Lingjun's customer base "exploded", selling 2.6 billion in 1 minute, causing the index to fall, and was directly restricted from trading for 3 days
Finance Associated Press, February 20 (Reporter Shen Shuhong) "The customer base of our company's Lingjun Investment has been 'blown up', and there are many doubts. After seeing that the Shanghai and Shenzhen Stock Exchanges issued restrictions on Lingjun Investment, and the Shenzhen Stock Exchange also launched a public censure procedure, a brokerage source told reporters.
According to the announcement of the Shenzhen Stock Exchange, from 9:30:00 to 9:30:42 on February 19, multiple securities accounts under the name of Lingjun Investment automatically generated trading instructions through computer programs, placed a large number of orders in a short period of time, and sold a total of 1.372 billion yuan of Shenzhen stocks.
According to the announcement of the Shanghai Stock Exchange, also from 9:30:00 to 9:31:00 on February 19, a number of product accounts managed by Lingjun Investment sold a large number of Shanghai stocks, selling a total of 1.195 billion yuan, accounting for a high proportion of market turnover during the period, during which the Shanghai Composite Index fell from 2886.59 points to 2868.07 points, a decrease of 0.65%. This also means that in just one minute, Lingjun Investment sold a total of 2.567 billion yuan of stocks in the Shanghai and Shenzhen markets.
The Shenzhen Stock Exchange also pointed out that since the beginning of this year, the securities account under the name of this company has been repeatedly taken by the Shenzhen Stock Exchange for abnormal trading behaviors and other regulatory measures, but it has not been corrected and abnormal trading behaviors continue to occur. The Shanghai and Shenzhen Stock Exchanges decided to impose trading restrictions on the relevant securities accounts under the name of Lingjun Investment from February 20 to February 22, restricting them from trading all stocks listed and traded on the relevant exchanges during the above period, and the Shenzhen Stock Exchange also initiated the procedure of publicly reprimanding Ningbo Lingjun for disciplinary action.
In a "Strategy Operation Statement" released by Lingjun Investment today, the company showed the changes in its market-wide stock selection (pilot) model. Among them, on February 19, the number of shares held by the model was not displayed, but on the same day, the proportion of CSI 300, CSI 500 and CSI 1000 held by the model decreased, and the number of CSI 2000 stocks held by the model surged to 41%;
The company said that in the short-term abnormal market environment, Lingjun investment investment model has suffered a major impact, the investment research team is also deeply remorseful, the company expressed sincere apologies, and will also deeply reflect on and learn from this lesson in the subsequent operation process, and improve the overall risk control and prevention ability of the model.
"We are now a little worried that this matter will trigger panic redemptions in the quantitative industry, and some products are indeed 'hanging by a thread' before the holiday, and are currently trying to reassure investors. A brokerage channel in South China said. According to another source, the main work of many well-known quantitative private placements this week is to apologize to channels and customers, and at the same time explain the operation of the product and how to further optimize the risk control mechanism in the future.
In the past year, many "abnormal transactions" have sold 2.567 billion Shanghai and Shenzhen stocks in one minute
Late today, the Shanghai and Shenzhen stock exchanges all restricted the trading of Lingjun Investment, and the Shenzhen Stock Exchange also launched a public censure procedure.
According to the announcement, from 9:30:00 to 9:30:42 on February 19, the Shenzhen Stock Exchange found in the transaction monitoring that multiple securities accounts under the name of Ningbo Lingjun Investment Management Partnership (Limited Partnership) (hereinafter referred to as "Lingjun Investment") automatically generated trading instructions through computer programs, placed a large number of orders in a short period of time, and sold a total of 1.372 billion yuan of Shenzhen stock stocks Abnormal trading behavior as specified in Paragraph 6 of Article 6.2.
According to Item 6 of Article 6.2 of the Trading Rules of the Shenzhen Stock Exchange, the Shenzhen Stock Exchange will focus on monitoring the automatic generation or issuance of trading instructions for programmed trading through computer programs, which affects the security of the Exchange's system or normal trading order.
The "Shenzhen Stock Exchange Trading Rules" stipulates
The Shenzhen Stock Exchange pointed out that since the beginning of this year, the securities account under the name of Lingjun Investment has been repeatedly taken by the Shenzhen Stock Exchange for abnormal trading behaviors and other regulatory measures, but it has not been corrected and abnormal trading behaviors continue to occur.
In accordance with the relevant provisions of the Shenzhen Stock Exchange's "Implementation Rules for Restricted Trading" and "Implementation Measures for Self-Regulatory Measures and Disciplinary Sanctions", the Shenzhen Stock Exchange decided to take trading restrictions on the relevant securities accounts under the name of Lingjun Investment from February 20, 2024 to February 22, 2024, restricting it from trading all stocks listed and traded on the Shenzhen Stock Exchange during the above period, and initiating the procedure of public reprimand and disciplinary punishment against Ningbo Lingjun.
The Shanghai Stock Exchange also announced that from 9:30:00 to 9:31:00 on February 19, multiple product accounts managed by Lingjun Investment sold a large number of Shanghai stocks, selling a total of 1.195 billion yuan, accounting for a high proportion of market turnover during the period, during which the Shanghai Composite Index fell from 2886.59 points to 2868.07 points, a decrease of 0.65%.
The above-mentioned accounts are automatically generated or issued trading instructions through computer programs for programmed trading, which seriously affects the normal trading order, constitutes abnormal trading behavior as stipulated in Article 7.2 (6) of the Trading Rules of the Shanghai Stock Exchange (hereinafter referred to as the "Trading Rules"), violates the provisions of Article 1.4 of the Trading Rules, and the circumstances are serious.
The "Shanghai Stock Exchange Trading Rules" stipulates
According to Article 7.2 (6) of the Trading Rules of the Shanghai Stock Exchange, the Exchange will conduct key monitoring if the trading instructions are automatically generated or issued through computer programs for programmed trading, which affects the security of the Exchange's system or the normal trading order.
In view of the facts and circumstances of the above-mentioned violations, and in accordance with Article 7.8 of the Trading Rules and the relevant provisions of the Implementation Measures of the Shanghai Stock Exchange for Disciplinary and Regulatory Measures, the Shanghai Stock Exchange has decided to continuously implement the regulatory measures of suspending the trading of investors' accounts on the relevant products of Lingjun Investment Management from February 20 to February 22, that is, to suspend all stock transactions listed on the Shanghai Stock Exchange during the above-mentioned period. When engaging in securities trading activities, the parties shall strictly abide by laws, regulations, departmental rules and the business rules of the Shanghai Stock Exchange, and conscientiously maintain the order of the securities market.
The Shenzhen Stock Exchange said that it will follow the unified deployment of the China Securities Regulatory Commission, resolutely implement the requirements of "long teeth and thorns" and angular supervision, adhere to the main responsibility and main business of supervision, continue to strengthen transaction supervision, and always maintain a strict tone and a high-pressure posture of "zero tolerance" for violations of laws and regulations that affect the normal trading order of the market and damage the legitimate rights and interests of investors, and respond quickly and strike hard. At the same time, investors are reminded to participate in transactions in accordance with laws and regulations, and jointly maintain the normal trading order of the market.
On the day of the incident, the proportion of CSI 2000 holdings surged
In terms of performance, Lingjun Investment's performance since 2024 is not satisfactory. As of February 8, a medium-sized strategy product under Lingjun has retreated nearly 15% since the beginning of this year, and its CSI 500 Index enhanced product has retreated by 18.26% since the beginning of this year.
In a "Statement on the Operation of Strategy" released by Lingjun Investment on February 20, the company showed the changes in its holdings in the market-wide stock selection (pilot) model. Among them, on February 19, the number of shares held by the model was not displayed, and the overall number of shares held on the last trading day before the Spring Festival (February 8) decreased by 415 from the previous day.
From the perspective of the distribution of constituent stocks, from January 19 to February 8, the number of CSI 300, CSI 500 and CSI 1000 stocks held by the model was increasing, and the proportion of CSI 2000 stocks held by the model showed a decreasing trend. On February 19, the proportion of CSI 300, CSI 500 and CSI 1000 held by the model declined, and the number of CSI 2000 stocks held by the model surged to 41%, which shows the rapid style switch.
In fact, in the two weeks before the Spring Festival in 2024, the market has experienced huge short-term volatility and unprecedented challenges, and in the short-term abnormal market environment, Lingjun Investment's investment model has suffered a major impact. "In the further liquidity stampede of stocks outside the CSI 2000 and 2000, the risk control conditions for nonlinear market capitalization and other factors in the risk control directly out of the range of 5 standard deviations in the past 10 years, and the short-term risk control conditions are completely positively correlated with whether the model has taken enough stocks within the CSI 500/1000 index, which directly led to the sharp drawdown of this round of excess. ”
In this context, Lingjun Investment said that it "continues to pay attention to and adjust the risk control performance, market environment, strategy allocation and other factors of the model all the time, and at the beginning of the extreme market situation, we also tightened the stock risk control of the model for the long end at the first time, and at the same time began to adjust the overall position distribution, and further tightened the overall stock position to the top 1800 stock selection pool by market capitalization (CSI 300 + CSI 500 + CSI 1000), but due to liquidity and force majeure, the strategy still has a certain excess drawdown. ”
To the apologies to investors: We will deeply reflect and learn lessons
Lingjun Investment said in the above-mentioned strategy operation statement, "The investment research team is also deeply remorseful in the extreme environment of the market...... This extreme environment is indeed a heavy lesson. ”
Lingjun Investment reflects that the risk of this round of market environment is mainly caused by the insufficient allocation of CSI 500/1000 constituent stocks, and the follow-up company will focus on improving the model prediction level in the constituent stocks, and the overall risk control of the model is very tight, and the risk control indicators of the long end have been adjusted to within 0.3 standard deviations.
Subsequently, the company's model will continue to strengthen model iteration, enhance stock prediction capabilities, balance strategic returns and risks, and focus on improving the over-prediction level of constituent stocks. At the same time, its model adds the function of intraday order modification. In the special period, the market is greatly affected by the national team's funds, and the intraday adjustment is made according to the trend of the national team's funds, which can effectively improve the winning rate.
"We would like to express our sincere apologies for the poor performance of this strategy, and we will also deeply reflect on and learn from this lesson in the subsequent operation process, improve the overall risk control and prevention capabilities of the model, and strive for an early recovery of excess through continuous iterative optimization. Lingjun Investment said.
(Finance Associated Press reporter Shen Shuhong)
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