Picture worm creativity.
The small-cap style of last year's fire** has recently ushered in a "big rout".
Since the beginning of the year, the average of small-cap style has been 2535%。According to statistics, as of the end of January, the average drawdown of quantitative long strategy private placement** this year was 627%。
Small-cap stocks**, multi-party fund announcements entered the bailout. On February 6, ** Huijin Company announced that it would expand the scope and intensity of ETF holdings. Judging from the intraday situation, in the past two trading days, the turnover of small-cap ETFs such as CSI 500 ETF and CSI 1000 ETF has increased significantly. In addition, the amount of Magic Square quantification was also announced on the same day, with its own funds 2500 million yuan, subscribe for the company's products and invest in the A** field.
Many funds rushed to the rescue.
During the morning trading on February 6, ** Huijin Company announced that it had recently expanded the scope of ETF holdings, and will continue to increase its holdings and expand the scale of its holdings.
Judging from the intraday turnover, in the last two trading days, the trading volume of CSI 1000 ETF and CSI 2000 ETF has increased sharply.
On January 5, the intraday trading volume of CSI 500 ETF reached 1608.1 billion, a new high in single-day turnover since its establishment in February 2013; The turnover of CSI 1000 ETF reached 870 billion yuan, at a historical high. On January 6, the intraday trading volume of CSI 500 ETF reached 486.2 billion, CSI 1000 ETF 539.8 billion yuan, the turnover of both products decreased from the previous day, but it is still at a historical high.
In addition to the national team, ** companies are also purchasing themselves. On February 6, High-Flyer Quant issued a self-purchase announcement stating that High-Flyer Quant will use its own funds today500 million yuan, subscribe for the company's products and invest in the A** field. It is reported that the Magic Quadrant quantization 2The self-purchase amount of 500 million yuan set a new high for a single self-purchase in private placement. At present, most quants** are biased towards small and medium-sized caps, that is, the 2500 million yuan will be mainly invested in the small and medium-sized caps of A-shares.
Driven by the good news, on February 6**, the broad-based indices were in the red. The previous **small and micro cap index has been ** to a certain **, and the CSI 1000 index **697%, CSI 500 Index**775%。
Risk exposure of small and micro cap strategies.
Since the beginning of the year, the small and micro disk style has not only not continued last year's resistance, but also fallen faster than **.
Wind data shows that the retracement of the small and micro cap style index far exceeds that of other broad-based indices. On February 6, the CSI 1000 started the year 2199%, CSI 2000**3140%, small cap**average**25.35%。
In the past three years, small and micro caps have performed well, and some small and micro cap styles** are highly sought after by individual investors. For example, Jin Yuan Shun An Yuanqi, the 2023 interim report shows that individual investors in the product account for 9195%, recording a positive return for five consecutive years. However, since the beginning of 2024, the product has been **1853%。In addition, the quantitative multi-factor of IFC managed by Ma Fang has also recorded positive returns for five consecutive years, but it has been **30 since the beginning of the year93%。
In addition to the well-known Internet celebrities**, many newly established ** have also suffered serious losses. For example, Jinyuan Shun'an Industrial Selection, established on December 19, 2023, has been less than 50 days old, and its net value has fallen to 062, a decrease of 3773%。Wanjia Pharmaceutical's quantitative stock selection, which uses quantitative strategy stock selection, was established on January 12, 2024, less than a month since its establishment, and is still in the closed period of position building, but as of February 5, the ** net value is only 074, has **2574%。
This is true for public offerings, and even more so for private placements, which are quantitative gathering places. Statistics show that as of the end of January, the average drawdown of quantitative long strategy private placement** has exceeded 6% since the beginning of this year. As of February 2, a number of quantitative private placements, including Tianyan Xineng, Mingtun** Select Guqiu No. 1, and Lingjun Quantitative Stock Selection Pilot Premium, fell by more than 15% in a single week.
A quantitative person told Blue Whale Finance that one of the obvious reasons for the recent drawdown of the micro market is the lack of capital inflow. The policy has affected the direction of the flow of funds, and the funds were mainly in the CSI 300, and the funds flowing into the small and micro disks were not much, and the micro disks had obvious drawdowns. And most of the quants** are biased towards small and medium-sized caps, so the quantitative** is also obvious.
Zhou Tianle of Guotai Junan Research Institute believes that the main reasons for the adjustment of micro-cap stocks are the cold sentiment, high valuations and poor performance forecasts, and they are expected to continue to improve in the future. In addition, on the policy side, the suspension of restricted stock lending has lowered market expectations for the valuation of micro-cap stocks, but the overall impact has been limited.
For the market outlook in the style of small and micro disks, Jiang Feng, manager of CITIC Prudential, said that he should not be overly worried. "Generally speaking, for small and mid-cap caps to underperform the market, it takes a valuation bubble and tighter market liquidity, but I don't see that, so I don't think it's too much of a concern. ”