Two Hedge Funds Have Issued Announcements To Explain The Details Of The Paction.

In the morning of August 1st, Ying Rong issued a statement that the two products were suspended from trading, indicating that although there was a large number of withdrawals on the stock market, there was no subjective idea of manipulating the market.

Two private hedge funds, investment and investment in Ningbo, have issued a notice in succession to resume trading of products related to regulatory authorities' verification actions.

Both products involved quantitative hedging strategies, which were large in July 8th.

Under the circumstances, a large number of withdrawals are repeated in the programmed trading system, resulting in an account constraint.

Before the July 31st plate, Zhang Xiaojun, a spokesman for the SFC, said that the institutions and individuals who had the characteristics of the procedural pactions were being checked, and the 24 accounts that were frequently declared or frequently declared, and suspected of affecting the price of securities trading or other investors' investment decisions, were restricted to trade measures.

The Shanghai Stock Exchange and the Shenzhen Stock Exchange subsequently announced a total of 24 restricted securities account lists, making it clear that these accounts will not be able to buy and sell all securities listed on the Shanghai Stock Exchange within the next 3 months, that is, from July 31st to October 30, 2015.

Of the 24 restricted products, 7 were traded at the same time as trading restrictions in the Shanghai and Shenzhen two cities, including the two products of the famous sunshine private investment company (Beijing) Limited, the two products of the "fusion trust" - "Ying Rong and the quantitative hedge 1 phase" and the "foreign Trade Trust - the Ying and Rong quantify to Chong 1 phase"; the Ningbo invent management partnership limited (limited partnership)'s "Amin 13 phase one Xin 1 securities investment collective trust plan"; and Shenzhen's Ying Feng capital's products "new equation Ying Feng quantitative hedge fund", "Ying Feng quantitative hedge fund", "

And an account "Shenzhen Ying Feng quantitative investment management partnership (limited partnership)".

In the morning of August 1st,

The announcement of the suspension of two products was released: on the same day in July 8th, due to the suspension of most of the stocks or the state of being on the down board, there was a repeated withdrawal of the products in the limit state.

Ying Rong Da believes that although there is a large number of withdrawals on the stock market, there is no subjective idea of manipulating the market subjectively and objectively.

"Under extreme circumstances, the mechanical behavior of trading algorithms is difficult to sell because of a limit sale.

And almost all withdrawals happen on the limit board, which will not affect any price fluctuation of stock at that time.

At the same time, the cancellation of each order is the corresponding amount of the same amount, which objectively has no effect on the number of documents on the limit.

The amount of order withdrawal at the same time on each stock is very small.

The investment of Amgen 13 phase one Xin 1 securities collective trust scheme is similar to that of Ying Jung.

The product takes the market neutral strategy as the main factor, selects the stock to constitute the spot position by quantifying the multi factor model, and hedges the stock index contract with the spot position opposite to the spot position in the stock index futures, and achieves the multi neutral position exposure neutral state, thus obtains the excess return which has nothing to do with the market fluctuation.

But before the opening of July 8th, the company estimated the expected return of some stocks held by the model would lose the CSI 500 index in a big probability, while the IC1507 500 index futures held by the stock market had a big discount, and the base difference would be reduced to less than -500.

Since the base return is bound to return to 0 when the stock index futures are delivered, the continued holding of the stock futures portfolio will bring a definite loss to the product.

Based on the above two considerations, Ling Jun investment reduced the stock from the opening of the stock market, and adopted the "quick investment asset management platform V2.0" (provided by Beijing intelligent Cmi Holdings Ltd).

The quick investment asset management platform can automatically separate the pre-set stock pactions into multiple small orders, and then send a small order to the broker at the latest price at each minute. If a small single paction is not completed or incomplete, the module will automatically withdraw the order after 30 seconds and make up the order according to the latest price.

This form of discounting, rather than a single order, can effectively avoid the impact on the market and reduce the fluctuations in the market price due to orders.

But in July 8th, because most stocks were suspended or on a down board state, the use of fast investment management platform under the condition of a down limit would result in repeated withdrawals.

Despite the total number of withdrawals on the same day, the average investment was also considered to be very small. The amount of each order placed at any time is less than one hundred thousand yuan at any time.

Moreover, there is no subjective idea of malicious shorting or manipulating the market. Objectively, frequent withdrawals and bills have little effect on whether the stock will finally open the limit.

Both companies said they were actively preparing relevant materials, providing regulatory instructions to the regulators, and applying for a review to try to solve the trading restrictions of these two products as soon as possible and resume normal pactions.

Another peak, which was limited to 4 securities accounts by the Shanghai and Shenzhen exchanges, was also announced in the evening of July 31st. However, it did not mention the specific reasons why the four accounts were restricted in the announcement. It only indicated that the four products were all quantified hedge funds, and would actively cooperate with the regulatory authorities in the investigation and verification of product trading strategies and pactions.

From the perspective of product type, the limited number of hedge fund products is restricted this time.

Zhang Xiaojun said in July 31st that procedural trading had the characteristics of frequent declarations, which contributed to the rise and fall, especially in the recent period of sharp fluctuations in the stock market.

In the eyes of professionals, although the process of trading in hedge funds may produce the above situation, coins have two sides, which also brings a lot of liquidity to the market.

And from the long-term development of the market, hedge funds can meet diversified investment needs, which is of practical significance for long-term capital smoothing risk and absolute gains.

"Restricted pactions are reasonable in special stages, but in the long run, they are not desirable."

The practice of restricting securities accounts has been expressed by hedge funds.