In recent years, the rise of quantification has become another beautiful landscape in the private equity industry. Based on mathematical statistics and establishing effective models based on different types of data, many quantitative private equity firms have created impressive r

In recent years, the rise of quantification has become another beautiful landscape in the private equity industry. Based on mathematical statistics and establishing effective models based on different types of data, many quantitative private equity firms have created impressive results. Quantitative private equity, which has unique characteristics and continues to prove its existence through market competitive performance, is growing rapidly.

Recently, we communicated with Mengxi Investment , a quantitative private equity company that has been established for more than six years. We also have a more intuitive understanding of such a quantitative private equity company that focuses on quantification, continues to deepen investment research, and attaches great importance to risk control. understanding.

focuses on quantification and continues to deepen cultivation. In the past six years, Mengxi Investment has been

2016.

Mengxi Investment was founded in 2016. Li Xiang, then a partner of Shanghai High Frequency Investment Management Co., Ltd., a self-operated institution, withdrew and founded a self-operated company. , Shanghai Mengxi Investment Management Co., Ltd. takes asset management as its development direction.

In 2017, the

team began to take shape, and Mengxi officially registered as the manager of private securities investment fund .

In 2019, the company

has grown to about 20 people.

In 2020,

Mengxi’s management scale reached 1 billion yuan, and its team expanded to 40 people. This staffing ratio ranks among the top among quantitative institutions.

In 2022, the size of the

team will grow to about 60 people, with CTA and low-volatility product lines as the core, and the scale of assets under management will be close to 3 billion.

private equity income can be viewed by clicking on the blue text

. It can be seen that Mengxi is a company whose talent reserves are ahead of its technical reserves, and its technical reserves are ahead of its performance. With good performance, Mengxi has also entered the whitelist of many institutions. As of the latest, Mengxi’s management scale is nearly 3 billion yuan.

Although the company only shifted from self-operation to asset management in 2019, in fact, founder Li Xiang’s research and attention on quantitative strategies in the capital market can be traced back to 2008.

Li Xiang began to develop US stock quantitative strategies in 2008. After the launch of Chinese stock index futures in 2010, he began to focus on the research of futures strategies and continued to develop in the high-frequency direction. In 2016, Li Xiang founded Mengxi Investment. At the beginning of its establishment, Li Xiang attached great importance to mutual trust among members. Most of the core members of the team are friends and alumni who have known each other for many years. After six years of development, Mengxi Investment’s team has about 60 people, including more than 40 strategy and IT personnel. While the core investment research team is beginning to take shape, the company's independently developed low-latency trading strategies and systems are also leading the industry.

Li Xiang told us that his wish is to build Mengxi Investment into a mature team and a competitive company.

Focusing on CTA and low-volatility product lines

From September last year to the first four months, the stock market has experienced a substantial downward adjustment, and a number of tens of billions of quantitative private placements with stock quantification as the core strategy have experienced a large rebound. Withdrawal, the confidence of some private equity investors in managers has weakened, and enthusiasm for subscriptions and holding confidence have declined. Due to the decline in the net value of products, a large number of redemptions have been caused by customers. Many of the top performers have low volatility and low correlation stock strategies. These products confirm the importance of product allocation with low volatility risk attributes, as well as the allocation value of CTA and other strategies that are less relevant to stock strategies.

In Meng Xi’s view, every quantitative strategy has its own market environment to adapt to. Facing the constantly iterative quantitative investment industry, this is a marathon without a finish line.

Currently, CTA strategies account for nearly half of Mengxi Investment’s various asset management product lines, followed by low-volatility product lines (mainly low-volatility stock neutral strategies, supplemented by high-frequency strategies). It is understood that after continuous investment, exploration and breakthroughs in the past few years, company will focus on the development of alternative data as the core, low volatility stock neutral strategy, and aim at long-term stable performance.

Based on excellent low-latency trading genes, Mengxi Investment is a technology-oriented quantitative institution. Strategically, the company attaches great importance to research depth and detailed processing.We continue to invest in in various aspects such as investment researchers, data, trading systems, and partners to continuously improve our strategies. In their view, the competition in quantitative land still relies on accumulation bit by bit.

talked with Meng Xi, how do you view the market opportunities in the second half of the year?

There are still many uncertainties in the current macro environment, and the capital market, as a barometer of the macro economy, is also in shock. The independent thinking of institutional managers affects their investment style and layout direction.

How does Mengxi Investment view the excess opportunities in the futures market and stock market in the second half of the year?

Mengxi Investment believes: Recently, the futures market has triggered widespread discussion, mainly because two weeks ago, compared with the performance of various other assets, the entire quantitative CTA industry was very eye-catching.

It should be noted that in the period before this, due to the rapid retracement of term structure factors, an important category of factors in CTA, at the same time, momentum strategies also suffered due to the rapid reversal of most varieties. Rapid retracement. The resonance retracement of the two types of mainstream factors causes CTA to have a relatively large retracement from its high point.

Judging from the CTA real offer experience in the past six years, they believe that the performance of CTA strategies has significant cyclicality and is a type of strategy suitable for reverse investment in . Therefore, considering the recent sharp retracement of , they believe that this is a good time to lay out quantitative CTA . Regarding excess returns in the stock market, Meng Xi strongly agrees with the view that "there are beta returns first, and then there are alpha returns."

In addition, after experiencing the alpha freezing period of the entire industry from September last year to March this year, and then the recent recovery, I believe that under the background of the stabilization of and the stabilization of and the increase in transaction volume, the entire alpha market of will welcome Come to a wave of spring . The greater uncertainty is the impact of fluctuations in the external market. If the A-share market can be unaffected by the huge fluctuations in the external market and move out of the independent market as it has been in the past two months, then both beta and alpha returns will be good. expected.

In the future, Mengxi Investment will continue to follow the path of obtaining stable excess. I believe that as the market continues to recover, the company's performance will also be better.

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