The leading private equity firm, which was restricted from trading by the exchange and initiated a public reprimand process, issued a new announcement.
According to the surging news and many others, Ningbo Lingjun issued an announcement in the early morning of February 21 that the company resolutely obeyed the trading restrictions taken by the Shanghai and Shenzhen stock exchanges, and as a professional quantitative investment institution, it was optimistic about and insisted on being long in China for a long time, and always insisted on approaching the full position.
Ningbo Lingjun official micro.
Ningbo Lingjun's response this time is in response to the fact that on the evening of February 20, the Shanghai and Shenzhen stock exchanges were restricted from trading and a public censure procedure was initiated. As for the reason, it is an "abnormal transaction" that has been in the news many times in recent years.
According to the announcement of the Shanghai and Shenzhen Stock Exchanges, on February 19, the Shanghai and Shenzhen Stock Exchanges found in the trading monitoring that from 9:30:00 to 9:31:00, a number of products managed by Ningbo Lingjun sold a large number of Shanghai market ** totaling 119.5 billion yuan, during which the Shanghai Composite Index fell rapidly in a short period of time; From 9:30:00 to 9:30:42, Ningbo Lingjun placed a number of ** accounts through computer programs to automatically generate trading instructions, a large number of orders in a short period of time, and sold a total of 137.2 billion yuan, during which the Shenzhen Stock Exchange Component Index fell rapidly.
In view of the above-mentioned violations of relevant regulations, the Shanghai and Shenzhen Stock Exchanges decided to take trading restrictions on the relevant ** accounts under the name of Ningbo Lingjun from February 20, 2024 to February 22, 2024, restricting them from trading all ** listed on the Shanghai and Shenzhen Stock Exchanges during the above period, and initiating the procedure of public reprimand and disciplinary action against Ningbo Lingjun.
It is worth mentioning that the Shenzhen Stock Exchange said in the announcement"Since the beginning of this year, the ** account under the name of Ningbo Lingjun has been repeatedly taken written warnings and other regulatory measures by the firm for abnormal trading behaviors, but it has not been corrected and abnormal trading behaviors continue to occur."
The Shenzhen Stock Exchange also said in the notice that the Shenzhen Stock Exchange will follow the unified deployment of the China Securities Regulatory Commission, resolutely implement the requirements of supervision to be "long teeth and thorns", angular and angular, adhere to the main responsibility and main business of supervision, continue to strengthen transaction supervision, and always maintain a strict tone and a high-pressure situation of "zero tolerance" for violations of laws and regulations that affect the normal trading order of the market and damage the legitimate rights and interests of investors, and respond quickly and strike hard.
This time, Ningbo Lingjun, which the two major exchanges announced at the same time, is not an unknown person, but a leading institution in the quantitative private equity bank. The punishment by the exchange this time is also inseparable from its specific operation style.
Doxxing Ningbo Lingjun: the head of the industry
According to a report by Brokerage China, Ningbo Lingjun is one of the well-known quantitative private equity giants in China, and is known as the "new four kings" of the quantitative circle along with Jiukun, High-Flyer, and Mingtun.
According to the company's official website, Ningbo 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 the data of the private placement network, there are a total of 418 products in operation on Ningbo Lingjun, and among the products that show performance data, there are 6 products with a cumulative return of about 50%-300% since their establishment.
The company's management team is even more luxurious: according to the official website, Cai Meijie (female), chairman of Ningbo Lingjun, has a master's degree in economic management from Zhejiang University, and has worked in CICC, Penghua**, and Zheshang**.
Ma Zhiyu serves as the company's chief investment officer. It is said that Ma Zhiyu has a double master's degree in financial mathematics and electronic engineering from Stanford University, and has worked for Shikun Investment, a subsidiary of the famous American hedge **millennium**, and has served as deputy director of global research, deputy general manager of China, and research director of China.
Lingjun official website.
So how exactly does the interior of Lingjun work? According to **Times, Cai Meijie once revealed to ** that Ningbo Lingjun implements the "relative return +" competition model in its internal governance, and she herself is responsible for managing the scale ranking, and the chief investment officer is responsible for the performance ranking, and the two conduct a competitive assessment mechanism. According to the ranking results of the natural year, the losing side will have to deduct 20% of the dividend bonus at the end of the year.
As a leading private equity, it should be said that Lingjun's past performance is still remarkable: according to the data of Haomai**.com, Lingjun Investment accounts for the largest proportion of first-class products. From 2019 to 2021, the average annual returns of Lingjun Investment's ** products with updated net value were as high. 1% and 2101%。
However, the company's performance has declined significantly in recent years, and the average annual return of Lingjun Investment's ** products with updated net value in 2022 and 2023 will be -5 respectively93% and 113%。
Since the beginning of this year, the average rate of return of the company's ** products with updated net value has been -1934%。According to upstream news, the yield of its "Lingjun Zhongtai Quantitative 30 Exclusive Pilot No. 8" has been as low as -29 since the beginning of this year83%, down nearly 30% from the beginning of the year!
From this, we can see that quantitative** tends to be more volatile. So since the beginning of this year, what has happened to the market that has made the yield of many of Lingjun's products lower? A previously published Statement of Strategy Operations (the "Notes") may provide some clarification. However, according to a number of **, for the "Explanation", Lingjun Investment related people said that "the explanation of the operation of this strategy was released before the holiday, not today, and it may only be in the hands of channel customers now."
According to Jimu News, the "Explanation" shows thatAs of February 8, a medium-sized strategy product under Lingjun has retreated nearly 15% since the beginning of this year, and its CSI 500 Index enhanced product has retreated by 18% since the beginning of this year26%。
Why did Lingjun sell?
According to **Times and many other reports, in the "Explanation", Ningbo Lingjun said that in the two weeks before the Spring Festival in 2024, the market has experienced huge fluctuations and unprecedented challenges in the short term.
Lingjun also said that with the large-scale knocking of snowball products, the market as a whole has entered a state of extreme pessimism and even panic, which has also brought a lot of irrational transactions, and the liquidity of small and micro caps has begun to dry up, and these pressures have become a reality in the last week. "From February 5 to 8, 2024, a large number of funds in the market piled up into the CSI 500 1000 ETF constituent stocks in a risk-taking manner, resulting in a significant ** in the constituent stocks relative to the outside of the constituent stocks**, and with the further intensification of market volatility, more managers began to tighten their style exposure to get closer to the index, which directly caused further liquidity stampede in the CSI 2000 and 2000 outside. In this environment, the risk control conditions for factors such as nonlinear market capitalization in risk control have directly stepped out of the range of 5 standard deviations in the past 10 years, and the conditions for short-term risk control are completely positively correlated with whether the model has taken enough ** within the CSI 500 1000 Index, which directly led to the sharp drawdown of this round of excess. ”
At the beginning of the extreme situation in the market, Lingjun Investment said that the investment research team also tightened the model's risk control for the long end at the first time, and at the same time began to adjust the overall position distribution, but due to liquidity and force majeure and other reasons, the strategy still had a certain excess drawdown.
The above-mentioned "Explanation" involves a lot of quantitative professional terms, and non-industry insiders may feel a little foggy, which can be simply understood as follows:Due to the sudden switch of market style, a large number of funds have piled up into the CSI 500 1000 ETF constituent stocks, and the corresponding liquidity of CSI 2000 and 2000** has decreased.
The problems faced by Lingjun are actually common problems of many quantitative enterprises: the Shanghai and Shenzhen exchanges said that quantitative trading, especially high-frequency trading, has obvious technical, information and speed advantages over small and medium-sized investors, and there are also problems such as strategy convergence and trading resonance at some points in time, increasing market volatility.
According to the latest custody data released by a leading brokerage, from February 5 to February 8, the excess returns of more than 10 billion quantitative private placements under the CSI 500 index increase strategy products included in the monitoring were all negative, and the excess returns of quantitative giants such as Qilin Investment, Zhizhi**, and Jiukun Investment retraced more than 10% that week.
According to a report by Zhongxin Jingwei, some industry insiders said when summarizing the characteristics of quantitative **There are many strategies of quantitative institutions, but no matter which strategy is adopted, as long as the scale of the strategy itself is relatively large, it means that the amount of funds to implement the strategy is relatively large. This "churning" effect is especially obvious when multiple quantitative institutions have the same expectations for the future and adopt similar strategies.
Regulatory action, standardize quantification
This isn't the first time quantitative trading has been pushed to the forefront. According to reports such as China ** Daily, as early as the end of August last year, Wang Chen, the founder of Jiukun Investment, a leading quantitative institution, wrote a quantitative professional analysis article in the WeChat circle of friends, and posted: "China Quant has endured too much unwarranted malice, and it is pure ignorance to say that quantitative smashing is either stupid or bad." Subsequently, Ningbo Lingjun Cai Meijie also ** the above article and quoted Wang Chen's words.
On September 1, 2023, the Shanghai and Shenzhen Stock Exchanges issued the Notice on Matters Concerning the Reporting of Programmatic Transactions and the Notice on Matters Concerning the Strengthening of the Management of Programmatic Transactions, establishing a special reporting system and corresponding regulatory arrangements for quantitative trading, which will be officially implemented on October 9, 2023.
The exchange said that it adheres to the main responsibility and main business of supervision, continues to strengthen trading supervision, and always maintains a strict tone and a high-pressure posture of "zero tolerance" for violations of laws and regulations that affect the normal trading order of the market and damage the legitimate rights and interests of investors, and respond quickly and strike hard. At the same time, investors are reminded to participate in transactions in accordance with laws and regulations, and jointly maintain the normal trading order of the market.
So what kind of transactions will be included in the key supervision objects? The exchange also gave a clear definition in the announcement:
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.
Regulators are sending a clear message: Quantification is not a place outside the law, and it also needs to be regulated by regulation.
Disclaimer] The content of the article is for research and study purposes only and does not constitute any investment advice.