据知情人士透露，上周五中国多家券商经历了严重的亏损，股市的大规模反弹创下了多年来的最高纪录。这些人士要求不公开讨论此事。某些公司因执行所谓的“直接市场接入策略”（Direct Market Access, DMA）时，对指数期货采取了空头操作而遭受重大损失。
知情人士还指出，一些券商的损失进一步加剧，原因是上海证券交易所发生了一项事件，导致他们无法卖出持股以满足保证金要求。一位人士表示，这种状况可能使得他们的亏损更为严重。
此次股市大幅反弹，正值许多量化投资者仍在从今年2月中国股市暴跌中恢复的过程中。当时，他们倾向于的小盘股遭遇重挫，并促使监管机构敦促逐步取消了DMA产品。然而，就在最新的经济刺激措施引发了自2008年以来的最大反弹之后，这些策略再次令投资者措手不及。
上海九头象金融信息服务有限公司的创始合伙人李明红指出，“今天，市场中立型产品的亏损应该在整个行业中普遍存在，而某些DMA可能被迫清仓。”他表示，上周五DMA产品所遭受的亏损规模较2月份那次下跌更为有限，并且大规模强制性清算的情形极为罕见。一些券商同意为量化客户延期至指数期货交易所需的保证金追加期限。
李明红还解释说，使用高杠杆率、同时在个别股票上持有多头仓位并卖出股指期货是DMA策略通常的操作方式。然而，在上周五，市场出现了反常状况，即股指期货的涨幅远超股票涨幅，导致了市场中立型产品持有仓位的价值下降。他补充道，上海证券交易所发生的技术问题可能阻碍了投资者尝试增加持仓的努力。
就市场的流动性而言，鉴于这类产品的规模已经减小，预计影响将相对较小。相反，其他策略如“只买入不卖”增强型指数基金的量化投资者将从中受益于这轮股市反弹。
新闻来源：www.bloomberg.com
原文地址：Quant Hedge Funds Trapped in Short Squeeze After China Glitch
新闻日期：2024-09-27
原文摘要：
A number of in China were hit severely on Friday as the nation’s equities staged their biggest rally in years, according to people familiar with the matter.Some firms suffered heavy losses because they shorted index futures for their so-called Direct Market Access strategies, said the people, asking not to be identified discussing a private matter. Some saw their losses exacerbated by a Shanghai Stock Exchange that left them unable to sell holdings to meet margin requirements, another person said.The losses come as many quants are still recovering from record suffered during China’s stock market meltdown in February, when their favored small-cap stocks crashed, prompting regulators to push for the DMA products to be . Now they have been caught wrongfooted again after China’s latest economic stimulus measures sparked the since 2008.“The losses on market-neutral products should be industrywide today, while some DMAs could have been forced to liquidate,” said Li Minghong, founding partner of Shanghai Jiutouxiang Financial Information Services.Still, Friday’s drawdowns in the DMA products were smaller than the losses seen in February, and any forced liquidations should be rare, said the people. Some brokerages have agreed to extend deadlines for the quant clients to add margins for bets on index futures, they said.The DMA strategy typically uses high leverage and involves holding long positions in individual stocks while shorting stock index futures. A surge in index futures on Friday exceeded gains in stocks, switching a persistent discount to a premium and imposing losses on market-neutral products’ positions, Li said. The glitch in the Shanghai exchange may also have impeded efforts to add positions in the , he added. Li said that the impact on market liquidity should be minimal given the reduced size of such products, while quants’ other strategies like long-only index-enhanced products are benefiting from the rally.
