi investment will be combined to build a compound structure product. From the perspective of asset allocation, this type of composite product is logically complete and its style is close to the product style of mature overseas markets. It can basically ride through bulls and bears and generate certain steady returns under various market conditions.
The second source of income
Wuzhi Investment mainly studies the three markets of stocks, futures and options and obtains profits. This ordering is due to the inherent mathematical logic of the three. The stock market can be long and short (domestic only can be long), and the futures market reflects the future direction of the transaction price. The options market reflects the possibility of future trading directions. From a mathematical structure point of view, it shows that the research is becoming more and more advanced. Among them, the futures market is a bridge. In the futures market, you can get some information about the stock market. You can also get deeper psychological reactions from customers from the higher-level options market, and then quantify foreseeable trends and control unforeseen risks to hedge risks. Get revenue.
The third point is alternative market conditions
Most of the profits obtained by most people are in the market under normal and non-abnormal conditions, but the nature of the real market is non-linear and has abnormal conditions, showing the characteristics of non-linear systems, fat-tailed distributions and dynamic games.
If the daily income is distributed according to the daily reviews, a fat-tail distribution chart can be obtained. Two different fat-tails appear in the market as ultra-high profits and losses. The difference from the normal distribution is two or three times the standard deviation. In addition, the probability of fat tails is much greater than the standard assumption, that is, the two extremes of profit and loss occur more frequently in the real market.
What should we do when we are in an alternative market and the strategies we have are not so effective? Dr. Sun believes that we can focus on overseas quantitative hedge funds and what they are doing accordingly. This is a direction that can be explored. For example, after the U.S. subprime mortgage crisis in 2008, the futures CTA strategy, the stock relative enhancement strategy, and the stock smart beta ETF strategy emerged. The quantitative strategies of overseas quantitative hedge funds are more complicated than those in China, mainly to adapt to various market conditions, including normal standard deviation and market conditions beyond three standard deviations.
The fourth point of exploration of self-obsession - alternative investment portfolio allocation
Wuzhi Investment is classified according to the adaptability of the whole market, and has constructed all strategy style types from the bottom up and compounded (futures CTA, arbitrage, stock neutral and stock relative enhancement strategies) as the cornerstone, market-oriented, and timing through stocks + futures The system is optimized and combined to fully cover all types of stock and futures markets, especially falling and V-shaped reversal markets. The products have distinctive features and are complementary to the mainstream market strategies. (See company highlights for details)