Short U.S. debt and long crude oil!

In the turbulent market environment this year, the “niche” macro strategy funds in the past are moving towards the “mass”. The fund manager learned that there were tens of billions of private equity macro funds sold in channels last week, and the first phase of 200 products has a quota of half an hour. Was robbed. In the market that fell sharply after the Spring Festival, some macro strategy funds created positive returns by going long in crude oil, copper and other industrial products, shorting U.S. bonds, buying cyclical stocks and hedged with stock index futures.

This year bucked the trend and created positive income

Macro strategy funds are sought after by customers

Macro strategy funds are sought after by customers

The fund manager recently learned from a large bank channel that the third phase of the newly issued macro allocation fund of tens of billions of private equity Lerui Assets has a total of 600 places in 3 numbers. It will be sold out in less than three days. “Among them, the first number is a total of 600 places. 200 places were robbed in half an hour, and customers are very active in subscribing to macro funds.” Channel sources said.

It is understood that Le Rui Assets was established in 2011 and is China’s first bond private equity fund. Its founder, Tang Yiting, is the first-generation investor in China’s bond market. He once worked at the head office of Agricultural Bank of China and Essence Securities, and has about 25 years of capital market. Investment and research experience, the company’s core team has more than 15 years of experience in the bond market on average, and has stable investment performance that spans multiple market bullish and bearish cycles. At present, Le Rui has offices in Beijing, Shenzhen and Hong Kong, and its investment business is deployed in domestic and overseas capital markets.

In fact, in this year’s volatile market environment, macro strategy funds have achieved good returns. According to the incomplete statistics of private equity rankings, as of March 18, the average return of 268 macro strategy funds with performance records this year was 2.12%, of which 167 funds achieved positive returns this year, accounting for 62.31%. Among them, the macro funds managed by private equity such as Le Rui Assets, Botong Investment, Honghu Investment, etc. have bucked the trend and created absolute returns in the post-holiday market plummet. Some private equity has even exceeded 20% this year.

There is also a private equity source who said, “This year the company’s macro strategy products have achieved more than 15% of returns. Although the market has fallen sharply in the past month, our fund still achieved a positive return of about 3%.”

What is a macro strategy fund? It is mainly based on the judgment of the macroeconomic environment, through the allocation of multiple types of assets such as stocks, bonds, commodities, overseas stocks and bonds, and taking profit in both long and short directions, to solve the problem of the current market single asset strategy phase failure . Macro strategy funds used to be relatively “niche” in the asset management industry and looked “high and low”, but now they are recognized by more and more investors and are becoming more and more “popular”.

How will the macro strategy fund invest this year?

Allocation of low-correlation assets such as stocks and commodities

The fund manager understands that a group of people in the domestic asset management circle are good at making macroeconomic judgments and actively invest in macro strategies, hoping to obtain more diversified returns.

A person from Le Rui Assets told the fund manager, “Ler Rui’s macro funds can allocate various types of assets such as stocks, bonds, and commodities, and various assets are fully rotated and adjusted at 0-100%. In January of this year, we An investment outlook for 2021 was released. At that time, it was pointed out that the bond market was still down. From a macro perspective, the global economic recovery is driving the PPI upward. With rising inflation expectations, bond interest rates are expected to rise and bond prices are expected to fall. Therefore, our small positions are shorting Treasury bonds. Futures. In addition, with the resonant recovery of the global economy, the 10-year U.S. Treasury bond yield is expected to rise. We shorted some U.S. Treasuries through yield swaps.”

At the same time, the person also said that in early January, with the continued recovery of the Chinese economy and the expected recovery of the U.S. economy, the demand for industrial products is expected to recover more strongly; however, it is subject to the targets of capacity destruction, environmental protection and carbon neutrality during the epidemic. The increase in supply is still limited, and commodity prices will usher in an upward window when supply exceeds demand. With the release of the vaccine and the easing of the epidemic, gold has rebounded in overall output from cyclical sectors in the United States, and U.S. bond interest rates have risen this year. Therefore, in terms of operation, it is long in crude oil, copper and other industrial products, but short in gold. In terms of equity, it laid out some pro-cyclical targets. Le Rui Assets timely reduced its equity positions through stock index futures, avoided the market crash after the Spring Festival, and firmly grasped the fruits of victory before the holiday.

Botong Investment said that the current overall stock position is nearly 90%, but the combined short IF futures index currently has a combined naked long position of about 70%. “We did not respond to market volatility by lightening our positions. The main reason is that our stocks are all good companies and are at good prices. Under such volatility, on the one hand, they are relatively resistant to falling, and on the other hand, after the market turbulence stabilizes in the future, these low prices. Good valuation targets will be further recognized by the market. Our strategy this year is’multiple IC futures (CSI 500 stock index futures) + short IF futures (CSI 300 stock index futures)’, the former obtains alpha through fundamental stock selection Earnings, the latter hedged and smoothed the net value by shorting the Shanghai and Shenzhen 300 stock index futures.”

The first half of the year is bullish on industrial products and equity, bearish on bonds

Macro strategy funds from “niche” to “mass”

Regarding this year’s market, Le Rui Assets stated that with the support of positive forces such as the gradual implementation of vaccines and the introduction of counter-cyclical adjustment policies in 2021, the kinetic energy of the global economic rebound will be gradually released. Together with the supply-side liquidation status, the European and American markets will face inflation in the future. Risks: China’s economy is also expected to move up further, and monetary policy will gradually return to regularization. “In terms of investment operations, it is difficult to quickly turn the macro trend once it takes shape. Therefore, the investment outlook given by Le Rui Assets in the first half of 2021, which is optimistic about industrial products, optimistic about equity, and pessimistic about bonds, will continue to guide the operation direction of the macro strategy. ”

Bottom Investment believes that under the support of a low base, the profit growth rate of non-financial companies is expected to rebound to more than 20% in 2021. The profit growth rate is relatively high. At the same time, under the background of relatively mild credit crunch, the stock market should not have an overall large scale. Kill the risk of valuation, and the current overvaluation of the stock market is structural, and there is no overall overvaluation bubble. “At present, two core configuration directions are combined. One is the leader that has been discriminated against due to industry reasons, mainly real estate and energy; the other is the potential leader that has not yet fully formed a consensus in the new track, including SAAS and some new consumption scenarios. In the process of structural valuation compression, it is inevitable that the market will experience increased volatility. We will also use a variety of tools such as futures and options to balance the overall portfolio.”

The macro strategy funds that used to belong to the “niche” are now moving towards the “mass”. Le Rui Assets stated that the more complex the environment, the easier it is to highlight the advantages of macro strategies, because it can comprehensively compare stocks based on the grasp of macroeconomic cycle changes. , Bonds, foreign exchange, commodities and other assets, focus on investing in the best track, so as to solve the problem of phased failure of single-asset strategy. “Although the macro strategy has not been developed for a long time in the Chinese market, in recent years, the representative fund of this strategy has performed well in the market. It has traditional investments including crossing the bull-bear market cycle and having low correlation with single strategies such as stocks and bonds. The characteristics that the strategy does not possess have attracted more and more investors’ attention.”

Bottom Investment stated that, frankly speaking, the long-term performance of domestic macro hedging strategies has not been excellent, and the performance stability is difficult. Unlike futures commodities and other markets, stock assets belong to a zero-sum game, which can be obtained by selecting stocks to follow the growth of the company. Alpha earnings. “It is precisely for this consideration that Bottom currently judges asset opportunities based on a macro perspective and builds investment portfolios through hedging tools and barbell structures.”

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