More Than One Trillion Yuan Of Turnover In 36 Consecutive Trading Days Triggered Anxiety Of "Top Class Mahjong" And Panic Of Quantitative Private Placement Supervision

On September 8, the Shanghai stock index closed at 3675 points when it was blocked from closing 3700, and the turnover of Shanghai and Shenzhen stock markets was close to 1.5 trillion yuan.

As of Wednesday, the transaction volume of A-share in Shanghai and Shenzhen stock markets has exceeded trillion yuan for 36 consecutive trading days, which is close to the historical record of breaking trillion yuan in 43 consecutive trading days in 2015.

"The larger the trading volume, the faster the market capital inflow and outflow." Hu Yu, partner and research director of Shenzhen Chengnuo asset management company, believes that continuous volume expansion is not a good thing, and the next stage of the market may be structural adjustment, especially for the plate with relatively large early growth.

At present, the trading volume of A-share market continues to be booming. It is generally believed that the trading strategy of quantitative investment significantly enlarges the trading volume of the market.

On September 6, the chairman of the SFC, Yi Hui, made a heavy speech, focusing on quantitative trading supervision. Subsequently, regulators learned from quantitative private placement.

In this regard, Chen Diqiang, partner of quantitative private placement Hongxi fund, believes that there is such a process in the development of any industry, and what is needed is to do a good job in oneself and carry out according to law and regulations.

At present, the trading volume of A-share market continues to be booming. It is generally believed that the trading strategy of quantitative investment significantly enlarges the trading volume of the market. Visual China

Regulatory voice

On September 6, when attending the 60th World Federation of exchanges (WFE) general meeting and annual meeting in 2021, chairman Yi Huiman of China Securities Regulatory Commission (CSRC) talked about the supervision of new trading methods such as quantitative trading.

He pointed out that quantitative trading and high-frequency trading can not only enhance market liquidity and pricing efficiency, but also easily lead to transaction convergence, increased volatility and violation of market fairness. At the meeting, Yi Huiman also said that in recent years, quantitative trading in the Chinese market has developed rapidly. What does the exchange think of the capital structure and new trading instruments? I hope you can think about it.

Since the beginning of this year, the structural market of A-share market has been extremely deductive, and the quantitative fund with a large number of shares and scattered industries has ushered in a bright moment.

Wind data shows that as of the end of August, the CSI 1000 has risen by 15.55%, the gem has risen by 9.80%, the Shanghai Composite Index and the Shenzhen composite index have increased by 1.41% and 4.74% respectively, and the CSI 300 has fallen by 7.37%.

In the first half of this year, according to the available sample statistics of more than 10 billion private equity managers, the return on enhanced private placement strategy of the CSI 500 index was 14.3%, while that of active long private placement strategy was 5.8% in the same period.

According to the estimation of CITIC Securities Research Department, as of the end of the second quarter of 2021, the total assets under management of the domestic quantitative private equity fund industry reached 1034 billion yuan, which officially crossed the "trillion" level, and in the same period, the proportion of the total scale of the private equity industry of 4.87 trillion yuan rose to 21%.

The quantitative scale stands at the threshold of trillion yuan, and the number of 10 billion yuan of quantitative private placement has also broken through 20, setting a record high.

According to the calculation of Li Lifeng, chief strategic analyst of Huaxi Securities, the massive capital trading of A-shares mainly comes from three channels: first, funds attracted by the structural bull market, including funds from northbound; The second is the transfer of funds in the market; Third, quantitative trading, which accounts for a large proportion.

Quantitative private placement has been hotly discussed by all parties. Recently, market rumors say that it has received the guidance of regulatory window, requiring it to reduce the frequency and limit the scale.

The head of the quantitative private placement denied the window guidance, saying that it was mainly some routine inquiries, including the development of the industry and the scale, turnover, etc.

Anxiety of "top class mahjong"

For the transaction of trillions of yuan for 36 consecutive days, many market participants believe that there will not be a significant adjustment of the systemic risk, the next adjustment should be focused on some sectors with a larger increase in front.

According to wind data statistics, as of the end of August, ETFs such as photovoltaic industry, new energy vehicles, carbon neutral and leading enterprises have increased by more than 50% since the end of August.

Liu Yuhui, chief economist of Tianfeng securities, described the best direction in the future as "a top class mahjong".

Specifically, the first direction represents the direction of new energy benefits in the future, which is called "left phosphorus and right lithium"; The second direction is photovoltaic, including the construction direction of wind power and clean power, and the direction of benefit; The third direction is "specialized, refined, special, new" small giants. This represents that China should solve its own neck problem and the weak link direction of its industrial structure; The fourth aspect is the revolutionary genetically modified ecology of agriculture.

However, in the view of Liu Yuhui, chief economist of Tianfeng securities, it is very rare for trading volume to exceed one trillion yuan for several consecutive trading days. It may mean that a quantitative change of sentiment will gradually accumulate and evolve into a release of qualitative change. In the short term, the market may reach a new high of 4000 points.

Quantitative supervision direction

As a matter of fact, many 10 billion quantitative organizations have already closed their doors.

On August 24, xingkuo investment, a new quantitative private-equity firm, announced that the company decided to adjust the growth rate of scale in an orderly and phased manner due to the long-term and prudent consideration of being responsible for investors. In addition to in transit funds, the fund raising of the recent 500 index increase and market neutral strategy products will be suspended.

On September 3, 10 billion private equity evolutionism assets announced that "in order to protect the interests of existing investors and the long-term development of the company, after careful consideration, our company has decided not to issue new quantitative products this year. The existing quantitative products will be subject to quota management in the form of partial suspension of fund-raising and partial quota, and the normal redemption of products will not be affected."

On September 7, the 30 billion quantitative private placement of Tianyan capital announced the suspension of fund-raising. According to Tianyan capital, since 2021, with the changes in market and industry conditions, and the company's performance has been widely recognized, the company's management scale has grown rapidly. Recently, the company has actively suppressed the growth of management scale through various market means, but still thinks that the growth rate is too fast. In order to protect the long-term interests of the surviving investors and provide good investment services for all investors, the company decided to stop the fund-raising work in stages.

"On the one hand, it controls the scale, on the other hand, it is also because the iterative speed of investment and research strength and strategy can not keep up with the growth rate of management scale." according to quantitative private investors with the head, the trend of scale control is still spreading.

In addition, for the original high-frequency or t0 quantitative strategy, the quantization organization is trying to add other strategies, because there are more new t0 products in the past two years, and the transaction frequency may be limited in the future.