Recently, the news of a suspected short position of a private placement boss attracted attention.
Dan bin, the head of Dongfang harbor, was exposed last week as "suspected short position and zero fluctuation of product net value". Subsequently, the first financial reporter contacted Dan bin by telephone. He said that the current position is really low, about 10%.
So, in the context of the current unstable situation outside China and repeated epidemics, how do various institutions view the market prospect?
After an interview with the first financial reporter, it was found that except for Dan bin, who was almost short, most private placement or foreign-funded institutions with absolute income were in the state of half position. "Last December, the positions of all institutions were very full, because considering that the Federal Reserve may not raise interest rates until June 2022, China still has a buffer opportunity, and the market has high expectations for easing policies. However, the outbreak of the situation in Ukraine was unexpected, and the Federal Reserve has also started to raise interest rates. At present, we maintain a defensive attitude of 45% positions, otherwise the portfolio will fluctuate greatly. We still need to observe the arrival of the 'policy bottom' and the changes of overseas situations, However, we should not reduce the position too low, because many opportunities in the "post epidemic period" still exist. " Xu Tao, China equity investment director of kesbo, told the first financial reporter.
In contrast, most of the quantitative positions that have been criticized by the market and considered to lead to the decline of the market are full. "Quantification will never be short, nor will it be short in case of power failure. The quantitative alpha strategy pursues exceeding the benchmark index. Due to the existence of stock index futures hedging positions, this kind of strategy has always been full of stocks, and the quantitative long strategy is also the mainstream quantitative strategy in China." A person from a head quantification agency told reporters.
Due to the different nature of institutional strategies, their positions are also different, but the attitude of investors is still relatively close. With the "short covering" from March 16 falling behind, the market returned to the main line of shock, and the real long-term funds have not been significantly increased. However, with the accelerated transmission of support policies, the clarification of industry regulatory policies and the promotion of epidemic prevention and control, most institutions are still optimistic about the opportunities in the Chinese market.
stock long half position wait and see
Recently, media reports said that hundreds of products under private placement boss Dan bin are suspected to be in short positions or light positions. According to the data of private placement network, the net value of danbin's products has been updated three times since March, but the net value fluctuation of almost all products is close to 0.5% Other private placement products with updated net worth have retreated sharply due to the sharp decline in the market in March.
Therefore, the media and investors speculate that Dan bin may have significantly reduced his position as early as the end of February, and the last time Dan bin suspected short position was in the second half of 2018. However, just six months later, the market started a bull market for more than two years under extreme pessimism. Dan bin also significantly increased his product position, and his net value continued to rise.
In response, Dan Bin also responded to personal micro-blog recently. "After the Baijiu crisis in 2008 and the liquor crisis, the Eastern Harbour added a" systemic risk "to our selling principle. We also considered selling temporary shelters. In 2018, we also talked about the rose in time. The situation and the risk of derivatives in Ukraine this year are our focus, and of course, there are other considerations.
This is also equivalent to indirectly admitting the fact of short positions. He also reflected on himself and said: "from February 2021 to February 2022, our A-share and Hong Kong stock investments have been very poor for a whole year. I often blame myself and often reflect and think about how to make investment choices when the investment philosophy is intertwined with the changes of social environment."
However, there are still a few short positions. According to the reporter's interviews with a number of Chinese and foreign private placement institutions, even for institutions with a defensive attitude, the positions are generally 45%.
A head private equity fund manager in the mainland told reporters: "Hong Kong stocks suffered short selling of international capital earlier, and the valuation was seriously lower than the fundamentals. You can see that some institutions in the offshore market smashed stocks everywhere (sold by securities lending), and some institutions financed securities in order to save themselves. However, due to the strong voice of six ministries and commissions in the afternoon of March 16, many short positions can only be closed, and the reflexivity brought by this kind of closing is huge." He also mentioned that the current position is about 45%. After the "short covering" market is over, we still have to wait and see the subsequent changes in the international situation.
According to the reporter, starting in March 16th, under the market situation, the main purchase targets of hedge funds are Tencent, US group, Kwai Fu, B station and so on. Most of the operations are used to supplement their short selling positions before 3~4. However, the long-term long-term funds of large institutions are still on the sidelines.
Miao Zimei, Asia Equity Investment Director of Fidelity International, told reporters that recently, investors have been disturbed by two uncertain factors: one is the "black swan", that is, the conflict between Russia and Ukraine; The other is the "grey rhinoceros". In addition to the continuous adjustment of regulatory policies, China may also face uncertainties such as repeated outbreaks and delisting of stocks in the United States and China.
most quantizers still run full
Compared with most private equity institutions with absolute returns, most quantitative strategies run full positions.
"Quantitative long strategies are generally full positions. This is also the mainstream quantitative strategy in China. This kind of strategy pursues to surpass the benchmark index and has been hedged in the futures market, so it will always be full positions." A quantitative person said, "compared with quantification, the main force of A-share decline may be more private bulls, public offering 'group huggers' and special account products with early warning line and stop loss line."
Since the fourth quarter of last year, with the decline of the market, people from all walks of life have focused on the withdrawal of quantitative strategies. However, with the rise of quantitative scale, it is not easy to continue to achieve the amazing increase in the second and third quarters of last year (the annualized income of many strategies once soared to more than 60%), and it is normal for some quantitative index enhancement strategies tracking the index to withdraw.
According to the data of private placement paipai.com, in February, the average earnings of all quantitative strategies were positive. Among them, the performance of stock quantitative strategy recovered significantly. The average earnings in February reached 3.33%, and the average earnings in the past year rose to 13.54%. The quantitative Multi Strategy, which focuses on stocks, also benefited from the recovery, with an average monthly return of 2.12%, ranking second. In contrast, due to the slight cooling of commodity futures, the quantitative performance of managed futures was slightly lower than that of last month, with an average monthly return of 1.24%.
Although the trend of quantifying the performance of various strategies is obvious, in terms of quantifying private placement institutions, magic square, Jiukun and Lingping also have some product net worth to be further repaired. Among them, magic square quantization among the 189 quantitative products with performance display, the latest net value of 62 products is less than 1 yuan. This also shows that this round of private placement withdrawal crisis, which began last year, has not subsided. In this context, some insiders stressed that any strategy has periodicity, and the scale of quantitative institutions also needs to be matched with various factors such as strategy capacity, investment and research capacity, market environment and so on.
In fact, high-frequency quantization, which has been criticized in domestic and foreign markets, is rare in China, not to mention millisecond UHF. This strategy called "cutting leeks" is more popular in the US market. Fang Ming, founding partner of Mingshi investment, told reporters that medium and low frequency is the main force. If China's quantitative industry wants to rise, the track of medium and low frequency must go up.
At present, the challenge is that compared with European and American market institutions, China is still dominated by retail investors, and the performance of overseas highly leveraged products of some institutions once retreated sharply, causing an uproar. "In theory, leverage itself is not a problem, especially the low financing cost in the overseas market, but the key is that customers are rarely aware of the risk of leverage. When they buy, they pay more attention to the income and think they can tolerate the pullback, but when the pullback really happens, they find that this is not the case."
pay attention to the international situation and wait for the "bottom of mood"
On the whole, investment institutions are still waiting for the arrival of the "emotional bottom", and the change of the international situation is particularly critical.
In terms of China, Miao Zimei said that in 2022, China is still in a loose policy environment. According to various data as of the end of February, including industrial production, power generation and online sales, all showed strong and sustained growth momentum, and the actual performance was better than expected. Meanwhile, sales in China's real estate market continued to rebound. However, at present, the effectiveness of the recent measures introduced by the government to stimulate real estate demand, such as targeted relaxation of mortgage interest rates, still needs to be seen.
In contrast, overseas countries have begun to tighten the monetary environment. At present, the global inflation situation has further intensified, and the CPI and PPI of the United States have reached a 40 year high. "The comparable inflation after World War II was only the inflation from 1972 to 1982, but that inflation lasted for a long time and caused great harm to the global economy and global capital markets. The Bretton Woods system collapsed. The highest point of the US Dow Jones index in January 1973 was 1067, but the low point in August 1982 was only 776. Instead of rising, the Dow fell by 27% in ten years." Wu Zhaoyin, macro strategy director of AVIC trust, told reporters.
Last week, the oil price unknowingly touched $110 / barrel. Major institutions believe that this round of record high oil price is a high probability event, that is, above $150 / barrel. The rapid rise in oil prices has led to the rise of almost all commodities, the Shenzhen Agricultural Products Group Co.Ltd(000061) price is also rising, and the CPI of the United States will continue to reach a new high after 7.9% in February.
In March, the fed only raised interest rates by 25bp once, while the yield of 10-year Treasury bonds has soared to a stage high of nearly 2.5%. Goldman Sachs believes that it will raise interest rates six times this year. In the future, it does not rule out the possibility of raising interest rates by 50bp. It is expected that the final interest rate will remain at 3% ~ 3.25% in 2023. From May to June this year, the Federal Reserve may also start a $60 billion to $80 billion monthly reduction plan. If so, the speed will be twice that of the last reduction.
Wu Zhaoyin believes that the US Federal benchmark interest rate will rise to 2.75% ~ 3% in the next year and a half. Compared with the historical relationship between the federal benchmark interest rate and the yield of U.S. 10-year Treasury bonds, the yield of U.S. 10-year Treasury bonds will rise to more than 3% at the end of this year and the beginning of next year. At that time, the interest rate spread between China and the United States will be flat or even upside down, and the changes of cross-border capital flows in the future need to be paid attention to.
