Analysts shout: It's the Dunkirk moment of micro-cap stocks again, how can quantification save itself?
Finance Associated Press, April 16 (Reporter Yan Jun) Not surprisingly, the rout of micro-cap stocks has continued since yesterday.
As of the close of trading on the morning of April 16, the Wind Micro-Cap Index continued to open low and move low on the basis of yesterday's sharp drop of 8.88%, falling by more than 10% at one point, and the CSI 2000 ETF and enhanced ETF were among the top decliners, with the largest decline of nearly 7%. So far, the Wind Micro-Cap Index has fallen nearly 33% this year, and the CSI 2000 Index has fallen nearly 22% over the same period.
Some analysts shouted in the morning: It's the Dunkirk moment for micro-cap stocks. Some investors also said that they "smelled the feeling of early February": from January 29 to February 7 this year, in just 8 trading days, the Wind Micro Cap Index fell by 41.12%, and the quantitative private placement performance retreated sharply, falling off the gains of last year in one week.
History is always strikingly similar, but it does not simply repeat itself.
This time the collapse of the microdisk is a direct feedback of the new "National Nine Articles". Under the four arrows of delisting, dividends, reducing the value of "shell" resources, and new regulations on programmatic trading, investors suddenly realized: the "1+N" supporting policy is good for the ecological construction of the capital market, but not for all individual stocks.
On April 15, among the small and micro cap stocks with a total market value of less than 5 billion yuan, more than 9 percent of the targets closed down. Subsequently, the quantitative private placement was accused of selling micro-cap stocks, which led to an exacerbated plunge, and so far, the market has created a sense of a hasty flight from the market.
It doesn't matter whether it sells or not, because the world of quantitative injuries has been reached, judging from the updated net value data of the public offering on the evening of April 15, Dacheng quantitative dynamic fell by more than 8% in a single day, and quantitative and micro-cap funds that fell by more than 4% abounded.
The market is almost one-sided in the short term
After falling sharply for two consecutive trading days, the market's sentiment towards the micro-cap returned to the freezing point, and the Wind micro-cap stock index fell by more than 10% at one point to 9% again.
Among the stock ETFs, the 2000 index-related ETFs have become the hardest hit areas, with two 2000 enhanced ETFs falling by more than 6%, and many funds have been discounted, and the selling pressure is greater.
The market has always believed that the impact of the new "National Nine Articles" on micro-cap stocks is direct and far-reaching. Some institutional people said that "you can say goodbye to microdisks for the time being".
In other words, under a series of policies and systems, a good capital market ecology is built and good companies with value and returns are excavated.
Deepen the reform of delisting, speed up the formation of a normalized delisting pattern that should be withdrawn as much as possible, even if it is cleared, further reduce the value of "shell" resources, strengthen the supervision of mergers and acquisitions, and accurately crack down on illegal "shell" behaviors; companies that have not paid dividends for many years or have a low proportion of dividends will be included in ST.
Delisting, dividends, ST, and the three boards are down, and small-capitalization companies are the first to bear the brunt. Some analysts pointed out that the real impact of the new "National Nine Articles" policy is that the regulatory behavior with value preference may mean a sharp decline in the investment value of micro-cap stocks in the field of structural style, among which the CSI 2000 index is the lower limit of the value of small and medium-cap investment;
At the same time, programmatic trading, which is the most active among micro-cap stocks, is once again under strict regulation. In addition to the implementation and focus on monitoring programmatic transactions, the exchange can implement differentiated fees for high-frequency trading, appropriately increase transaction fee standards, and set up five management measures such as interviews and on-site inspections.
High fees for high-frequency trading, effectively cracking down on high-frequency trading in the "spoofing" trading behavior, a quantitative private placement to the Financial Associated Press reporter said that the transaction cost of high-frequency trading is composed of two parts: handling fee and transaction slippage, and the handling fee accounts for about 20%-30% of the transaction cost.
The strategy volume is usually larger than the average market, which can lead to a discrepancy between the price of the trade and the desired price, resulting in the cost of slippage on the trade. If the pending order to buy is not successful, it is necessary to cancel the order, before the quantitative trading cancellation is not charged, now the cancellation of the order is charged, high-frequency trading, the possibility of transaction slippage is more, and it will increase more transaction costs.
"If the high-frequency trading strategy is better, the number of slippage in the transaction will be less, and the cost will be slightly lower. However, if the trading strategy is not good enough, and the high fees for high-frequency cancellations will have a great impact on the income. The above-mentioned quantitative private equity person pointed out. Under the expectation of strict supervision of programmatic trading, the volatility of micro-cap stocks has been suppressed to a certain extent, the liquidity premium has been flattened, and excess access is more difficult.
Whether it is the policy guidance to crack down on junk stocks, shell resource speculation, or the restriction on high-frequency trading in the trading link, it has become a reason for funds to temporarily leave the market from the micro-market. "Regulatory requirements for private placements have begun to gradually converge with the quantitative trend of public offerings. It has become the general view of many quantitative private equity professionals.
Some industry insiders pointed out that micro-cap stocks are also differentiating internally, and micro-cap stocks with fundamental support can still regain the favor of funds after being wrongly killed in this round of decline, and short-term pain is inevitable.
How can quantitative private equity save itself?
How much impact does the decline of the micro-market have on the quantitative private placement? The net value drawdown that has just been repaired cannot be avoided, but it should also be noted that after the micro-market crisis at the beginning of this year, many quantitative private placements have made adjustments.
First of all, it is a common practice to reduce the frequency of trading and transfer from micro market to CSI 2000 and CSI 1000.
According to reports, at present, mainstream quantitative stock selection products will be limited by factors such as average daily turnover and other trading optimization, and the stock selection pool will exclude some stocks with poor liquidity, and its excess returns do not depend on micro-cap stocks, that is, the bottom 400 targets in the market capitalization of the whole market. From the perspective of the head quantitative private placement, due to the large amount of funds, strategic capacity and other limitations, the position is not in the micro-market, but more concentrated in the CSI 1000 and CSI 2000.
Some quantitative private equity sources said that from the perspective of the median market value of 4.728 billion yuan, the median market value of the constituent stocks of the CSI 1000 Index is 9.274 billion, which has gradually evolved into a representative of mid-cap stocks, while the median market value of the CSI 2000 constituent stocks, which is slightly lower than the median market value of all A, is 3.763 billion, which represents the overall performance of the current small-cap stocks, and the weight distribution is more balanced.
In terms of trading strategy, a 10 billion quantitative private placement told the Financial Associated Press reporter that the strategy has been improved: more strictly restrict Barra's risk exposure, especially the size market value exposure, reduce the index increase strategy stock selection pool, basically exclude micro-cap stocks, and increase the stock selection ratio of 500 and 1000 constituent stocks. In the future, we will re-evaluate the risk-return ratio of these companies according to market reactions, pay more attention to the market value factor of the companies, and adjust the portfolio in a timely manner to reduce potential risks.
At the same time, many quantitative private equity firms have already begun to recruit low-frequency quantitative talents, fundamental quantitative talents and cyclical quantitative talents. With the tightening of supervision, the increase in scale and the improvement of market efficiency, excess attenuation is inevitable, and expansion to medium and low frequency is an inevitable requirement for the long-term and stable development of the industry.
In addition, some quantitative private equity companies have begun to innovate in products, and Derivative Investment has launched a non-market capitalization style "Derivative CSI All-Index Index Increase", covering a large, medium and small market capitalization style of a more balanced index, with more diversified positions. In terms of small-capitalization stock selection, Siyi Investment launched a small-capitalization stock selection strategy, including active stock selection into index products, excluding stocks below 2 billion, stocks with a market value of between 10 billion and 12 billion, and also making an attempt in the fee structure, only charging regular management fees, exempting performance remuneration, and introducing it to the market in the form of instrumentalized products.
(Financial Associated Press reporter Yan Jun)