How beautiful it used to be, how depressed it is now!
Since the beginning of 2024, the A** market has continued to adjust, except for the weighted stocks with higher public offerings, small and micro cap stocks have generally fallen, and the quantitative strategy has encountered a "Waterloo". The data shows that there has been a large drawdown in the public offering quantification**, and although the Internet celebrity quantization ** of many small and micro-cap stocks with heavy positions has performed well in the year, it is still not immune to itself; A number of private equity quantitative** have retreated by more than 20% in the past month, including many well-known private placements such as Tianyan, Mingtun, Lingjun, and Wenbo. (For more information, pay attention to and news***.)
The well-known veteran "horse stumbles".
Internet celebrity quantitative public offering "fell off the altar".
In 2023, quantitative products have become the "most beautiful boys" in the market, even under the rapid rotation of the market, it is one of the few types of active equity in 2023 to achieve growth on a large scale.
However, since the beginning of the year, affected by factors such as the knock-in of snowball products and the switching of large and small cap styles, the small and medium-cap indices have performed poorly, among them, the CSI fell by more than 31% in 2000, the CNI fell by nearly 25% in 2000, and the relatively resilient CSI 500 Index once fell by more than 17%.
ifind shows that 872 quantitative public offerings have a negative yield since the beginning of this year, and 254 quantitative public offerings have yielded less than -20% this year.
Jin Yuan Shun An Yuan Qi fell as much as 1253%, with a year-to-date yield of -1826%。
This product is a veritable "Internet celebrity**", which was once limited to 5 purchases a month, and dropped from 100,000 yuan to 100 yuan! As of the end of 2023, the product has achieved positive returns every year, ranking first in the past three years and the past five years, respectively, and ranking first in 2022 and 2023, when the overall market has performed poorly.
Miao Weibin is good at avoiding popular track stocks and prefers unpopular small-cap stocks with good low-cost growth. According to his past operations, he is keen on small-cap stocks, and many ** market popularity is not high, and a single *** is not more than 1%, and the shareholding style is relatively dispersed. However, this does not prevent the scale of Jinyuan Shun'an Yuanqi from growing from less than 200 million yuan in 2020 to the current 156.6 billion yuan.
Another typical example is the quantitative multi-factor of IFC. From 2019 to 2023, the annual return of Guojin quantitative multi-factor has been above 10% for five consecutive years, so the scale has ushered in a big explosion, which once exceeded 12 billion yuan at the end of the third quarter of 2023, and the scale still reached 101 by the end of the fourth quarter of 20239.6 billion yuan.
However, since the beginning of the year, the net value of the product has been in a cliff-like state, and it has been 9 in the past week88% (A share), down 3057% (A share)! (For more information, pay attention to and news***.)
Quantitative private equity has become the hardest hit area
The scale of 100 billion yuan of Mingtun investment failed
In fact, compared with quantitative public offerings, quantitative private placements are larger.
Since the beginning of the year, quantitative private placements investing in small and micro caps have ushered in a sharp drawdown! According to a screenshot of the change in the net value of quantitative private placements circulating on the Internet, the latest data shows that individual products under many quantitative private placements such as Tianyan, Mingtun, Lingjun, and Wenbo have experienced a drawdown of more than 15% in a single week.
According to the data of the private placement network, as of February 2, the income of Mingtun ** Select Guqiu No. 1, a subsidiary of Mingtun Investment, has been -24 since the beginning of this year32%。Since its inception, the product has recorded the largest drawdown in recent times.
Speaking of Mingtun Investment, this is the first quantitative private equity in China to exceed 100 billion yuan!
Qiu Huiming in 2Is it safe to sleep in the Shanghai mansion bought for 8.5 billion yuan?
High-Flyer Quantitative Investment's High-Flyer Quantitative 1000 Index Exclusive No. 1 and Phase 5 Class A is miserable.
The reason is that in terms of quantitative stock selection, the stock selection model focuses on small tickets, and it is running with a full position, which is very bad in the current sharp decline.
Because DMA puts up to 4 times leverage, when it reaches the early warning line and the closing line, the long side will sell. Once outperformed** small-cap and micro-cap stocks bore the brunt.
Guotai Junan (601211) pointed out in the research report that small-cap quantification still has a high alpha, but it is necessary to be wary of the net value drawdown caused by the exposure of small-cap style when switching styles. (For more information, pay attention to and news***.)