Preface: since the beginning of the year, the market has experienced turbulence. The Fed’s concern about raising interest rates or even shrinking the table is affected by the warming factors, and more importantly, the negative feedback of the micro liquidity of the Chinese market itself is the main contradiction. After continuous adjustment, the four indicators we tracked have shown that the market has fully released bad news and the adjustment is coming to an end.
indicator 1: fund issuance is picking up, and the scale of self purchase has increased significantly
fund issuance was cold at the beginning of the year, which once attracted market attention. due to the “good start” of fund issuance at the beginning of the year, the schedule of fund issuance in January this year is still intensive. A total of 60 partial equity funds (equity + hybrid) will start subscription in January, and the raising scale is expected to exceed 400 billion yuan. However, as of January 14, partial equity funds issued only 27.4 billion in total (8.35 billion in the first week and 19.02 billion in the second week), which is not only lower than the upper limit of the average fund-raising scale disclosed, but also far lower than the average weekly issuance scale of 28.4 billion in December last year, 28.7 billion in January 2020 and 95.4 billion in January 2021.
but since late January, fund issuance has been picking up. in the report “four questions and four answers: recent fund issuance is cold” on January 20, we have stressed that “in the history of resumption of trading, the cold of fund issuance is often due to the reduction of profit-making effect and the decline of market risk preference caused by the decline of a shares”, “with the gradual stabilization of the market, fund issuance is also expected to pick up, and the subsequent issuance of 100 billion yuan in a single month will still be the norm”. Recently, fund issuance has been picking up. From January 17 to 25, partial stock funds issued 61.9 billion new shares, with a cumulative issuance of 89.2 billion since the beginning of the year, basically returning to the normal level, which will provide incremental funds for the market. At the same time, the self purchase scale of funds has also increased significantly recently. in December 2021, partial stock funds purchased 523 million yuan, a new high since July 2015. Since January 2022, it has purchased 425 million from itself again, which is also at the high level in 2021. It shows that from the perspective of fund managers, the current market is also at the bottom.
indicator 2: if and IC positive basis begin to converge
Since the fourth quarter of 2021, with the intensification of market fluctuations, especially the unsatisfactory performance of fast style switching and new strategy, the overall performance of hedging products has been poor, and the net value of both public offering and private placement has been withdrawn. According to the calculation of China Industrial Securities Co.Ltd(601377) metalworking team, from September 1, 2021 to January 14, 2022, the interval rate of return of public hedge funds is – 2.56%, and the interval rate of return of private hedge strategy selection index is – 2.32%. The poor performance of hedge funds led to product redemption, resulting in the weakening of short hedging power of stock index futures, which has become an important reason for the continuous convergence or even positive basis of stock index futures since September 2021. Especially with the recent sharp decline in the stock market, the positive basis difference of stock index futures is still expanding, which is largely driven by the power of quantitative product closing and deleveraging.
However, this week, the positive basis of CSI 300 and CSI 500 futures converged significantly. Among them, the selling order to selling order ratio of CSI 300 futures rebounded again, which may indicate that the pressure from quantitative capital deleveraging has been significantly released.
indicator 3: the congestion of popular tracks has dropped significantly
from the congestion index, the current congestion of the popular track represented by the “new half army” has fallen to a low level, and the pressure from transaction congestion and capital position adjustment has been fully released. combined with the five congestion indicators of transaction proportion / transaction volume, turnover rate, the proportion of individual stocks on the 30 day moving average, financing buying sentiment and the number of research reports, in the “new half army”, the congestion of the new energy sector has dropped significantly, and most of the congestion indicators have been significantly lower than the lower threshold; The congestion degree of semiconductor sector has also been greatly reduced, and the congestion index has been lower than or close to the lower threshold; The trading congestion of the military industry sector has also dropped significantly compared with the previous period, and most indicators have also dropped to above and below the average.
indicator 4: S & P 500 option put / call fall
Since the beginning of the year, as the Fed’s concern about raising interest rates and even shrinking the table has heated up, and the sharp rise of US bond interest rates has led to the sharp decline of US stocks, especially US technology stocks and overvalued white horses, which once triggered concerns in the Chinese market and further deepened the adjustment pressure on high valuation sectors such as A-share new energy and semiconductors.
At present, although the statement of the Federal Reserve’s interest rate meeting in January added that “the target range of the federal funds rate will be raised soon”, Powell also said that “if all conditions are suitable, we will consider raising interest rates from March” and firmly released the hawkish signal, it is still in line with the market expectation as a whole. The market has even begun to game the extreme situation of raising interest rates by 50bp in March and five times in 2022. For U.S. stocks, after the recent sharp decline, the trading volume ratio of S & P 500 put options to call options has dropped significantly, indicating that the adjustment of U.S. stocks may be coming to an end. The subsequent impact on China’s A-share market will also gradually decrease.
risk tips
pay attention to the fact that the policy easing is less than expected and the game between China and the United States is more than expected
