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Waterloo Moment of China Quantitative Fund

2024-02-24 09:51:21

Key content

A large quantitative hedge fund on February 19th will be sold for 2.57 billion yuan in stocks in one minute on February 19th., Subsequently, the two major securities exchanges were restricted to trading for three days.

The Chinese stock market has gone through one of the most crazy two weeks in history. The local quantitative hedge fund is acknowledging that the stock trading model shows unprecedented failures during the period.A fund manager said that this was the "biggest black swan incident" of the industry.The other said that its model "from being able to change to continuous wrong."

Although historical data about Chinas quantitative investment returns is limited, all signs indicate that this shows this.The funds of the funds were set up, and the Yingshiman Group claimed that the "quantitative collapse" that was similar to the 2007 US fund management agency was disaster.

A large quantitative hedge fund sold 2.57 billion yuan in one minute on February 19, and was subsequently traded by two major securities in ChinaLimited trading for three days.

The Shenzhen Stock Exchange issued a press release on February 20, saying that from 9:30:00 am to 9:30:42 on February 19th, Ningbo Lingjuns investment management partnership name is more nameThe securities account automatically generates a large number of stocks through the computer program. "During the period, the fingers fell quickly and fell quickly, which affected the normal transaction order".EssenceThe Shanghai Stock Exchange also implemented similar restrictions on Ningbo Lingjun until February 22.

According to the announcement of the Shenzhen Stock Exchange, Ningbo Lingjuns selling order constitutes a "abnormal trading behavior". The company has been adopted in written warning measures such as abnormal trading behaviors this year.The Shenzhen Stock Exchange stated that it will continue to strengthen trading supervision and maintain "zero tolerance" for illegal and illegal acts that harm the legitimate rights and interests of investors.

Ling Jun Investment issued a statement on the official WeChat public account, stating that the "resolutely obey" the Shenzhen Stock Exchange and the Shanghai Stock Exchanges decision to restrict transactions, and will "deeply learn lessons".The company supplemented its management product on February 19th to buy 187 million yuan throughout the day.

Lingjun Investment said that "long -term optimism and insisted on making multiple Chinese stock markets, the stock positions have always adhered to the state of full warehouse."The company promises to improve the trading model, strictly control the transaction progress, transaction constraints, and the rhythm of the transaction, and ensure that the transaction is smooth and balanced transaction in the entire transaction.The companys management asset scale exceeds 10 billion yuan, which is one of the four large -scale funds in China.

The Shenzhen Stock Exchange and the Shanghai Stock Exchange also issued a press release on February 20 stating that it will strengthen communication with the Hong Kong Exchange and accordReport scope.

A shares shock, quantitative models dizzy

The Chinese stock market has experienced one of the most crazy two weeks in historyThe local quantification hedge fund is acknowledging that the stock trading model shows unprecedented failures during the period.

A fund manager said that this is the "biggest black swan incident" of the industry.The other said that its model "from being able to change to continuous wrong."

Although historical data on the return on Chinas quantitative investment is limited, all signs indicate that this shows this.The funds of the funds were set up, and the Yingshiman Group claimed that the "quantitative collapse" that was similar to the 2007 US fund management agency was disaster.

Industry data quoted by the Huatai Securities Report shows that in the two weeks of February 8, major asset management scale exceeded 10 billion yuan in head quantitative tracking CSI 500 indexThe average strategy runs 12 percentage points of the stock index, so that the excess yield of this strategy has been negative 11.3%so far.

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