In the past week, the "knock-in tide" of snowball products has brought a certain degree of panic to the market, especially those who hold CSI 500 and 1000 ETFs, who may be a little panicked, because most snowballs are linked to these indices.
Judging from the outflows of major ETFs in the past 20 trading days, it is true that the outflows of CSI 500 and CSI 1000 ETFs are ahead of the market, but compared to the scale, the proportion is still within an understandable range, after all, the market expectations are not good.
0500, the CSI 500 ETF, has lost 4.1% of its share in the past 20 trading days, and its net value has fallen by 5.9%, and the ETF still has a scale of 41.2 billion.
The main CSI 1000 ETF in the market lost 10.9% of its share, and its net value fell by 8.53%. In general, it is true that in the weak cycle of the market, not only did not attract low funds to enter the market, but the volume and price fell together, which is a bit disappointing.
So how much of an impact can the "knock-in" of a snowball product have? Let's take a look at other factors that may affect the style of the market.
First of all, looking at the net inflow statistics of funds in the 20 trading days, we can see that four CSI 300 and one SSE 50 ETF have received a large amount of state-owned capital, forming a cluster of core assets to maintain stability. This is also a bright card in the market, so an internal logic of the recent downturn in small and medium-sized market capitalization stocks can be drawn: blue-chip big white horses are supported by big funds, and small ones are relatively lonely.
In addition, we have analyzed that if the market enters a risk-off transaction, it is not conducive to the speculation of the concept of small market capitalization and demon stocks. Once the bank and the Chinese word prefix are protected, it will lead to the weakness of other style theme transactions. Therefore, when a high dividend market comes, it is normal for other themes to lose blood.
Judging from the above analysis, there are other factors in the phenomenon that the small and medium-sized market capitalization market is weaker than the recent market. In terms of the amount of funds, even if all the snowball products are knocked in, the impact on the capital side is only tens of billions, and if it is scattered in dozens of trading days, the daily impact on the market is only a few hundred million.
Let's take a look at the snowball product, although the internal operation of the snowball product is not the same for each brokerage. However, in most cases, the underlying trading is stock index futures, options and other derivatives, which have little impact on the spot market, and most likely is that the concentrated selling of stock index futures and options may bring market sentiment fluctuations. However, there is also a possibility that the snowball product may use the ETF as a hedging position, and once the snowball product is knocked in in batches, the product may abandon this part of the position in order to control the risk position, resulting in a sell-off.
In fact, even so, it is difficult to shake the CSI 500 and CSI 1000 indexes with a market value of 5.9 trillion and 5.5 trillion if they are all smashed. Judging from the CSI 500 floor trading, there is no obvious single-day selling pressure. It's just that it will bring negative changes to people's psychology. The "snowball knock-in crisis" is more of an emotional impact and may lead to the redemption of some fund shares, with little to no impact on net worth
The scale in this case is difficult to predict because the model is not transparent. It is also possible that the brokerage company hedges profits with stock index futures in its own large-scale asset management products, and only allows the snowball product to buy put options to control the overall risk. When it falls out of the option protection price range, the risk exposure is reduced in time, so that the snowball investor can fully bear the risk. Therefore, the real stock index derivatives trading scale may be far more than the scale of snowball products, otherwise it is difficult to stably achieve the high interest of 15%-20% promised to investors by relying on general high selling and low buying, which can be regarded as an extension.
Then set the personality of the snowball product: there is a high probability of making a small amount of money, and a small probability of losing a lot of money.
The worst result of the snowball product is that it loses the same as the index, so why is it said to be "losing a lot of money"? Because it deviates greatly from expectations. Many snowball investors are prudent investors and expect to make a dozen points, but if they suddenly lose 25% now, this change is too big to accept.
This part of the investors may have been afraid to enter the market, and even invested in fixed income before, but now the risk appetite is forced to change sharply, which is a big loss. And making a small amount of money is also relative to the bull market, 103% of them will knock out only the coupon earned, and they will go crazy in the bull market.
Moreover, with the entry of various quantitative funds to intensify the involution, it is difficult to earn index-level volatility returns, and the coupon rate of more than 15% is difficult to maintain for a long time, and brokerages are not willing to buy and sell at a loss.
At the end of the day, the market is still too bad. At this time last year, I believe few people could have imagined that the CSI 500 could fall by more than 20% in a year. The two varieties of 500 and 1000 are relatively neutral in style, and both have encountered such weakness, it can be said that a "stress test" allows us to better understand the risk of the capital market.
Small probability risk events often bring devastating risk results, such as snowball products with 4x leverage, which are directly cleared. Don't underestimate the small probability risk, you can't afford to hurt it. Whenever the investment touches derivatives trading, whether it is the product side or the investment side, the level of risk amplification may exceed expectations, and high return and low risk cannot coexist.
Well, the concentrated knocking of snowball products should be said to be just an anomaly of the "explosion" of the big bear market, and if it goes on like this, there will be more liquidity crises.