Text | Little Lu Fish
Edit | Yang Xuran
Once the quantitative private equity giants have begun to apologize.Because the fierce net worth refusal before the Spring Festival apologize to investors, many 10 billion yuan private equity encountered an excess retracement of more than 10%in just one week.The frontier, Hangzhou Longqi and other institutions urgently issued product operation instructions after the holiday, and re -inventory and reflect on this incident.
Because abnormal transactions apologized to the regulatory authorities and investors, Ningbo Lingle announced on the early morning of February 21, which on February 19, which was on February 19, which was on February 19Apologize.Prior to this, the Shanghai and Shenzhen Exchange had taken restrictions on trading measures to Ling, and started disciplinary sanctions procedures for public condemnation.
Recalling the second half of last year, the various large-scale private equity is still passionately refuted the shares of shareholders accusations on "quantified shortness", indicating that their transaction volume is large,The high investment return and strong value discovery capabilities are important forces to support the development of A shares. Nowadays, they are "softened" and have begun to accept the criticism of investors and the education of the market environment.
Bubbles of quantitative trading myths are one of the most far -reaching events in the investment market at the beginning of 2024.And ordinary investors are more concerned about how the investment ecosystem of the capital market will evolve after quantitative supervision.
01 huge retracement
Quantitative private equity developed in China to 2022-2023, and finally beganThe performance far higher than other public offering of private equity has attracted much attention. Among the top ten tens of billions of securities private equity in 2023, 8 institutions adopted a quantitative strategy, and 15 of the top 20 billion -level securities private placements were quantitative private equity.
In 2023, the average excess yield of domestic stock quantitative multi -headed private equity products was 13.74%, CSI 300, CSI 500, and CSI 1000 quantitative increase strategiesThe excess yields of the product are 8.57%, 12.00%, and 16.55%, respectively. The quantitative neutral strategy is also excellent because it can hedge the markets Beta risk and investment portfolio risk.
However, this year, the performance of quantitative private placement has mutated style.
Wind data show that more than 4,800 quantitative private equity funds that have already available on February 20 have since since February since FebruaryThe average loss was 3.42%, of which more than two -thirds of the product proportion of the retracement appeared.At this point, the average loss of quantitative private equity funds has been 8.07%this year, and the proportion of losses products accounts for more than 85%.
Even the quantitative manufacturer self -operated products and quantitative DMA strategy products that are not available to buy, and they have suffered heavy losses.20%to 50%, even some brokers who just want to earn a handling fee and channel fee have been affected.
Someone laughed, and the quantitative private placement can finally take the subjective journey of the subjective bulls.
The equity products of the public offering and private equity have also been beautiful. At that time, everyone bought a group of liquor stocks and pharmaceutical stocks under the guidance of value investment beliefs.Regardless of the income of the people, the manager is full of money regardless of the income of the foundation.
Public funds have played like private equity, using the structural market of small-cap stocks last year.The performance of "dazzling" also triggered the research and layout of various brokerage firms.
There are more people bought by microcror stocks. From a statistical point of view, it seems that there is really investment value. Even if many people know that the markets market is impossible, it is impossible,It should not continue.
Li Yiteng, a partner of the quantum road, pointed out that "many quantitative managers are not subjectively chasing microcular stocks, they are also because the market continues to give machine learning through data.Model feedback, gradually increase the probability of choosing a microcwine stock, and finally buy more and more. "
But the lie said that it will not come true a thousand times, and the self -employed manufacturers self -employed self -employed factorys self -employed self -employed factoriesAnd DMA products make multi -cycling stocks through leverage, with hedge 500 stock index futures. As a result, the CSI 500 index rose in the pre -festival, the futures short losses were heavy, the micro -cycling stocks collapsed, the stocks plummeted, and eventually suffered heavy losses.Essence
There are also the problem of crowded private equity tracks exposed at the same time.Strategy, The enthusiasm of quantitative private equity attraction is always poured into the same strategy. The result of crowded transactions is not only less arbitrage space, but also exacerbate price fluctuations, distortion and risk concentration.
When the extreme market occurs, the same strategy, high factors crowded, incomplete risk plans will only cause the fugitives of stepping accidents,The net value retracement, at this time, whether artificial intervention is wrong or not.
Just as a certain head quantitative private equity reflection in the product operation description, what should be done later is the details of the continuous optimization strategy model, adhere to the requirements of their own risk control requirementsEssence
02 Great Reform Strategy
In emotion, Ling Jun was punished by the Shanghai and Shenzhen Exchange for abnormal transactions, and gave quantitative private equity to drink as a head -up, so that some practitioners even called this as a quantitative "dark moment".
This time, the spirit was punished, mainly because it sold 2.5 billion yuan of stocks in one minute (the transaction amount of the two cities on the day was about 50 billion).The syndrome fell quickly.The Exchange clearly regards this high -intensity selling transaction as an important pressure force for negative impact on the stock index.
This is also the first time that the exchange decision was implemented after the new procedural transaction regulations were introduced in September last year, and it would say that it will be based onThe six major measures have continued to strengthen quantitative transactions, especially the monitoring and analysis of high -frequency transactions, further compacting the customer management responsibilities of securities companies, and improving the self -discipline management collaboration mechanism with the securities industry association and the fund industry association.
From the perspective of international experience, Overseas markets generally implement stricter supervision of quantitative high -frequency transactions, After all, in essence, this is still hidden inSpeculation behavior under computer skin.China also needs to learn lessons from international market supervision practice to prevent negative impact on market order.
Although many quantitative private equity does not rely on high -frequency transactions to win, Lings punishment is still given a new inspiration for industry institutions.When performing transactions in individual accounts, it is necessary to consider the impact on the market, so as to achieve smooth transactions, balanced transactions, and reduce the impact on the market.
The already quantified private equity of the head told the media that after seeing the news that Ling Jun was punishedThe transaction frequency changes to reduce the trigger frequency.After experiencing market fluctuations and regulatory upgrades, the adjustment strategy has become the top priority of quantitative private equity.
After all, quantitative private equity needs to have the ability to quickly adapt to market changes, limiting high -frequency transactions may reduce the sensitivity of quantitative private equity to market fluctuations, and cannot capture small prices in the market well in the marketDifferences reduce the effective capacity of strategies, resulting in a decline in the performance of strategies under large -scale funds.
In addition to the new securities margin regulations announced before the Spring Festival, is to suspend the scale of new transfer trading and strictly prohibit the use of trading within the day of the use of securities margin (in disguise T+0 transactions)Investors provide illegal and illegal behaviors such as securities financing, and will crack down on the use of improper arbitrage in the use of securities margin transactions. also have a great impact on quantitative high -frequency, multi -short strategies.
Considering the extreme turmoil of the A-share market before the policy was introduced, and investors hearts were not conducive to the securities fusion of investment equity T+0 Basically obtained the industrys expectations by explicit text.
Although the market forum the securities f using the market for T+0 transactions is predetermined between 200 and 30 billion yuan, as the new regulatory regulations are implemented, whether it is the source of the voucher, whether it is the source of the voucher.The debit and securities borrowing and the borrower of the borrowing of the securities will be a matching broker and other intermediary agencies. The trading needs of the three will be suppressed. At this stage, the scale of the securities margin business is already at a relatively low level.
After restricting the securities lending and shorting, there are no shorts to be an opponent, and many of them will not build positions, thereby restricting the development space of many strategies, such as the suffering of quantitative neutral strategiesThe strategy that has a small impact will also face the trouble of rising costs.
Even from the perspective of protecting its own benefits, quantitative private equity has to develop new strategies.
03 new order
Unlike the sad clouds of quantitative circles, the A -share marketRecently, Qilianyang has been out. As of February 22, the Shanghai Stock Exchange Index is close to the 3,000 mark.Refers to 3500 points.
The strong rebound has become the subjective feeling of many shareholders, but is the storm of A shares really calmed down during this time?
It seems to be "snowball-neutral strategy-index enhancement, DMA" serial thunderstorm caused the index and individual stocksFierce decline, but the root cause behind the appearance is the ultimate interpretation of the early market style, and the liquidity risk caused by the high homogeneity of multi -category strategies.
For a long time, the performance of quantitative private equity relies on prices and trading volume. The stock selection model is similar, neglecting the fundamentals has become a stubborn illness.Compared with the kernel settings of the model also changed.
Taking the neutral strategy as an example, the European and American capital market pays attention to "beta neutral", which refers to the BETA coefficient of an investment portfolio, that is, the yield of the investment portfolio will not be subject to the marketThe influence of overall fluctuations.In China, it is basically a pseudo -neutrality of buying small plates, empty markets, beta, and style of thunder. It is not difficult to understand in the end.
HoweverIt is expected to be lifted. Its like a stamping accident. Once the congestion point is dredged, then this channel can also be used for people to walk normally.
Even some people in the industry believe that the previous extreme market will inevitably explode some quantitative products and private placements, just to make this already a bit crowded track, and some of the somewhat crowded trails have shown some of the somewhat crowded tracks.Arbitrage space.After experiencing this shock, the quantitative industry is expected to face a re -reshuffle, and the industrys future development opportunities and challenges coexist.
For investors who are considering whether they are redeemed for quantitative private equity products, they may allow the bullet to fly for a while to see if the net worth can be repaired.
After all, in this quantitative storm, some quantitative institutions have controlled retracement.After the ranking of 30%of stocks and ST stocks, the interval income from January 8th to February 8th was -0.35%, which did not cause investors to suffer large losses.
Those quantitative product management that has not been retired and won the trust of investors, has the opportunity to successfully transitionThe model seeks development opportunities.
Some managers will be low because of the price -performance ratio of asset management and wealth sales. In addition, this wave of quotes may be reset the process of selling the agency, returning to self -employment, but avoiding avoiding it.The scale of quantitative private equity products is excessively expanded, which exacerbates market fluctuations.
Finally, let us jump out of this round of stock market storm and quantitative transactions. From the perspective of cycles, it is not difficult to find that No one in the stock market can lead shamelessness, and there is no undefeated myth. All investors and practitioners must always be afraid of the power of the cycle.
