In recent days, a number of quantitative institutions have been caught in the whirlpool. In response to the previous trading restrictions taken by the Shanghai and Shenzhen Stock Exchanges, Ningbo Lingjun Investment Management Partnership (Limited Partnership) (hereinafter referred to as "Ningbo Lingjun") issued an apology in the early morning of February 21 and expressed its resolute obedience to this decision. In addition, in the recent market volatility, a number of well-known quantitative private equity products have also experienced a sharp drawdown in net value, and since February 19, a number of institutions have explained and even apologized for the relevant situation. At the same time, the relevant person in charge of the China Securities Regulatory Commission said that more quantitative trading regulatory rules will be introduced, and one by one will be launched.
Ningbo Lingjun apologized.
On February 21, Ningbo Lingjun, a leading quantitative institution, issued an apology on its WeChat, saying that the company, as a professional quantitative investment institution, has long been optimistic and insists on being long in China, and has always insisted on approaching a full position. For the problems existing in the product transaction, Ningbo Lingjun said that the company attaches great importance to it and has carried out deep internal reflection and review. On February 19, 2024, 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.
It is understood that on February 20, the Shanghai and Shenzhen Stock Exchanges issued an announcement that Ningbo Lingjun managed ** account to sell a large number of Shanghai and Shenzhen ** during the opening of the morning of February 19, violating the "Trading Rules" and other relevant regulations of the Shanghai and Shenzhen Stock Exchanges, and was restricted from February 20 to February 22. In addition, the Shanghai and Shenzhen stock exchanges have initiated disciplinary proceedings against Ningbo Lingjun for public reprimand.
According to the announcement of the Shanghai and Shenzhen Stock Exchanges, the Shanghai and Shenzhen Stock Exchanges found in the trading monitoring that from 9:30:00 to 9:31:00 on February 19, a number of products managed by Ningbo Lingjun sold a large number of products in the Shanghai market**119.5 billion yuan, accounting for a higher proportion of market turnover during the period, and the Shanghai Composite Index increased from 2886 during the period59 points** to 286807 points, down 065%。At the same time, 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 yuan, during which the Shenzhen Stock Exchange Component Index also fell rapidly.
Gong Tao, chairman of Shenzhen Zhongjin Huachuang, explained that Ningbo Lingjun used its own financial advantages to sell a total of 13 in less than 1 minute after the opening of the market on February 197.2 billion yuan, Shanghai market ** total 119.5 billion yuan, the purpose is to suppress the stock index, artificially create fluctuations, and create opportunities for low prices in the future8.7 billion yuan, in essence, is to artificially create huge fluctuations to earn the price difference.
In response to the above-mentioned matters, Ningbo Lingjun also mentioned in his apology that the next step will be to learn lessons deeply, more carefully study relevant laws and regulations and trading rules, effectively enhance compliance awareness, and strictly control the transaction progress, transaction constraints and control the transaction rhythm by improving the trading model, so as to ensure smooth and balanced transactions in the whole process of trading, effectively maintain the normal market trading order, and fully protect the legitimate rights and interests of investors.
The regulator intends to launch a "combination punch".
The disciplinary action of the Shanghai and Shenzhen Stock Exchanges for public condemnation of such transactions is mainly due to the fact that there is no corresponding punishment and legal basis at present, so the above measures can only be taken, but the warning message released has been very clear, and it is believed that more stringent punishment measures will be introduced in the future. Gong Tao said.
In fact, in view of the existing problems in quantitative trading, the regulatory authorities also plan to launch a "combination punch" to further formulate a series of regulatory measures. Some market sources pointed out that the relevant person of the China Securities Regulatory Commission recently said that in recent years, the China Securities Regulatory Commission has been attaching great importance to the supervision of quantitative trading, promoting the inclusion of programmatic trading in the scope of regulation of the "** Law", establishing a data collection mechanism for head quantitative institutions, and strengthening the monitoring and analysis of quantitative transactions. Since September 2023, the China Securities Regulatory Commission (CSRC) has gradually introduced a programmatic transaction reporting system to strengthen the supervision of private placements. After three months of transition, the reporting system has been implemented smoothly, and the quality of the reports of all parties generally meets the requirements, which provides a basis for further strengthening and improving the supervision of quantitative trading.
The above-mentioned relevant person of the China Securities Regulatory Commission also mentioned that the regulatory measures announced this time cover all aspects and reflect the characteristics of comprehensive policies, and each of them has undergone research and market analysis, which has a relatively strong pertinence and reflects precise policies. For example, in view of the speed advantage, measures are taken to effectively curb and reduce the interference to the normal trading order of the market; In view of the sharp fluctuations in small and medium-sized market capitalization**, strengthen the monitoring and regulation of leveraged products to reduce stampede and resonance.
At the same time as making regulatory measures for quantitative giants, on the evening of February 20, the Shanghai and Shenzhen Stock Exchanges also announced that the current quantitative trading reporting system has been implemented smoothly, and at the same time, the Shanghai and Shenzhen Stock Exchanges have proposed six major measures to establish and improve the regulatory arrangements for quantitative trading.
Bai Wenxi, vice chairman of the China Enterprise Capital Alliance, commented that the recent statement on the quantitative trading reporting system issued by the Shanghai and Shenzhen Stock Exchanges is mainly to standardize the behavior of quantitative trading, reduce its impact on the market, and maintain the stability and fairness of the market, so that the regulatory authorities can better understand and control market risks. Overall, the role of quantitative trading in the market is two-sided, requiring regulators and market participants to work together to regulate and stabilize the market.
It is understood that in the process of promoting the above-mentioned "package" measures, the Shanghai and Shenzhen stock exchanges will also operate prudently and launch one by one maturely, so as to reserve sufficient time for the market to adjust. After the reporting system, more regulatory rules for quantitative trading will be introduced, and the market will be fully communicated before the introduction of the system.
A number of well-known quantitative institutions reflect.
It is worth mentioning that in the context of the recent fluctuations in the A** market, there are also many cases where the net value of quantitative private equity products has been substantial. In this regard, since February 19, a number of well-known quantitative private placements, including Longqi, Jiukun Investment, and High-Flyer, have sent letters to investors to explain and even reflect on the recent net value drawdown of their products.
It is reported that Longqi admitted frankly in the recently released "Instructions to Customers" and "Product Operation Instructions" that a few trading days before the Spring Festival, the company failed to predict the extreme situation of the first class, and the initial risk control constraints did not have the desired effect, resulting in manual intervention in the most passive time, and there was a large negative excess. Quantitative private equity Jiukun Investment also recently released a product operation description, saying that the short-term performance of quantitative products has been greatly impacted, mainly affected by extreme styles and costs.
In addition, the quantitative private placement High-Flyer also recently released a product operation description, saying that the recent high-flyer product excess drawdown is large, mainly due to the unsatisfactory response to different environmental strategies, the lack of good adaptability in the face of short-term extreme markets, and the large gap between the portfolio and the index based on the whole market stock selection structure, forming an obvious excess drawdown.
Regarding the recent stampede caused by quantitative products, Li Zheteng, partner of Liangdao Investment, said that this risk event exposed a common phenomenon in the quantitative industry, that is, the importance of the first-class model is far greater than that of the risk control model. In the past few years, driven by the brilliant performance of quantitative trading strategies, quantitative institutions have generally made huge R&D investment in the first model, but at the same time, the research on the risk control model is generally weak. In addition, many managers' cognition of risk control is still stuck in data, in fact, investors should always remind themselves: the market and investors are always interacting, the market guides the investment behavior of institutions, and the behavior of institutions is constantly changing the market. Exploring the possible investment risks only in historical data may end up being taught a hard lesson by the market.
In Gong Tao's view, the core reason for the increasing scale of quantification is that the larger the scale of the market volatility, the greater the arbitrage space, therefore, to block the quantitative use of scale arbitrage, it is necessary to increase the crackdown on concentration, that is, the establishment of a quantitative real-time supervision system, all quantitative products into the real-time monitoring system, the quantitative products in a certain period of time (such as a minute) in one direction (** or sell) single or all total **.
Li Zheteng mentioned that quantitative trading cannot be denied just by virtue of a crisis, and that quantitative trading, as an investment tool, will not disappear as a unique advantage in many investment fields. On the contrary, after the entire industry realizes the problem and makes improvements, a healthier quantitative trading industry will result in better returns for investors. From the perspective of industry practitioners, when applying machine learning models to invest, in addition to rigorous data support, it is necessary to always respect market common sense; On the other hand, in the A** field, it is not possible to simply copy the general risk control model in the overseas market, and a more adaptable risk control system should be established for the Chinese market.
Beijing Business Daily reporter Li Haiyuan.