高曼量化策略兩大主軸之一的 Pure Alpha 提供了多空操作的風險趨避基礎，以對沖的方式維持市場中立，設計在市場產生大幅下檔損失時能產生穩定報酬，高曼 Pure Alpha 是透過量化模型才能達到的架構。我們常說要做好極端風險趨避不難，只是成本非常高幾乎一定會賠錢，如果想要以合理的成本進行風險趨避，那就是投資管理最難的一塊了。
This report introduces Gamma Paradigm’s Pure Alpha strategy framework – one of the two pillars of Gamma Paradigm Prime Fund. Gamma Paradigm’s Pure Alpha, shorthanded as Pure Alpha, is a collection of long-short market-neutral strategies.
Gamma Paradigm Prime Fund is built on multiple assets for a diversified investment portfolio. While a balanced allocation can generate a stable long-term return, the systematic risk that leads to risk synchronization between assets is hard to eliminate and often causes a huge drawdown.
Pure Alpha focuses on tail-risk events. We design the strategic framework to provide downside protection and have negative beta exposure. The long-short operation captures the timing when hedging is most needed. This key component to preserving capital during downside is the Gamma Paradigm Prime Fund principal.
Pure Alpha uses mostly high liquid instruments, including large-cap stocks, ETFs, US Treasuries, for quick responses. Most strategies in the Pure Alpha framework are dollar neutral. Meaning for each dollar we buy, we short sell a dollar. Dollar neutral ensures us not to create additional risks while containing them.
We often say downside risk hedge can be extremely simple if you are willing to pay a super high cost. An effective and cheap hedge is the holy grail in capital management. Hope we can shed some light on how we achieve a part of it.
Managing Director, Gamma Paradigm Group