I believe that friends who speculate in stocks must have heard a variety of new terms recently, such as snowball trust, refinancing, etc. These seemingly lofty things are all around us, but the retail investors are not high-level, have few assets, and are not connected to the network.
In the past two days, a new financial word has appeared on the stage, similar to the word that has entered the eyes of ordinary people before, this thing is not a "good thing" in the current capital market, and it is one of the culprits that have led to the continuous sharp decline of some individual stocks.
DMA is the English abbreviation of Direct Market Access, which seems to be lofty, but in fact it is indeed quite lofty, and can only be accessed by qualified investors whose asset standards meet the threshold of private equity funds.
Just because you don't mess with it doesn't mean it doesn't mess with you. In fact, due to the collective group of private equity funds using the DMA strategy, as long as there are those targets in your self-selected stocks, they will be greatly affected.
Taking A-shares on February 7 as an example, the three major indexes all rose, and the Shenzhen Component Index and the ChiNext Index rose by more than 2%. It stands to reason that in such a good situation, the vast majority of stocks should rise, but the actual situation is that only 2,210 of the 5,299 companies in the market have risen, while the number of decliners has reached 3,089, and the number of falling limits is 2.82 times the number of limits.
This shows that a large number of stocks that are not included in the index are still struggling, and the index is back at 2800 points, but their prices are still around 2200 points and may fall further. These stocks have a common feature, almost all of them are small and micro stocks with a market value of less than 5 billion yuan or even less than 2 billion yuan.
Why is this happening? It is the DMA that is "playing the devil". After talking so much, it's finally the protagonist's turn to play, what is DMA? Simply put, it is a special service provided by a brokerage.
The quotation we see when we buy and sell stocks is "wholesale" from the brokerage, and the brokerage belongs to the "second dealer", and the price information is transmitted to the trading software after the brokerage, and there is a time difference in the middle.
For 99% of retail investors, slow and 1 or 2 seconds to receive information does not hinder the overall situation at all, but some of the high-frequency trading with software is different, they do thousands or even tens of thousands of transactions in an hour, which is really calculated in seconds and needs instant information.
As a result, the brokerage provides them with DMA services, allowing investors to connect directly with the exchange through professional software, eliminating the "middleman" link in the process of information transmission, and can get all the quotation information as soon as possible.
Who are the people who have high-frequency operations? Isn't it a private equity fund that engages in quantitative trading? DMA is mainly for them.
DMA itself is not much of a problem, it is nothing more than a faster speed of obtaining information, but brokerages and quantitative private equity funds have come up with a new financial derivative product - quantitative neutral leverage strategy, which has attracted many wealthy investors to buy.
"Quantitative" does not need to be explained, isn't it just to do automated high-frequency trading through algorithms and programs? Let's talk about the role of "neutrality" and "leverage" in this financial derivative.
"Neutral" can be simply understood as not making much profit or loss, and maintaining a stable rate of return, such as about 20% per year. Don't underestimate the annualized rate of return of 20%, long-term ability to maintain this level is definitely an excellent product or bullish investors, most of the so-called "stock gods" only make a lot of money when the market is good, but lose serious money when it is bad, and make less money in a few years.
When the neutral strategy is executed, two accounts will be opened, one account will be long and the other will be short, and the other will be short, and stock index futures. One long and one short form a hedge, which can offset the losses brought by market risks to the portfolio, and earn the excess return of the portfolio itself, that is, the difference profit obtained from a large number of high-frequency trading, which is the money-making model that a good quantitative fund is good at.
The return brought by the neutral strategy alone is not high enough, so private equity funds choose to add "leverage", pay part of their own money, and then borrow some from brokers, with a leverage ratio of between 2-4 times. Taking the highest leverage of 4 times as an example, 100 yuan can be used as 400 yuan, and the yield will be magnified to 4 times the original.
Playing with private equity funds, they found that small and micro stocks rose more than the index, so a large number of funds bought these targets, the effect was really good, the yield was very high, and it was even more exaggerated with the blessing of leverage, which is why small and micro stocks ushered in a large wave of market last year.
But how can there be a winning general in the capital market, in the past few years, the core assets of the public fund group have also ushered in a period of highlights, and then the faith collapsed, the stock price of the core assets fell sharply, and this time it was the turn of the small and micro stocks of the quantitative private equity group to fall off the altar.
A number of DMA neutral strategy funds, including products issued by well-known quantitative fund companies, have retreated sharply, and there are many products that have fallen by about 20% in a month, staging a drama of hard work for a year and a month of losing back.
There are many reasons for the collapse of the small and micro stock strategy, and there are two main ones.
First, a large amount of funds sold stock index futures to widen the basis. As mentioned above, the neutral strategy needs to be hedged by shorting stock index futures, and hedging has a cost, and the difference between futures and spot is the cost. A large number of private equity funds use the same strategy to sell stock index futures, causing futures prices to fall, the basis with spot prices to widen, and the rising hedging costs to erode returns.
Second, the supervision has increased deleveraging, and small and micro stocks have been "abandoned" by quantitative funds. Leverage has always been the focus of regulation, and private placements have recently received a request to restrict the sale of DMA business futures orders, with the aim of deleveraging and risk. The short side of the hedging strategy can't be carried out, so you can only start from the long side and continue to sell small and micro stocks. Everyone is "fleeing", the stock price is falling, and the return on the fund naturally falls.
In order to maximize profits, quantitative private equity funds have adopted a radical strategy of increasing leverage and holding small and micro stocks, and they are "buried" after the policy change and the collapse of faith, and they are no wonder to others, but the "stampede" selling has led to the decline in the stock price of small and micro stocks and also affected ordinary retail investors, who are the most innocent.
At the beginning, the stock price of small and micro stocks rose to attract retail investors to buy, but before they could eat many dividends, the market took a sharp turn, and they suffered heavy losses after eating multiple down limits. In the end, it was the small scattered people who endured everything, and they suffered the double harvest of quantitative funds and the market, which was too miserable.
The big weight has been eased under the multiple bailout measures, when to save small and micro stocks? It may have to wait for the private equity to quantify the risks brought by the leveraged DMA, and now the rescue may not be the national team will be cut back by the quantitative fund, and the retail investors who invest in small and micro stocks can only wait a little longer.