After the "2.5 billion yuan smashing culprit" was caught, the customer base exploded! The well-known quantitative giant apologized at 2 o'clock in the morning, and the private equity circle also fried the pot: it was too touching, and it was the first time I saw this kind of punishment sold
Reporter: Li Na, Yang Jian, Editor: Cheng Peng, Peng Shuiping, Ye Feng
Lingjun Investment's apology is coming.
In the early morning of February 21, Lingjun Investment issued an announcement on its official public account, saying that the company resolutely obeyed the trading restrictions taken by the Shanghai and Shenzhen Stock Exchanges. The company sincerely apologizes for the negative impact caused. Lingjun Investment also said that in the next step, it will strictly control the transaction progress, transaction constraints, and control the transaction rhythm to ensure smooth and balanced transactions in the whole process of trading.
It is worth noting that after the end of the Spring Festival holiday, in the context of the "rising voice" of the peripheral stock market, investors have high hopes for the first trading day of the Year of the Dragon, and the market is in high sentiment. The Shanghai Composite Index opened higher on February 19, but was quickly smashed down within a minute of the opening.
After the market on February 20, the "culprit of smashing the market" on the first trading day of the Year of the Dragon was caught! The Shanghai and Shenzhen stock exchanges reported that Lingjun Investment smashed A-shares in a short period of time after the opening of the market on Monday: 2.567 billion yuan was frantically sold within one minute of the opening, causing the index to fall rapidly. The Shanghai and Shenzhen Stock Exchanges imposed trading restrictions on the relevant securities accounts in the name of Ningbo Lingjun and initiated the procedure of public reprimand and disciplinary action.
After the release of the above notice, some market participants said in the circle of friends that now the customer base of Lingjun Investment has exploded, and they are worried about investor redemption. In this regard, a person related to Lingjun Investment told the "Daily Economic News" reporter, "For the company's customer group bombardment, our company has been punished, and it is normal for customers to be suspicious." ”
On the afternoon of February 20, after the Shanghai and Shenzhen Stock Exchanges restricted Ningbo Lingjun from buying and selling stocks and publicly condemned it, the official websites of the Shanghai Stock Exchange and the Shenzhen Stock Exchange respectively released the reports on the "Stable Implementation of the Quantitative Transaction Reporting System of the Shanghai Stock Exchange" and "The Stable Implementation of the Quantitative Transaction Reporting System of the Shenzhen Stock Exchange" on the evening of the same day. In the future, we will continue to strengthen the monitoring and analysis of quantitative trading, especially high-frequency trading, and dynamically evaluate and improve the reporting system.
2.5 billion was smashed within one minute of the opening of the market
Lingjun Investment apologized in the early morning
In the early morning of February 21, Lingjun Investment issued an announcement on its official public account, saying that the company resolutely obeyed the trading restrictions taken by the Shanghai and Shenzhen Stock Exchanges. The company attaches great importance to the problems existing in the product transaction, and has carried out deep internal reflection and review. On February 19, 2024, the company's management products bought a net of 187 million yuan throughout the day, but the trading volume was large within one minute of the opening of the day, and the company sincerely apologized for the negative impact caused by this.
According to the announcement, Lingjun Investment has been optimistic about and insisted on being long in the Chinese stock market for a long time, and its stock positions have always been close to full. In the next step, the company will deeply learn lessons, more carefully study relevant laws and regulations and trading rules, effectively enhance compliance awareness, and strictly control the transaction progress, transaction constraints and control the transaction rhythm by improving the trading model, so as to ensure smooth and balanced transactions in the whole process of trading, effectively maintain the normal market trading order, and fully protect the legitimate rights and interests of investors.
The Shenzhen Stock Exchange announced that on February 19, the Shenzhen Stock Exchange found that from 9:30:00 to 9:30:42, a number of securities accounts under the name of Ningbo 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. The Shenzhen Stock Exchange decided to impose trading restrictions on the relevant securities accounts under the name of Ningbo Lingjun from February 20, 2024 to February 22, 2024, restricting it from trading all stocks listed and traded on the Exchange during the above-mentioned period, and initiating the procedure of public reprimand and disciplinary action against Ningbo Lingjun.
Coincidentally, the Shanghai Stock Exchange also issued an announcement that on February 19, it was found in the trading monitoring that from 9:30:00 to 9:31:00, a number of products managed by Ningbo Lingjun Investment sold a large number of Shanghai stocks totaling 1.195 billion yuan, during which the Shanghai Composite Index fell rapidly in a short period of time. It was found that Ningbo Lingjun's above-mentioned transactions violated the "Shanghai Stock Exchange Trading Rules", which stipulates that "programmed transactions are carried out through automatic generation or issuance of trading instructions through computer programs, which affect the security of the Exchange's system or normal trading order". The SSE has decided to continuously implement regulatory measures to suspend the trading of investors' accounts on the relevant products managed by Ningbo Lingjun from February 20, 2024 to February 22, 2024, that is, to suspend all stock trading of the relevant product accounts listed on the Shanghai Stock Exchange during the above-mentioned period, and at the same time initiate the disciplinary procedure of public reprimand to Ningbo Lingjun.
Ningbo Lingjun was publicly condemned, but the private equity investment circle lit up. A private equity person said in the circle of friends, "It's so touching, it's the first time I've seen this kind of punishment sold." Another private equity person said that this is very good, because the exchange has previously checked the continuous price limit to go long, and this is the first time in several years to investigate and deal with short.
According to the data, Lingjun Investment exceeded 10 billion yuan for the first time in 2018, and the asset management scale has exceeded 60 billion yuan by 2022.
The "Strategy Operation Statement" is popular
Lingjun Investment-related persons: released before the holiday
From the perspective of performance, the performance of Lingjun Investment since 2024 is not satisfactory. According to the data of the private placement network, the net value of the unit of Lingjun Quantitative Stock Selection Pilot No. 2 as of February 8 was 0.6071 yuan, with a loss of 33.95% since the beginning of this year, and the net value curve has fallen off a cliff. The same is true for the net value of Lingjun Quantitative Stock Selection Pilot Privilege No. 1, which has lost 33.97% so far this year.
It is worth mentioning that yesterday evening, the market reported a "Statement of Strategy Operation" of Lingjun Investment, showing the changes in its market-wide stock selection (pilot) model holdings, of which the number of shares held on February 19 was not shown, and the overall number of shares held on February 8 before the Spring Festival decreased by 415 from the previous day. Lingjun Investment said in the above-mentioned strategy statement, "The investment research team is also deeply remorseful in the extreme environment of the market...... This extreme environment is indeed a heavy lesson. ”
Regarding the above-mentioned "Strategy Operation Statement", Lingjun Investment related people said, "This strategy operation statement was released before the holiday, not today, and may only be in the hands of channel customers now."
Regarding the recent quantitative strategy, a private equity person said in the circle of friends, "The quantitative opening is concentrated on selling, and the sky-high selling orders are made by these quantifications." The homogeneity of quantitative strategies is serious, and all of them are quantitative trading software programs with one model. ”
Another private equity person said in the circle of friends, "The current strategy is the super falling micro disk + hot concept, mainly because the quantification is clear, no one picks wool", "At present, quantitative funds have gone to the CSI 500 plate to collect wool, and small ticket stocks have risen to open a market without resistance, referring to the incrementalization last week, which basically underperformed the index significantly." ”
Last year, he collectively refuted the smashing of quantitative funds
When everyone was full of confidence, the quantitative institutions fell into the whirlpool of public opinion again. In this regard, some market participants said in the circle of friends that this situation has many similarities with the situation of last year's "828 stamp duty reduction".
It is understood that on August 28 last year, the A-share Shanghai Index opened nearly 5% higher under the major benefit of reducing stamp duty, and did not expect that it closed up only 1.13%.
It is worth noting that on the evening of August 28, 2023, Wang Chen, founding partner and CEO of Jiukun Investment, reposted relevant articles through social platforms and said, "China Quant has endured too much unwarranted malice, and it is pure ignorance to say that quantitative smashing is pure ignorance", "China Quant Fund, which is always full, is the backbone of Big A". Coincidentally, shortly after Wang Chen released the news, Cai Meijie, chairman of Lingjun Investment, also forwarded the above article, and the attached text was consistent with Wang Chen. In addition, a number of quantitative private equity giants such as Jukuan Investment and Siyi Investment have also stood in line, stating that it is not quantitative funds that have caused the market to rise and fall.
Risk control is challenging
In the week before the Spring Festival, the darkest moment of quantitative private placement finally surfaced, especially in the 500 index and 1000 index quantitative private placement.
According to the performance of some quantitative private equity funds summarized by the business department of China Merchants Securities Building, from February 4 to February 8, 2024, judging from the performance of the CSI 500 index products under the 19 quantitative private equity funds included in the statistics, 17 companies such as Black Wing and Tianyan have far underperformed the performance of the index in the same period. The excess return of a small number of 500 index products under the quantitative private placement has turned from positive to negative, and the excess drawdown in a single week has even exceeded 10%. Excess drawdown refers to the negative difference of a portfolio compared to its benchmark over a specific period.
Looking back on this market, many quantitative private equity funds also sighed: "unprecedented impact", "basically broke the historical record of each company's single-week drawdown", "this is a situation that has never happened in the past ten years." Words such as "" frequently appear in the operation of private equity companies in the report. Insight Private Equity believes that in the first two weeks of the Spring Festival in 2024, the A-share market will fluctuate sharply, which will make the quantitative industry and quantitative risk control experience an unprecedented impact.
After the Spring Festival, in response to the poor performance before the holiday, a number of institutions issued operational statements.
Every time the reporter flipped through the operation of Lingjun, Hangzhou Longqi, Century Frontier, Xuanxin and other quantitative private placements, they all mentioned the problem of how to effectively control the risk of quantitative investment under extreme market conditions.
In the operation of the investment strategy released by Lingjun, the company said that from February 5 to 8, 2024, a large number of funds in the market will be piled up into the constituent stocks of the CSI 500/1000 ETF, resulting in a significant rise in the stocks in the constituent stocks relative to the stocks outside the constituent stocks. In this environment, the risk control conditions for factors such as nonlinear market capitalization in risk control have directly stepped 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 in the CSI 500/1000 index, which directly led to a large drawdown of this round of excess.
Quantitative Private Equity Century Frontier said that under the risk of pure market behavior, market capitalization exposure fluctuations are usually constrained at 0.3 standard deviations. Specifically, the yield gap between the CSI 2000, CSI 1000 and CSI 300 indices has exceeded 3 standard deviations many times, including 7 standard deviations on February 5. Because quantitative investment is based on historical data mining and statistical laws to develop strategies, to mine mispricing under normal market conditions, and to make corrections for market efficiency. In the recent extreme market, the alpha and risk control models have failed to a certain extent.
In response to the sharp fluctuations in the net value of Xuanxin Caixiang Neutral No. 1 product in the week before the holiday, the company's risk control model triggered the constraint execution after obtaining abnormal market data, which greatly reduced the style exposure exposure, and finally constrained the exposure to 0. The risk control model reduces the possibility of excess drawdown in the style direction, but it has no obvious effect on the large difference between the inside and outside of the constituent stocks, and even the selection of stocks within the constituent stocks will lead to excess drawdown due to structural differences, which ultimately leads to this drawdown.
The unexpected drawdown has also made private equity funds extremely busy, and quantitative private equity will not rest during the Spring Festival.
Beijing Zhuozhi Private Equity said that in response to the risk control optimization problem under a variety of extreme markets, the R&D team worked overtime during the Spring Festival to carry out high-intensity strategy iterative development, and has completed the upgraded version of the 500 index increase, 1000 index increase, and neutral hedging strategy, which will be launched after the Spring Festival.
For the future of quantitative private placement, a senior brokerage custodian told the "Daily Economic News" reporter that he is not worried, he believes that compared with subjectivity, quantification has many advantages, and the prospects are relatively clear.
Private Equity Beijing Zhuozhi believes that after the excess drawdown before the Spring Festival, there are several changes that are highly certain, one is that the competition of quantitative strategies will be weakened a lot. After this market, the overall size of the quantitative industry will shrink. The redemption of some quantitative funds and the sharp decline in the scale of DMA will reduce the competition of quantitative strategies and make the excess better than before.
Second, the quantified risks have been fully released. In the future, the operation of quantitative strategies will be light and usher in a relatively good market environment. After this excess drawdown, the quantitative market has been cleared, and investors who can still hold quantitative strategies believe that they will usher in an excess rebound and a recovery of returns.
The latest release of the Shanghai and Shenzhen Stock Exchanges:
Quantitative supervision will be further strengthened
On February 20, the Shanghai and Shenzhen Stock Exchanges suspended Ningbo Lingjun and launched a public censure procedure, releasing a strong regulatory signal for the illegal behaviors of quantitative institutions that affect the smooth operation of the market and damage the legitimate rights and interests of investors.
On the evening of the same day, the Shenzhen Stock Exchange and the Shanghai Stock Exchange successively announced that on September 1, 2023, the exchange issued the "Notice on Matters Related to the Reporting of Stock Programmatic Transactions" and the "Notice on Matters Related to Strengthening the Management of Programmatic Transactions", establishing a special reporting system and corresponding regulatory arrangements for quantitative trading, which will be officially implemented on October 9, 2023. With the joint efforts of all parties involved in the market, the above-mentioned system has been smoothly implemented, the existing investors have completed the reporting work as scheduled, and the incremental investors have implemented the provisions of "reporting first, then trading", and the quality of the reports of all parties generally meets the requirements, laying the foundation for further strengthening and improving the supervision of quantitative trading. The exchange will continue to strengthen the monitoring and analysis of quantitative trading, especially high-frequency trading, and dynamically evaluate and improve the reporting system based on the reporting information.
In recent years, with the widespread use of new information technology, quantitative trading has become an important trading method. Quantitative trading helps provide liquidity to the market and facilitates price discovery. However, quantitative trading, especially high-frequency trading, has obvious advantages in technology, information and speed compared with small and medium-sized investors, and there are also problems such as strategy convergence and trading resonance at some points in time, which increases market volatility.
From the perspective of international experience, overseas markets generally implement stricter supervision on quantitative trading, especially high-frequency trading, to prevent negative impact on market order.
In the next step, the exchange will adhere to the investor-oriented, take the maintenance of fairness as the starting point and end point of its work, learn from international regulatory practices, pursue advantages and avoid disadvantages, and establish and improve regulatory arrangements for quantitative trading, including strict implementation of the reporting system, and clarify the "report first, then trade" Strengthen the authorized management of quantitative trading quotes, improve the differentiated charging mechanism, improve the monitoring and monitoring standards for abnormal transactions, strengthen the supervision of abnormal transactions and abnormal order cancellation, strengthen the monitoring and regulation of leveraged quantitative products, and strengthen the supervision of futures and spot linkage. At the same time, it will further consolidate the customer management responsibilities of securities companies, improve the self-discipline management and coordination mechanism with the Securities Industry Association and the Asset Management Association, and strengthen the transaction supervision of quantitative private equity and other institutions.
In addition, the Exchange will strengthen communication with HKEX, clarify the reporting arrangements for Northbound investors in Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect in accordance with the principle of consistency between domestic and foreign investment, and include quantitative trading of Northbound investors in the reporting scope. For abnormal transactions that affect the market order, the exchange will resolutely take self-discipline management measures, and those suspected of violating laws and regulations and serious circumstances will be reported to the CSRC for investigation and punishment.
It is worth mentioning that the regulator department has done more in-depth research on the two-sided nature of quantitative trading in recent years.
According to Yicai, the relevant person in charge of the First Department of Market Supervision of the China Securities Regulatory Commission said, "We have systematically sorted out the quantitative trading system of overseas markets in the early stage, focusing on the situation in the United States, Germany, Japan and other markets. In general, overseas quantitative supervision mainly focuses on high-frequency trading, focusing on the characteristics of quantitative trading in batches and speed, and preventing negative impacts on market order. ”
Reporter|Li Na Yang Jian
Editor|Cheng Peng, Peng Shuiping, Ye Feng, Gai Yuanyuan
Proofreading|Sun Zhicheng
Cover image source: Visual China (data map unrelated to picture and text)
|National Business Daily nbdnews original article|
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