Author |Zhang Liming.
Edit|Fu Ying.
* |Unicorn Finance.
A circular issued by an exchange reveals how quantitative institutions are "shorting"**
On February 20, the Shanghai Stock Exchange and the Shenzhen Stock Exchange issued a notice that Ningbo Lingjun invested in a short period of time in the opening stage of the morning session on the 19thManagement Partnership (Limited Partnership) (hereinafter referred to as "Ningbo Lingjun").Sell in large quantities**,During the period, the Shanghai Composite Index and the Shenzhen Stock Exchange Component Index were fast**, which affected the normal trading order, from February 20 to February 22, 2024, to Ningbo LingjunSuspension of trading for 3 consecutive days and initiation of a public reprimand procedure.
Zeng Xianyu, a senior investor and financial writer, said, "Ningbo Lingjun quantitative smashingwas banned from trading for three days by the regulator, and as a result, it was sharply shorted today, and they estimated that they would lose money, and this lesson was a bit expensive!
In the early morning of the 21st, Ningbo Lingjun announced late at night that it apologized for the impact caused by the trading behavior in the morning of February 19, and would improve the trading model and maintain the market trading order.
Particularly ironic is:When the stamp duty was lowered on August 28, 2023, Cai Meijie, chairman of Lingjun, once said: "China Quant has endured too much unwarranted malice, and it is pure ignorance to say that Quant is smashing, which is either stupid or bad." ”Now, Lingjun slapped the chairman's face loudly.
In addition, around the Spring Festival, many quantitative institutions are experiencing an unprecedented "**
Unicorn Finance learned from the private placement sales channel,The net value of quantitative private placement before the holiday has been substantial**, and the negative excess return of many products in the last week has exceeded 10%, or even nearly 20%, setting the largest drawdown in history. It is understood that many self-operated products and quantitative DMA strategy products of large quantitative manufacturers have also suffered heavy losses, and some self-operated losses are as high as 20% to 50%.
How much impact does Ningbo Lingjun's quantitative smashing and suspension of trading by regulators have on quantitative private placement?
On February 19, the Shenzhen Stock Exchange found in the transaction monitoring that from 9:30:00 to 9:30:42, a number of ** accounts under the name of Ningbo Lingjun automatically generated trading instructions through computer programs, placed a large number of orders in a short period of time, and sold a total of 137.2 billion yuanDuring the period, the Shenzhen Stock Exchange Component Index fell rapidly, affecting the normal trading order, constituting Article 6 of the Trading Rules of the Shenzhen ** Exchange2. Abnormal trading behaviors as stipulated in Paragraph 6 of Article 2.
The Shenzhen Stock Exchange said that since the beginning of this year, the ** account under the name of Ningbo Lingjun has been repeatedly taken by the Exchange for abnormal trading behaviors and other regulatory measures, but it has not been corrected and abnormal trading behaviors continue to occur.
On the same day, the Shanghai Stock Exchange also found out in the transaction monitoring,From 9:30:00 to 9:31:00, a number of products managed by Ningbo Lingjun were sold in large quantities on the Shanghai Stock Exchange** totaling 119.5 billion yuanDuring the period, the Shanghai Composite Index fell rapidly for a short time.
How exactly should "abnormal trading behavior" be defined? The Shenzhen Stock Exchange stipulates that "the automatic generation or issuance of trading instructions through computer programs for programmed trading, which affects the security of the Exchange's system or normal trading order", is "abnormal trading behavior that may affect **trading** or **trading volume".
Unicorn Finance notedIn September 2023, the Shanghai and Shenzhen Stock Exchanges announced that the exchanges will implement real-time monitoring of the trading behavior of programmatic trading investorsThe key monitoring items include:
Abnormal trading behaviors stipulated in the business rules of the exchange that may affect the security of **trading**, trading volume or the exchange system; The maximum declaration rate reaches more than 300 transactions per second, or the maximum number of declarations in a single day reaches more than 20,000 transactions; Multiple **transactions** or the trading volume is obviously abnormal, and a large number of programmatic transactions are involved during the period; and other matters that the Exchange considers necessary to be monitored.
In the early morning of February 21Lingjun announced that on February 19, the products managed by the company were net as a whole day8.7 billion yuan, but the trading volume within one minute of the opening of the day was large, which had a negative impact on itThe company sincerely apologizesand learn lessons to enhance compliance awareness.
Unicorn Finance notedQuantitative trading will also usher in more systematic and targeted regulatory measures.
On February 20, the exchange issued a document saying that the quantitative reporting system has been implemented smoothly, and the next step will be to adhere to the investor-oriented, take the maintenance of fairness as the starting point and end point of the work, learn from international regulatory practices, pursue advantages and avoid disadvantages, and establish and improve quantitative trading regulatory arrangements.
These include strict implementation of the reporting system and clarification of the access arrangement of "report first, trade later"; Strengthen the authorization management of quantitative trading** and improve the differentiated charging mechanism; Improve the monitoring and monitoring standards for abnormal transactions, and strengthen the supervision of abnormal transactions and abnormal order cancellation; Strengthen the monitoring and regulation of leveraged quantitative products, and strengthen the supervision of futures and spot linkage. At the same time, we will further consolidate the customer management responsibilities of the company, improve the self-discipline management and cooperation mechanism with the first industry association and the first industry association, and strengthen the transaction supervision of quantitative private equity and other institutions.
On February 21, A-shares opened low and went high, with a turnover approaching one trillion! Northbound funds rarely rushed to raise more than 10 billion yuan, and the Shanghai Composite Index recorded 6 consecutive yangs, once challenging 3,000 points upwards in the intraday. As of **, the Shanghai Composite Index rose 097% at 295096 points; The Shenzhen Component Index rose 079% to 897597 points; The GEM index rose 036% at 175248 points.
Is this related to the heavy regulatory fines imposed on the head quantitative institutions on the evening of the 20th?
Financial commentator Guo Shiliang believes that the sharp rise on the 21st, quantitative penalties, may partially restrict quantitative trading, and the market short-selling power may slow down.
Quantitative trading is more common in overseas mature markets, with quantitative trading accounting for more than 70% of the trading volume and a relatively low proportion of A-shares. “There is a problem of adaptation in quantitative trading of A-shares, which is mainly reflected in the imperfect and immature quantitative regulatory system, and at the same time, the risk hedging tools for investors are very limitedInstitutional investors and ** investors risk hedging tools are asymmetrical, and institutional investors who are good at quantitative trading occupy the dominant position, and the quantification of high-frequency trading and frequent use of diversified risk hedging tools is easy to cause market volatility, and the short-selling power has increased. Guo Shiliang analyzed.
After Ling Jun is fined, what changes will be made to the execution strategy of quantitative institutions? Guo Shiliang thinksFrom March 18, the refinancing of securities will be changed from T+0 to T+1, and the strategy of quantitative trading will also change greatlyIt will also have a relatively large impact on quantitative tradingAccelerate the reshuffle of the industry.
Zeng Xianyu, a senior investor and financial writer, believes that Ningbo LingjunImposing a trading suspension and initiating a public reprimand process, rightThe market has a certain boosting effect, which is a wake-up call for some quantitative institutions. In addition, today's volume ** is also in the process of overall valuation repair, after all, it is a bit irrational to kill and fall before the holiday. StillThe retracement of nearly 1% on February 21 indicates that the reversal of the entire market will not be completed quickly.
He pointed out that the previous quantitative use of policies and information asymmetry led to more short-selling loopholes in quantification to harvest **, public offerings, brokers, etc.
The person in charge of a quantitative institution also once said that quantitative trading accounts for a small market share, and it will not have much effect on the market. But the above-mentioned analysts believe thatOn the 19th trading day, there were 2.5 billion trading volumes in Shanghai and Shenzhen, which could directly pull the ** down by 068%, indicating that the power of quantification is not as insignificant as people in the industry say. After Lingjun was "named" this time, it was to "put the capital in a cage".Because capital itself is also a right, the right to manipulate the market to some extent, which is unfair to **.
In late January, Wang Jianjun, vice chairman of the China Securities Regulatory Commission, told ** that he would firmly establish the concept of investor-oriented, and always take the protection of the legitimate rights and interests of investors, especially small and medium-sized investors, as the top priority of his work; It is more prominent to be investor-oriented, which is the root, and the roots are deep to be woody. Only when investors are well protected can there be a foundation for the prosperity and development of the market.
According to public information, Ningbo Lingjun was established in June 2014 and is one of the well-known quantitative private equity giants in China. According to the company's official websiteNingbo Lingjun exceeded 10 billion yuan for the first time in 2018, and the asset management scale has exceeded 60 billion yuan by 2022. According to data from third-party platforms, as of November 2023, the company has more than 400 products in operation.
Since 2024A number of leading quantitative private equity collectives suffered a major drawdown in performance. According to the statistics of third-party data companies such as Haomai**.com, as of February 8, the net value of some quantitative private equity products has exceeded 30% since the beginning of this year. Among them,Lingjun Investment's "Lingjun Zhongtai Quantitative 30 Exclusive Pilot No. 8" has a loss rate of 29 this year83%。
In the "Investment Strategy Operation Statement" released on February 20, Ningbo Lingjun explained the reasons for this round of excess and sharp drawdown: "From February 5 to 8, 2024, a large number of funds in the market have piled up into the CSI 500 1000 ETF constituent stocks, resulting in a significant ** in the constituent stocks relative to the outside of the constituent stocks. This directly caused further liquidity stampede problems in the CSI 2000 and outside 2000**. ”
Description of the operation of Lingjun Strategy: The release time is February 20, 2024.
Of course, Ningbo Lingjun is not the only quantitative institution with poor performance.
Unicorn Financial Discovery,A product of Mingtun Investment, which is also a leading quantitative institution, suffered a loss of 29 during the year7%, while the product's full-year revenue last year was only 901%。
Minton Investment's product income data**: private placement network.
The product performance is not good, and a number of leading quantitative private placements have recently issued product operation instructions to apologize to investors.
High-Flyer said that the recent excess drawdown of High-Flyer products is large, mainly due to the fact that the strategy response to different environments is not ideal, the short-term extreme market has not shown good adaptability, and the portfolio based on the market-wide stock selection structure has a large gap with the index, forming an obvious excess drawdown。The drawdown reveals that the strategy needs to be optimized in terms of factor iteration and risk control management. To this end, the company has tightened the overall risk control in the week before the Spring Festival to prevent the impact of the extreme liquidity crisis on the portfolio of small market capitalization**, and analyzes the performance of the model on each trading day, and continues to optimize, believing that the market will gradually return to the normal track and the strategy model will return to normal.
Jiukun Investment said that after the occurrence of extreme **, based on the historical experience of similar ** at home and abroad, combined with its own risk control situation, it chose a relatively balanced solution between extreme risk prevention and long-term model effect. In the case of uncertainty about the next step of the market, arbitrary switching is easy to cause back and forth.
Jiukun Investment pointed outAlthough the company's strategy is currently under pressure in the short term, butOccasional extremes do not upend the overall strength of the teamThe company will pay close attention to market changes, technical index changes, etc., and strive to respond to new situations in a timely and appropriate manner, and communicate with investors in a timely manner.
Previously, Lingjun Investment also apologized to investors. Lingjun Investment said that in the first two weeks of the Spring Festival in 2024, the market experienced huge fluctuations and unprecedented challenges in the short term, with the knock-in of snowballs, the extreme reversal of short-term styles and the rapid convergence of the basis staged in turns.
For the follow-up optimization direction, Lingjun Investment said that after reflection, this round of drawdown is mainly caused by the insufficient allocation of CSI 500 and CSI 1000 constituent stocks, and the follow-up will focus on improving the model level in the constituent stocksWithin 3 standard deviations.
In addition, Lingjun Investment also said that it will continue to strengthen model iteration, enhance its capabilities, and balance strategic returns and risks.
After this quantification, where will the head quantitative institutions go, and what kind of reshuffle will quantification go through? Let's talk in the comment section.