海通证券股份有限公司 Zhen Lou
Investment scope covers global major markets; overseas global macro-strategy funds continue to grow: The global macro strategy can be defined as: In order to profit from the macroeconomic trend, the fund manager conducted leveraged long/short transactions and allocations, through any asset types (stocks, bonds, currencies, commodities, etc.), any leveraged instruments (cash, derivatives, etc.),and/or any markets across the globe. Global macro strategy has the following four features, including broad investment scope, top-down macro research, mostly directional investment, and leverage usage. The two major advantages of global macro strategy are: great investment flexibility and low correlation with the stock & bond market. However, it also has the inherent disadvantage of high risk. According to HFR’s statistics, the scale of overseas global macro funds continued to grow and its proportion as of overseas hedge fund increased from 12% ten years ago to recent 22% because of solid past performance.
Limitation on investment scope and strategies makes domestic macro-strategy funds uniquely charming. Currently, only three typical domestic macro-strategy funds have long historical track records, including Zen No.1 managed by Shanghai Zen Investment Management Co., Ltd., Honghu Zhongyu managed by Shanghai Honghu Investment Management Co., Ltd., and Ying Chong No.1 managed by Junior China Capitals. Overall, domestic macro-strategy funds are similar to overseas macro-strategy funds except two distinctively different aspects: 1) the investment scope for domestic ones only include domestic stocks, bonds, commodity futures and stock index futures, and 2) constraint by limited domestic derivative instruments, domestic macro-strategy funds face many restrictions on investment strategies. Domestic macro-strategy funds all adopt the format of limited partnership because the open-ended private-placement sunshine funds in China are not allowed to investment in commodity futures. Meanwhile, domestic macro-strategy funds show similar risk-return feature with overseas species, i.e. high return & high risk, low correlation with stock performance. However, considering short historical track records that domestic macro-strategy funds presents, it remains to see their management capabilities and risk/return feature.
Macro-strategy funds have broad prospect and are expected to be one of important allocations for fund portfolios. Domestic macro-strategy funds are in the beginning stage compared with the overseas’. Judging from the scale of 22% that overseas macro-strategy funds garnered, and further development of derivative instruments and opening up of overseas investment opportunities in China, we believe that domestic macro-strategy funds have ample space to develop. Also, with the domestic institutional investors getting matured, their investment techniques will gradually improve as well, which in turn help domestic macro-strategy funds to be an important option for the domestic fund’s allocation because of their high return and low correlation with stocks.