中国近十年来规模最大的股市反弹行动，在国家的量化对冲基金之间引发了前所未有的压力。那些在市场中立策略中采取指数期货空头部位的量化基金面临着更大的挑战。据知情人士透露，随着股票持续上涨至周一，这些基金遇到了额外的资金压力。
值得注意的是，与周五相比，请求量总体上较小，当时股市的波动使得资金筹集变得困难。这些信息由要求匿名的受访者提供，因为这些数据属于私密内容。据悉，一些管理人在遇到追加保证金需求时，向监管机构表达了需要更多时间的需求，凸显了他们所面临的压力规模。
部分管理人声称，他们能够在延期截止日期之前满足首次保证金调涨请求，避免了清算的风险。市场中立产品涉及持有单个股票的多头部位和卖出指数期货，通常在上周遭受了3%至5%的比例下跌。对于仍处于2月份股市暴跌影响下的量化基金来说，这是一次挫折。
引发这场混乱的关键因素是中国上海交易所“罕见的流动性耗尽现象”。据Liangkui资产管理公司称，在周五，由于证券经纪商强制关闭未能追加所需保证金的客户指数期货头寸，这种情况成为了压垮骆驼的最后一根稻草。该公司向投资者发出的一封信件中提到，由于这一事件的发生，为那些量化基金带来了压力。
在上周的下跌过程中，Liangkui资产管理公司平均经历了1.5至2.5个百分点的亏损。值得注意的是，相比之下，基准股市指数自周五以来上涨了13%，这是自从2008年9月以来的最大涨幅。然而，在这个反弹中，当指数期货上涨超过基础股票的价格时，一些量化基金的对冲头寸产生了虚亏。
经纪商关闭了这些空头头寸后，指数期货进一步上扬并伴随着投资者对进一步上升的赌注，加剧了做空压力，这种情况使得情况变得更加严重。预计这个巨大的溢价将在未来减少，这将使量化基金有机会弥补对冲头寸上的未实现亏损，一些管理人表示。
在中国股市中，通常情况下，股市期货相对于基础指数存在折价，这是市场中立策略中一个关键的保证金成本部分。然而，在这次反弹中，仅专注于单一股票的投资策略，如增强型指数产品得到了提振。
新闻来源：www.bloomberg.com
原文地址：Quant Hedge Funds Face More Margin Calls as Chinese Stocks Surge
新闻日期：2024-09-30
原文摘要：
China’s biggest stock market rally in more than a decade has added pressure on the nation’s quantitative hedge funds.Quants that short index futures as part of their market-neutral strategies faced additional as shares continued to surge on Monday, according to people familiar with the matter. The scale of requests was generally smaller than on Friday when an exchange made it harder for funds to raise cash, the people said, asking not to be identified because the information was private. Read more: Some managers informally conveyed to regulators the need for more time to meet margin requests, the people added, underscoring the scale of the pressure they faced. Some were able to meet an initial round of margin calls before extended deadlines to avoid getting hit by liquidations.Market-neutral products, which involve holding long positions in individual stocks while shorting stock index futures, typically suffered a drawdown between 3 to 5 percentage points last week, the people said. The declines are a setback for quants that are still from a market rout in February.A confluence of events — including a “rare technical exhaustion of liquidity” in the Shanghai bourse — sparked the chaos on Friday, to Liangkui Asset Management, which oversees about 3 billion yuan ($428 million). As brokerages forced the closure of short index futures positions of clients who failed to add required margin, that delivered “the last straw on the camel,” the fund wrote in a letter to investors, seen by Bloomberg. Liangkui Asset averaged a drawdown between 1.5 and 2.5 percentage points, the letter said. The declines contrast with a 13% gain in the benchmark stock index since Friday, the biggest two-day advance since September 2008. When the surge in index futures exceeded gains in the underlying stocks on Friday, it imposed paper losses on some quants’ hedging positions, according to Liangkui Asset. When brokerages closed the short positions, they pushed the index futures further up along with investors betting on a further rally, worsening the short squeeze, it said.The massive premium is expected to narrow, which will allow quants to recoup some of the unrealized losses on the hedging positions, some managers say. China’s stock index futures typically maintain a discount to the underlying indices, which is a key part of hedging costs in the market neutral strategy. Their long-only strategies such as enhanced index products were bolstered by the market rally.
