Almost all billion-level algo institutions have a strategy called index enhancement.

The gist of this strategy is that algorithmic giants generate returns surpassing the market through their own strategic trades.

But this record was broken in September 2024.

During the late September market, algorithmic giants generally encountered 'weak' performance in returns.

Neutral strategies suffered from the disadvantage of futures and spot coordination, while index enhancement did not yield much, only pure all-market stock selection seemed relatively effective.

What is the reason behind this?

"Bull market" arrived too quickly!

The adjustment and surge in this round of market are equally intense.

From September 24th to September 30th, almost every day the market's gains exceeded investors' expectations, including many institutions.

Otherwise, it is difficult to explain why there are so many 'regrets' and 'hesitant inquiries' in the institutional groups.

But before many investors fully reacted, the market swiftly underwent a sharp correction, followed by a rebound after another round of adjustment.

Between rise and fall, this market caught most people off guard and unprepared.

What are the achievements of the 'top' private equity?

So, how have the days of the algo giants been going in the A-share market since late September?

It can only be said to be mixed feelings.

Some institutions have kept pace with the index, while some giants have lagged behind!

Statistical data from third-party platforms shows that in today's "top-tier" algo private institutions with assets exceeding 60 billion yuan, such as Jiukun Investment, Minghong Investment, Yanfu Investment, etc., have undergone a thorough test in this recent bull market.

From September 23 to October 11, the range of increase for the SSE composite index, csi 300 index, and csi 500 index was 17.57%, 21.43%, and 21.62% respectively.

Among them, Jiukun Investment, Minghong Investment's all market stock selection products have outperformed the broad-based indices during the mentioned period.

The enhanced index products did not compete fully.

We note that Yanfu's csi all share index-enhanced product, during the same period, only outperformed the sse composite index, but failed to beat other broad-based indices.

It's worth noting that in the past two years, Yanfu Investment's performance has always been leading in the industry. Their product research always brings "new tricks", having previously launched the small market cap strategy product in the industry the earliest, and perfectly caught a wave of micro-cap stock trends.

In March 2024, this institution launched the csi all share index product mentioned above. The founder Gao Kang graduated from the Massachusetts Institute of Technology, and previously worked at Two Sigma, a quant company on Wall Street.

In fact, the algo product line has been iterated over the past five years, mainly focusing on enhancing the performance of the csi 500 index before, and then the 'top-tier' institutions expanded their stock selection to all market, competing with subjective bulls.

There is a performance gap year-to-date.

Futubull noticed that in a weekly report sent by a top private bank to clients, the performance of various quant giants' quantitative stock selection strategies was mentioned, and the gap in annual returns among them is worthy of attention.

(As shown in the figure above), this private bank listed the daily gains on September 30th (the first column), and on the same trading day, the stock selection strategies of the aforementioned institutions actually did not show significant differences, with a gap of less than two percentage points from top to bottom.

Looking at the cumulative performance, the gap between the quant giants is quite significant in the first three quarters of this year: the highest performer gained over 8 percentage points in annual returns, while the lowest performer incurred a 6% loss.

From an investor's perspective, even if the algo products bought catch up with this rebound, it is likely that holding returns are still subpar. Quantitative investment still requires a long-term view.

Does AI not help much?

The former leader of algo trading, Huantai Quantitative, used to be the only algo hedge fund with a scale exceeding one trillion yuan, but in recent years, their focus seems to have diversified.

Some senior executives seem to gradually shift their focus to areas outside of private equity asset management, such as ai.

However, according to third-party sales platforms, from September 23 to October 11, the Huantai CSI 500 Enhanced products did not consistently outperform the benchmark index.

This means that even in a strong market environment, institutions with strong technical capabilities may not necessarily always outperform the bull market.

The current situation of emerging algo trading

In reviewing the billion-dollar algo trading firms of 2024, it is essential to mention two institutions, one is Widehedge Investment and the other is Panson Asset.

They were the 'fundraising stars' of the private equity industry in 2023 and 2024, with their scale growth over two natural years making their peers 'envious'.

Among them, Widehedge Investment was favored by many channels in the first half of last year, raising over a hundred billion yuan in funds. However, due to rapid scale growth, its performance temporarily lagged behind.

According to third-party platform information, Quantitative Investment's all market stock selection product (displayed on that channel) underperformed the SSE Composite Index from September 23 to October 11.

Let's take a look at Panson Asset. This institution's official website once disclosed that its managed assets reached 5 billion yuan by the end of March this year, and surpassed the hundred billion mark by early July.

Due to limited information, we cannot determine whether Panson's growth is attributable to its performance itself (including leverage) or to fundraising through channels.

We found Panson's CSI 500 index-enhanced product, which outperformed the benchmark index by less than one percentage point from September 23 to October 11.

One narrowly wins, one temporarily lags behind, the first battle of the quantitative hedge funds in the market is a tough one.