A South American butterfly flapping its wings could trigger a tornado in Texas, USA", the famous "butterfly effect".
This phenomenon is currently playing out in the A** market, and investors have seen the great market volatility in the past two weeks. In the past two days, with the quantitative private placement disclosing last week's net value (generally quantitative private placements disclose last week's net value on Tuesday), this time it will be fried, and last week's CSI 500 and CSI 1000 were **923% and 1319%, and many index products under the 10 billion quantitative index increase products fell as much as 10% 17% in a single week, that is, the excess return was -2% -4%, and the rare negative excess surprised many investors.
At the same time, the concept of "micro-cap stocks" has been hotly discussed, with the Wind micro-cap index falling as much as 2169%, and the index is down a whopping 2481%, down 924%, a total of 4112%。From the weekly ** chart of the Wind Micro Cap Index below, we can see that the index has been 98553 since the end of 20 and the beginning of 2127 rose to last year's highest 293760 points, an increase of 198%.
So what does quantitative private net worth and excess large drawdowns have to do with "micro-caps"**? And which "butterfly" caused the two to happen?
There are also different classifications of quantitative private placement, such as neutral strategy, index enhancement strategy, etc., and in recent years, it is the quantitative index enhancement product that has undertaken the large expansion of quantitative private placement. It is generally benchmarked against CSI 500 and CSI 1000, and private equity will invest according to its own strategic model, so as to enhance the return of the benchmark index. In the past two years, the "small market capitalization factor" has become popular, and many quantitative private placements have finally unconsciously collectively bet on micro-cap stocks. In the past two or three years, the overall performance of the market has been poor, but quantitative private equity has shined in the yield with IT technology and strategy, whether it is CSI 500 or CSI 1000 index products, the annual excess can be between 10-20%, or even higher, so that quantitative private placement has entered a large expansion, and the current quantitative private placement scale is 1About 5 trillion.
The neutral strategy actually refers to the deformation of the growth strategy, or the neutral strategy that takes off the hedge is the exponential enhancement strategy. Index enhancement is still a long product, although there is an enhancement part, but if the market or ** overall downward trend, the same loss. On the other hand, the neutral strategy adds hedging on this basis, so that it can be unaffected by beta (market**) and have continuous alpha returns. The neutral strategy is favored by investors, especially institutional investors, with stable returns and low drawdowns, and many people may not have much contact, because many high-performing neutral strategy products are basically digested by banks' own funds, FOF and other institutions, and even banks, brokers, and third-party wealth companies may not be able to get the quota.
It can be said that this market is actually closely related as a whole, and many people say that it is none of my business to do what strategies institutions do, I choose stocks by myself, and as long as I don't sell you, I can't cut me. Not necessarily, it's like if you're walking down the road and you see two stout men fighting, and you stop a little to watch, not wanting them to fight, a wrench, flying sideways and hurting you. Having talked so much, who is the "butterfly" that flapping its wings? At present, everyone's analysis points to snowball products, the author's previous article "Beautiful 50, Fatal 5000!" There are two risks to be aware of! I also analyzed snowball products, and I remember that many articles also analyzed that the knock-in of snowball products has nothing to do with the market and will not affect it
The article "The Law of the Dark Forest of A-shares" said that when the knock-in point of the snowball product is exposed, then this point must come, in fact, the market can be said to have accurately achieved the explosion of the snowball product in the past two weeks.
The key point is that the continuous knock-in of snowball products has made the hedged stock index ** long orders continue to be flattened, so we can see that the annualized discount rate of the CSI 500 and CSI 1000 stock index ** last week has gone to more than 20. With the sharp fall of the futures index, the hedging part of the neutral strategy mentioned above made a big profit, and at the same time sold and held small and micro caps** and stock index** short orders.
The neutral strategy is normally unleveraged, because the performance is stable, the neutral strategy plus leverage mode of DMA appears, so there are many long positions in it, and the collective sell-off makes micro-cap stocks enter negative feedback. During this period, including the deleveraging selling of on-exchange financing orders and the sell-off triggered by the redemption of quantitative private placements, this process has been exacerbated.
Last night, the author reviewed the article "Big **! Can it be sustained? "It is clearly said: Yesterday, the CSI 1000 index was only 5 miles away from the limit point28% of the ** space belongs to the closest to the bottom of the limit in the main index. In this sense, the author believes that the current CSI 1000 Index still has room for the future. As for other indices, after today's volume, the author thinks that they will once again enter the long-short balance pattern. Among them, the SSE 50 and CSI 300 may be weak in the near future due to the previous protection of the disk or stability; The CSI 1000, the ChiNext Index, and the Kechuang 50 may be strong. 
Today, the CSI 500 rose 632%, CSI 1000 rose 447%, stronger than the SSE 50 up 109%, CSI 300 rose 096%, in line with expectations. The CSI 2000 fell 28%, Wind Micro Cap Index 924%, 317 stocks fell to the limit, down 9More than 9%**496, small cap** still has a large liquidity risk.