According to data from third-party channels such as brokerages, quantitative private placement products experienced a large excess drawdown in the last week before the holiday, with some products having an excess drawdown of more than 10%. From this year's point of view, some quantitative private placement products lost more than 20% during the year.
According to some quantitative private placement results summarized by the business department of a brokerage, from February 4 to February 8, judging from the performance of the CSI 500 index products under the 19 quantitative private placements included in the statistics, the products of 17 companies such as Zhuozhi, Jiukun and Qilin far underperformed the performance of the CSI 500 in the same period, and the single-week excess drawdown of the CSI 500 index products under some quantitative private placements even exceeded 10%.
For quantitative private index enhanced products, excess drawdown refers to the significant underperformance of the product's portfolio over a certain period of time. For example, the CSI 500 index rose 1286%, while the net value of some quantitative private placement 500 products** is less than 4%, significantly underperforming the index.
According to third-party data statistics such as Haomai**.com and Private Placement Network, as of February 8, the net value of some quantitative private placement products has withdrawn by more than 20% since the beginning of this year.
For example, Lingjun Investment's "Lingjun Zhongtai Quantitative 30 Exclusive Pilot No. 8" has a net value drawdown of 29 since the beginning of this year83%；Many products such as Minghong ** Select No. 13 under Mingtun Investment have lost more than 29% since the beginning of this year. In addition, a number of quantitative private equity products such as Wenbo Investment, Yanfu Investment, and Qilin Investment lost more than 25% during the year.
In addition to index products, the DMA strategy and quantitative proprietary strategy, which were previously on fire, also suffered heavy losses in this round of micro-cap stock decline. The reporter learned that the loss of some proprietary products exceeded 30%, and some employees of quantitative private equity companies involved in them were also hit hard.
After the sharp drawdown of the net value, some quantitative private equity Insight Private Equity, Dragon Flag, Century Frontier Asset Management, etc., have sent letters to investors to apologize for the reflection on the net value drawdown of their products.
The 10 billion quantitative private equity Century Frontier said in the "Operation Statement" that the simultaneous retracement of the beta and alpha excesses of the small-capitalization index is mainly caused by the chain reaction of multiple market risk events such as short-term liquidity crises caused by run selling and repositioning.
Hangzhou Longqi reflected, "Looking back on the performance of the first two weeks of the Spring Festival, we did not predict the extreme degree of **, resulting in manual intervention at the most passive time, and there was a large negative overload." We should be more proactive in risk control to give early warnings, and switch stock selection areas earlier to deal with structure**.
There is also a quantitative private equity bluntly said that "the recent fluctuation of the market value factor far exceeds any extreme case in the history of model training", and had to make some adjustments very passively, and finally failed to wait for the dawn of **".
Lingjun Investment, which was restricted from trading by the exchange, issued an apology in the early morning of the 21st. The company said that it resolutely complied with the trading restrictions imposed on the Shanghai and Shenzhen exchanges. The company attaches great importance to the problems existing in the product transaction, and has carried out deep internal reflection and review. On February 19, the company's management products were net as a whole day8.7 billion yuan, but the trading volume within one minute of the opening of the day was large, and the company sincerely apologized for the negative impact caused by this. (Previously reported: Tens of billions of private placements apologized late at night).
A number of quantitative private equity sources said that the rare impact of quantitative products from the side illustrates the problems in risk control and the homogeneity of quantitative micro-cap stock strategies. "With the release of new regulatory regulations, high-frequency trading will be greatly impacted, and quantitative products may add more fundamental factors in the future," said a quantitative private equity executive in Shenzhen. ”
*: Shenzhen Business Daily.
Editor: Xiaoya.