According to analysis, quantitative private equity has continued to experience drawdowns since October due to various reasons. Including "lack of liquidity", "extreme market differentiation", "style switching too fast" and so on. For example, the rotation of sectors and the acceleration of market switching between large and small caps have led to poor short-term adaptability of the quantitative model. The quantified private equity strategy of the head is homogeneous and involuntary. In order to obtain excess returns, it is often exposed in style and industry, and the greater the exposure, the more obvious the excess of quantitative private equity. New shares are rarely issued, and the earnings of new shares have fallen.

A private equity firm said in a letter sent to customers on November 5 that the excess retracement of the CSI 500 index enhancement strategy is likely to be related to the extreme market conditions in the A-share market during the same period. This does not mean that the A-share quantitative strategy has failed.

Another head of quantitative private equity has also issued an explanation to customers: Since September 2021, the stock market and commodity market have continuously experienced rare extreme environments, which has brought a greater impact on various quantitative strategies. During this period, all quantitative institutions have experienced continuous retracements.

The private equity also stated that the market value differentiation during this period was very serious. At the same time, significant divergence has emerged between industries, and the inter-industry volatility has also increased significantly. No single strategy can be adapted to all market environments. The success of long-term investment is by no means a short-term unpredictable macroeconomic situation and a short-term market environment with no rules to follow. It is based on the investment process constructed by the correct investment theory after long-term verification. Successful investment does not require the market to follow regular statistical laws at all times. The short-term failure of various laws to affect short-term performance is an inevitable part of quantitative investment.

"In the process of violent style switching, the model is often difficult to capture the law, and will encounter short-term inadaptability and excessive drawdown. However, due to the short duration of the event and rare occurrence in history, its characteristics are not yet significant enough to require targeted The existing strategy has been substantially revised. On the contrary, if the long-term effective statistical law is abandoned only for short-term extreme conditions, it will lead to poor long-term performance of the strategy."

According to the analysis, since September, most of the index enhanced products on the market have been negative in excess, and the average excess return has been around -3%. The reason is that due to the obvious switching of market styles, the rapid expansion of investment advisory scale and the homogenization of strategies. In the previous stage, the biggest risk of excess refers to the increase strategy is the serious switch of market styles, this type of strategy will be phased in failure, serious homogeneity, and systemic risks in the market switching between large and small caps.

据分析，量化10月以来持续遭遇回撤，原因来自多方面，包括“流动性缺失”、“市场极端分化”、“风格切换过快”等。比如板块轮动、大小盘行情切换加速，导致量化模型短期适应性差；头部量化私募的策略同质且内卷，为了能够获得超额收益，往往在风格和行业上会有所暴露，并且暴露越大的量化私募超额越明显；新股罕见破发，打新收益下滑等。

有私募在11月5日发送给客户的信件中称，本次中证500指数增强策略的超额回撤很可能是与同期A股市场的极端行情相关，并不能说明A股量化策略出现了大面积失效的情况。

另一头部量化私募也曾向客户发布解释说明称，自 2021年9月以来，股票市场及商品市场连续经历罕见的极端环境，对各类量化策略带来了较大冲击，各家量化投资机构在此期间的均发生连续回撤。

该私募还表示，这段时间内市场市值分化非常严重。与此同时，行业间也出现了显著的分化情况，且行业间波动率亦显著加大。任何一个策略不可能适配于所有的市场环境，长期投资成功的依据绝不是短期不可预测的宏观形势和短期没有规律可循的市场环境，而是要基于诸多长期验证后正确投资理论构建的投资过程。成功的投资也并不要求市场在所有时刻都遵循规整的统计规律，各类规律短期失效影响短期业绩是量化投资不可避免的一部分。

“风格剧烈切换的过程中，模型往往会难以扑捉到规律，会遭遇短期的不适应和超额回撤。但由于事件持续时间较短且历史上罕有发生，对于以统计数据为决策依据的量化投资而言，其特征尚未显著到需要有针对性的对现有策略进行大幅修正。恰恰相反，如果仅为短期极端状态放弃长期有效的统计规律，反而会导致策略长期表现不佳。”该私募称。

分析称，九月以来，市场上绝大多数的指增产品超额为负，平均超额收益在-3%左右。原因是由于市场风格切换明显，投顾规模扩张太快且策略同质化，以及前期业绩较好的投顾在风控上较松导致。前阶段指增策略超额最大的风险是市场风格切换严重，该类策略在大小盘切换的行情下会阶段性失效；同质化严重；极端行情如系统性风险。