Just now! Rumors of raiding A shares

A shares have just been disturbed!

Just now, the A-share market, which has a good rally and mood, suddenly fluctuated, and several major indexes all plummeted from a height. At this time, a message about "the quantitative strategy that was suspended before" also flowed out from the market. So, is this a rumor? According to a reporter from China, a brokerage firm, I have not heard of this matter, and the relevant policy arrangements will continue for some time.

From the disk, between scattered, style and hot spots have also changed. Micro-disk stocks that continued to rise in early trading fell back, while Chinese prefix and dividend stocks that have been adjusting recently showed signs of relay. Judging from the recent market performance, the performance of microdisk stocks is obviously beyond expectations. Then, behind the fluctuation, where does the supporting power come from? What kind of trajectory will this wave of market trend be?

Rumor raid

In early trading today, the market was once more active. According to the straight flush iFinD data, at the close of the morning, the transaction amount was close to 900 billion yuan. The daily limit of stocks in early trading was once close to 70, and the mood was good. However, the market crashed in a straight line for a moment, and so did foreign investors.

A news about "the quantitative strategy that was suspended before resumed" also flowed out from the market. So, is the news true? According to the reporter from China, a brokerage firm, who asked the insiders for verification, he has not heard of this matter and has not received the corresponding notice. The relevant policy arrangements should continue for some time. Some brokers have analyzed that this possibility is not great, and it will immediately enter an important session. If this leads to market fluctuations, it is also inappropriate.

However, there is another news in the market that may have a greater impact on microdisk stocks. This morning, the regulatory news about DMA circulated in the market. The specific content is: only self-operated funds are allowed to operate, and the raised funds are gradually retired (the contract cannot be renewed after expiration). The lever cannot exceed 1:1.

According to previous news, the important tool in quantification, namely, securities lending, will usher in new regulations in March. Adjust the declaration of the market-oriented agreement on securities lending from real-time availability to the next day, and limit the efficiency of securities lending. This measure will be implemented from March 18th.

On August 28 last year, a news that "some brokers suspended the trading of quantitative T+0 algorithm" began to spread widely in the market. At that time, China reporter, a brokerage firm, tracked and confirmed this matter. At the beginning of this year, the market fluctuated violently, and the regulatory level also introduced a series of "combination boxing" around quantitative trading. The Shanghai and Shenzhen Stock Exchanges suspended trading measures and initiated public condemnation procedures for Ningbo Lingjun, and the quantitative trading reporting system landed smoothly. In the future, relevant regulatory measures for quantification will also be introduced one by one.

Market changes

Recently, the main force of the market rebound is the micro-disk stocks. The Wande micro-disk stock index has risen for eight consecutive trading days, with an increase of nearly 90,000 points. However, after the above rumors appeared, micro-disk stocks turned from rising to falling.

At the same time, the market also has the power of relay. Today, the Chinese prefix has performed very well, and it is obviously stronger than the broader market.

Then, has the market style changed, and the micro-disk stock market has ended? Since December, 2023, the new DMA regulations have restricted the increase of quantitative DMA business and the short selling of off-exchange stocks, which has damaged the liquidity of small-cap assets and reversed the market value income, and forced the DMA strategy to close its position. The flight of funds brings negative feedback to small market value, and the sale of small market value assets and the redemption of DMA by quantitative funds aggravate the decline of small markets. At the same time, in the past six months, the factor performance of bearish volatility has obviously changed in the opposite direction, and the income of empty volatility positions has declined, resulting in negative returns. This structure presents the profit and loss characteristics of low risk and high Sharp before the rate of return is inverted, and thus it is mismatched to the low risk "fixed income+"investment logic. After the market value rate of return is upside down, its profit and loss characteristics are rapidly revised.

Guohai Securities believes that the policy perspective has constrained the long-term market logic of small and micro-disks. At the same time, with the rapid revision of the risk characteristics distorted into low-risk and high-sharp, it no longer adapts to the "fixed income+"debt-side logic, accelerates the market pinnacle and opens long-term funds. Small and micro-disk liabilities flee. Analogous to Mao index market, the extreme market will deduce the reverse structure, and the main line of style will return to the market value.

There are also good expectations

From the perspective of expectations, the favorable expectations at the economic level may still be released.

First of all, it is to unify the big market. On the afternoon of February 26th, the State Council conducted the sixth special study with the theme of "establishing and improving the fair competition system and speeding up the improvement of the basic system rules of the unified national market". When presiding over the study, Premier Li Qiang of the State Council stressed that it is necessary to thoroughly study and implement the spirit of the important instructions on building a unified national market, and make a step-by-step and systematic progress in accordance with the decision-making arrangements of the CPC Central Committee, so as to promote the continuous progress and breakthrough in building a unified national market and provide strong support for building a new development pattern and promoting high-quality development.

Secondly, about the benefits of real estate. Not long ago, the People’s Bank of China and the General Administration of Financial Supervision issued opinions on financial support for the development of the housing rental market. The market expects that a fund may be set up in the future to acquire the existing stock houses and operate them into public rental houses.

Third, there have been frequent changes in the national debt market recently. Yesterday, the overall national debt futures opened higher and went lower, but the 30-year main contract still rose by 0.41%, a record high since listing. This may not only be due to the weak economic fundamentals and expectations, but also include the market’s expectations for the "China version of QE".

If the above expectations are fulfilled, the whole market will have different changes. The bank’s stock assets will be optimized, the real estate problem will be solved, and the pressure on local debt will be alleviated. At the same time, social pressure will be reduced, consumption will recover and new economic growth points will emerge.

Proofreading: Peng Qihua