Recently, the market fluctuated violently, and many people blamed it on the quantitative rise and fall. During this period, a quantitative person told reporters reluctantly: "as long as there is a stock disaster, it must be quantitative back pot".
How does quantification affect the stock market? In recent years, under the huge fluctuation of the market, is it quantitative? And in the market crash, whether to quantify the passive clearance to further "kill"? Today, the reporter interviewed five quantitative private placements including magic square quantification, Jiukun investment, Mingyu investment, Lingjun investment and Mingshi investment to understand the specific situation.
quantifying whether to help rise and kill fall
response: misunderstanding! In most cases, it reduces market volatility
Recently, the volatility of the stock market has intensified, and some voices in the market blame it on quantitative trading, which has an impact on the stock market. Quantitative private placement has once again become the target of public criticism.
In the view of the quantitative community, this is a misunderstanding of quantification.
magic square quantification said that a series of recent market public opinion equated quantitative investment with high-frequency trading, and subjectively speculated on the impact of quantitative institutions on market fluctuations. This understanding itself implies some misunderstandings about quantitative investment.
Magic square quantitative explanation, first of all, there are a variety of quantitative strategies. Different strategies have different income sources, trading modes and market impact. So far, no authoritative research shows that quantitative investment will inevitably aggravate market volatility, which is a good research topic. In fact, the market effectiveness of A-Shares has been relatively high, and it is difficult to make money in the short term.
According to their observation, as a whole, quantification suppresses market volatility in most cases and increases market volatility in a few cases. The professional level of quantitative participants is generally high, and professional participants are more inclined to buy on the low and sell on the high, rather than chasing up and down. At the same time, when the internal and external situation changes, professional participants can more quickly promote the market to a new equilibrium position, reduce redundant shocks and increase the efficiency of pricing. The quantization strategy is convergent and rational as a whole, and plays a role in damping the fluctuation.
On the other hand, quantitative investment has developed abroad for a long time and on a large scale, but it has not been criticized for many years. There is malicious pursuit of growth and decline, and it has not significantly increased market volatility. Taking S & P as an example, the share of quantitative trading of U.S. stocks has been rising from 11 to 18 years, but the volatility did not show an obvious upward trend until before the epidemic.
Jiukun investment also said frankly that "quantitative trading will help the stock market rise and fall" is a misunderstanding of quantification. The quantification of A-Shares is mainly based on index enhancement and neutral strategy. In case of market fluctuations, the overall position remains full and operates stably. The trading volume is basically the same every day, which will not form an overall buying pressure or selling pressure on the market. " for example, in the days when the market fell sharply last week due to the situation in Russia and Ukraine and the international political environment, our positions remained full and traded stably, which actually played a role in supporting the stability of the A-share market. " he said.
In fact, when the market goes up or down too deeply, the quantitative reversal strategy will reverse the transaction, which inhibits the market from going up or down too much in one direction to avoid sharp rise and fall. From this perspective, quantitative strategy has become the reverse "buffer" of the market. At present, inversion strategies account for a relatively high proportion of China's quantitative stock selection strategies. With the continuous growth of quantitative scale in the future, it will further reduce the probability of sharp rise and fall of the stock market.
Even from the perspective of stock selection, many people are worried about the impact of homogenization of quantitative strategy on the rise and fall of individual stocks. In this regard, Jiukun said that due to the diversification of investment logic (factors) in quantitative strategy and the dispersion in individual stocks, the overall impact on the market is more limited, and homogenization will dilute the return of strategy, which quantitative institutions will try their best to avoid.
From the history of the U.S. market, the market volatility has not increased significantly in the process of the continuous increase of the proportion of quantitative transactions.
Ming Investment said that from the literature and practice of overseas markets and the literature and practice results of China's A-share market, with the increase of the proportion of quantitative investment, the volatility of the stock market showed a downward trend. From the perspective of individual stocks, with the improvement of quantitative investment participation, the probability of continuous rise and fall of stocks is also decreasing, which is also the embodiment of market effectiveness.
In addition, in the long-term history of the A-share market, due to the lack of public funds participating in the trading of small and medium-sized stocks, some funds have the space to manipulate the stock price to obtain profits in small and medium-sized stocks. When some funds raise the stock price, there is no institutional funds to balance the stock price due to the lack of short selling mechanism, and the rise of quantitative investment complements this gap.
Due to the large number of shares held by quantitative institutions and more small and medium-sized stocks, when it is found that the stocks with positions deviate from the reasonable price, they will tend to sell the stocks held, so as to curb the rise of stock price and reduce the volatility of stocks. This will lead to a significant reduction in the profits of some funds, or even unable to make profits. In practice, with the increase of the proportion of quantitative investment, the price effectiveness of small and medium-sized stocks has increased significantly.
\u3000\u3000 "Taking Mingchen as an example, our buying and selling signals have no strong correlation with the rise and fall of stock prices in the past, when the stock price moves from deviating from a reasonable price to a reasonable price, the direction of our buying and selling list will be the same as that in the past. When the stock price moves from a reasonable price to deviating from a reasonable price, the direction of our buying and selling list will be opposite to that in the past. And logically speaking , when trading in the wrong direction, the more trading leads to more losses. " Speak frankly.
Lingjun investment believes that quantitative transactions explore the company's value through multi factor model, which will make the market more effective and pricing more reasonable in the long run. Looking back on the development of the US market and China's A-share market, we can see that quantitative development will reduce the volatility of the stock market and narrow the deviation between price and value. Whether subjective or quantitative strategies, the most fundamental excess source lies in the value exploration of stocks, but the methodology is inconsistent. At present, most of the funds of China's subjective strategies are mainly focused on the value exploration of large cap stocks, and quantification can analyze the whole market stocks based on a large amount of data. Therefore, the development of quantification has a relatively more obvious effect on the reduction of volatility and value regression of small and medium cap stocks. In addition, quantitative investment decisions are made by evaluating the stock value based on multi-dimensional information such as fundamentals, price and volume.
Therefore, quantitative investment is not chasing after the rise and killing the fall, but looking for the wrong pricing of the market, that is, when the individual stock price seriously deviates from the reasonable value due to irrational overheating or too pessimistic market, the quantitative decision will choose the reverse operation due to the elimination of man-made subjective judgment and the decision probability based on the model, so as to obtain the excess return brought by this part of wrong pricing, and reduce the irrational fluctuation of stock price at the same time, Boost the price to return to a reasonable value range.
Second, China's current quantitative strategy, taking quantitative pure long product lines as an example, is basically full warehouse operation. On the premise of the normal operation of the strategy, unless faced with redemption, it will not take the initiative to reduce its position, and the scale of quantitative funds is relatively stable in the face of the fluctuation of the market environment.
Mingshi investment analysis shows that quantitative investment is a trading strategy model established through statistics based on historical data. Transactions are carried out by computers. Quantitative transactions strictly follow the quantitative strategy model. Trading behavior is not affected by the market and human emotions. Compared with subjective investment, quantitative trading behavior is more objective and will not be amplified by severe market fluctuations.
Mingshi investment added that from the quantitative development process of overseas mature markets, on the one hand, quantitative investment can provide liquidity for the market and make the stock market more active. On the other hand, it will also make the market more effective. In correcting asset mispricing, it can make the capital market give full play to its effectiveness. In addition, the main quantitative strategy is the reversal strategy, which is to buy over falling stocks. Many investors will overreact to negative information, while quantitative investment will bargain hunting and make the market more effective. Therefore, quantitative strategy will also reduce volatility.
Compared with subjective investment, the position of quantitative investment is more dispersed, and each product will hold Tus-Design Group Co.Ltd(300500) stocks, and the impact of quantitative trading on individual stocks is less. Taking the previous top ten heavyweight stocks as an example, the proportion of the top ten heavyweight stocks of quantitative products generally does not exceed 15%, while the proportion of the top ten heavyweight stocks of subjective investment products is as high as 50% ~ 70%, or even higher.
In addition, quantitative products generally do not do timing and position management due to the expectation of future market trend. The long ends of products such as index enhancement and quantitative stock selection operate with full positions. Strong stocks in the market are selected through quantitative strategies to obtain excess returns. Even if the positions need to be reduced in case of customer redemption, due to the dispersion of positions, the impact of quantitative investment position reduction on the market is less.
mainstream quantitative institutions have not taken the initiative to reduce their positions this year
has been operating in a high position and is still net buying in the near future
In the fierce market fluctuations this year, whether to reduce the position quantitatively? Magic square quantification, Jiukun investment, Mingyu investment and Mingshi investment all clearly told reporters: No.
"As far as we know, China's mainstream quantitative private equity managers have not taken the initiative to reduce their positions during the market fluctuation this year," Ming Investment said, which is mainly to firmly value the long-term development of China's capital market and their confidence in their own strategies.
magic square quantification said that most products of magic square belong to index enhancement products, which is a typical long strategy. It has always maintained a stable high position operation and maintained this position in a highly volatile market environment. In the most drastic period of recent market decline, their products were generally net purchases.
Jiukun investment said that since the beginning of the year, under the background of A-share shock adjustment, Jiukun's various types of products have been operating stably with full positions, and the management scale is relatively stable. Quantitative long strategy products are now the mainstream quantitative asset management products and the natural long force in the A-share market.
Mingshi investment said that the position of its products is still determined by the product strategy attribute, which means that the products of increase and hedging type always run full positions, while some products with timing signals, such as quantitative bull and timing hedging strategy products, make the machine dynamically adjust the position according to their strategies. On the whole, because Mingshi investment products have been in the state of net subscription since this year, the long-end shareholding has increased compared with the end of last year. At the same time, the company is also increasing its investment in investment and research software and hardware, continuously optimizing and iterating the quantitative strategy, so that the quantitative strategy can quickly adapt to the changing market style. Recently, the company has added the strategy congestion factor to the strategy to optimize the strategy performance at the factor end and risk control end.
"Taking Mingyu as an example, all products of Mingyu are net buying during this period. Among them, hedging series products have increased positions in different proportions according to their own risk exposure coefficient, which is basically at the historical peak in mid March; while quantifying long series products is a full position strategy in itself." According to Ming introduction, unlike overseas hedging products, China's mainstream quantitative products are quantitative bulls, and one of the strategic characteristics is full warehouse. This mainstream product line is precisely the backbone of market long.
quantification encountered a significant pullback
private placement, follow-up investment, self purchase, advance and retreat with investors
Of course, perhaps because most quantitative bulls operate in high positions, many quantitative private placement products have retreated to record highs since this year.
In this regard, Jiukun investment frankly said that from the fourth quarter of last year to the Spring Festival, the excess experienced a wave of retreat, superimposed with the decline of the market in the early stage, and the performance was not ideal. However, both the excess performance and the market are rebounding recently. Although the market is uncertain in the short term, they are still full of confidence in the future performance.
Therefore, based on the self purchase of 100 million yuan of its products in February, Jiukun also promised to invest 10 million yuan of its funds every month in the next three years, accumulating 360 million yuan, and practice the long-term and scientific investment philosophy with Jiukun investors.
Lingjun investment also said that there has been a certain excess pullback in the quantitative industry recently, and the industry is facing phased challenges. Looking back on the past development process, we should objectively admit that no strategy can defeat the market forever. The core of quantitative investment is not the model itself, but the ability to continuously iterate the model, because the market is always changing. Only by continuously increasing R & D investment and improving strategic reserves can we face the market more calmly under the positive feedback of "strategic development - short-term challenges - iterative growth". In the current information age, the quantitative investment model based on big data still has a lot of room to improve the investment capacity. At present, they are also working in this direction.
After the Spring Festival this year, Lingjun investment increased the capital of the company and its shareholders by 150 million yuan, applied for Lingjun quantitative stock selection and navigation strategy and other product lines issued by various cooperative institutions on a commission basis, firmly held them for a long time, and expressed its confidence in the long-term healthy and stable development of China's capital market and its business determination on its own investment and research continuous iteration ability with practical actions.
In addition, according to Mingyu revealed that the market has been relatively volatile since this year, and Mingyu investment's products are in the state of net subscription on the whole. Mingyu explained that its own funds are the normal follow-up investment, and its products have been in the state of net subscription since this year. "In the past year, Mingyu has not raised large-scale funds through channels. Since the second half of 2021, the main products promoted by Mingyu and its partners have basically been two-year closed products. Since this year, the market has fluctuated, but Mingyu has relatively no pressure on redemption and digestion scale."
quantitative passive position reduction statement: against quantitative long product warning line and stop loss line
In response to the fact that some securities companies said they saw some quantitative private placement with position reduction behavior, Ming Investment explained that it was a passive position reduction - customers redeemed or touched the early warning line, etc. "But this is not the problem of quantitative investment itself, but when market fluctuations affect investor sentiment, institutional investors who may be engaged in asset management will encounter this situation.
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magic square quantification believes that the setting of early warning stop loss of asset management products varies according to different product types. Their proposition in quantifying products is to reduce the early warning stop loss line as much as possible and maintain a more flexible product opening setting. "We have always been cautious about setting the early warning stop line, which is closely related to the characteristics of our main index enhancement products. Because it is closely related to the fluctuation of the market system, in order to ensure that the strategy does not deform in a specific period of time, we generally set the stop line of quantitative long products at 0.5 or even not. At present, we still haven't seen any products enter the early warning range." Magic square representation.
Jiukun investment points out that the setting of early warning line and stop loss line is generally determined by the expectation that investors can bear risks and the prior judgment of managers on the downside risk of fund investment. However, no matter how it is set, it is agreed by both parties and is not suitable to preset too many restrictions.
"For example, quantitative index enhancement products aim at small tracking error and outperforming the corresponding index for a long time. Generally, they require full warehouse operation. Some investors will be an alternative to index funds to meet the needs of asset allocation, so we will think it is not suitable for the early warning line and the flat warehouse line, which has also been recognized by investors." Nine Kun said.
Mingchen is clearly opposed to quantitative long product early warning line and stop loss line. "Generally speaking, quantitative long products should try not to set early warning line and stop loss line. If it is necessary, we generally recommend 0.65 (stop loss line) / 0.7 (early warning line) In this regard, we have internal evaluation. For example, from the perspective of quantitative bull strategy itself, the largest pullback in history has not exceeded 30%, and it is generally unlikely to touch 0.65/0.7 unless it is a market extreme situation that is difficult to happen once in a decade Since its establishment, Mingyu quantitative long products have never touched the stop loss line in history. "
Mingyu believes that he can't fully cater to customers and should do difficult and correct things. At present, less than 40% of Mingyu quantitative long products are products without stop loss warning line. With the deepening of their cooperation with channels in the future, the proportion of such products will be higher and higher, thus forming a positive cycle.
Finally, Lingjun investment supplementary suggestions: in terms of supervision, first, it is suggested that the quantitative products can be reported in a procedural way or marked by securities companies, and on this basis, the regulatory authorities should organize experts to study the quantitative trading behavior, and make authoritative identification or clarification of some facts. For example, quantify the real proportion of trading volume, and whether to increase or reduce market volatility in the average sense of quantitative trading. This also helps to further clarify the regulatory direction of quantitative transactions. Second, it is suggested that the market can further enrich risk management tools, such as stock index futures in the mass entrepreneurship and innovation sector.
