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Growth Enterprise Market fell 5.34% to a three-year low, and market liquidity was concerned

Affected by the US stock market, the already weak A-share market also failed to escape the bloodbath.

On Monday night, the US stock market started the "blood washing" mode, and selling kept coming and going. The Dow Jones Industrial Average fell by more than 1100 points. At one point in the session, it fell nearly 1600 points. The S&P closed down 4.6%, the biggest drop since August 2011.


Affected by this, the A-share market also started the "stock disaster" mode. As of the end of the day, the Shanghai Composite Index fell 3.35%, the Shanghai Stock Exchange 50 fell 2.01%, and the GEM Index fell 5.34%. In 2015, when the stock market fell abnormally, the daily decline was just like this.


Find out the "accomplice"


"This time, the US stock market fell sharply, and the quantitative program is a big 'accomplice'. We have noticed that many structured quantitative products are short of volatility." On February 6, Ken (not his real name), a QDII fund manager in the United States, said in an interview.


On the night of this Monday, the US stock market fell sharply at the opening. The S&P, NASDAQ and Dow Jones Index fell 4.1%, 3.8% and 4.6% respectively on that day. The VIX volatility index, which reflects the market's expectation of the volatility of US stocks, rose 115.6% in one trading day.


"Since 3:00 a.m. New York time on Monday, there has been a panic selling in the market, and the machine has started to liquidate, and the position continues to explode after the hour. Because many institutions in the stock market are machines for systematic trading, and the terms automatically stop loss, buyers who short the volatility are almost out of positions." Ken said.


According to the data of the consulting agency Tabb Group, in the first half of 2017, quantitative hedge funds have reached nearly one-third of the stock trading volume of US stocks (27%), surpassing other types of institutional investors such as other hedge funds (22%), traditional asset management (18.6) and bank transactions for the first time.


Because the policy mix and macro environment (economic growth, rising crude oil, rising inflation, rising Treasury bond yields, and weakening U.S. dollar) in 1987 are the same as the current environment, the collapse of the U.S. stock market is also considered to repeat the "1987 crash.".


"From August and September 2015 to now, the volatility has been in a downward channel. The U.S. stock market broke out on Friday and Monday, much like the U.S. stock market in 1987. When fund managers did hedging, they generally short the volatility, or short the S&P 500." Ken told reporters.


"First, the US stock market continued to rise unilaterally and hit new highs. Even if it fell sharply for two consecutive days, the three major indexes remained at the position at the end of November and the beginning of December last year, and there was a cumulative demand for adjustment in the profit taking market. Second, the market was worried that the US Federal Reserve would increase interest rates faster than before, and the" water harvesting "strength was greater than before." In the opinion of Zhu Xiaojun, President of Huaxin Capital (Hong Kong), it is mainly the superposition of the above two factors, and the other reason is that from the perspective of trading, the quantitative index fund fell significantly, triggering the position closing mechanism.


"Many funds took profits, and some other funds or products with stop loss points needed to close positions, which caused a large decline for two consecutive days. In fact, from December last year to January this year, the U.S. stock market rose a lot, and these two days basically lost the increase, almost to the end of November or the beginning of December last year." Zhu Xiaojun said.


The QDII fund manager of a large public offering fund in Beijing believes that the sharp increase in the current volatility of the US stock market will significantly promote the further launch of the intra day systematic strategy covering multiple factors such as volatility target, risk parity and short-term volatility in the future. During the sharp decline of the market, it may attract basic investors to enter the market.


Despite a rare flash crash in the history of American stocks, Zhu Xiaojun, who attended the Goldman Sachs macroeconomic conference in Hong Kong, felt that the mood of the participating institutions was also quite stable.


"I see that many people in large institutions are very calm. The United States or Hong Kong are dominated by institutional investors, and I don't feel much panic." Zhu Xiaojun told reporters.


Focus on changes in market liquidity


On the A-share market, the last "stock disaster" is still fresh in my mind, and a new sharp fall has come unexpectedly.


The sharp decline of US stocks hit the risk appetite of global stock markets, and European and Japanese stock markets generally followed the trend of decline. Today, A-share market collapsed. As of the end of the day, the Shanghai Composite Index fell 3.35%, the Shanghai Stock Exchange 50 fell 2.01%, and the GEM Index fell 5.34%, hitting a new low since 2015.


Under the slump, the "stock disaster" was worried about rising again. However, Zhu Xiaojun expressed a different view on this.


"The performance in recent days seems to be a 'stock disaster', but in essence it is very different from previous stock disasters. At this stage, the global economy represented by the United States is in a recovery and growth environment, and all kinds of data can see that the recovery situation has not changed. Europe, Japan and some emerging economies have very stable fundamentals, so there is no possibility of a financial crisis." Zhu Xiaojun pointed out that in terms of the overall situation of the enterprise, it is still in the cycle of relatively continuous improvement of performance. Therefore, it is not a precursor of the crisis. In more post crisis times, the economy is stabilizing and recovering. "


Judging from the adjustment trend of A-share market for more than a week, Li Quansheng, General Manager of Bosera Fund's Equity Investment Department, believes that the main reasons are two aspects. On the one hand, the A-share market also experienced a relatively concentrated rise in the first month of 2018 when the global stock market resonated, and the main indexes of the market also accumulated a certain degree of overbought risk in the short term; On the one hand, global and domestic macroeconomic negative factors such as inflation expectations have begun to ferment in a concentrated manner recently, and domestic liquidity risk factors have also begun to emerge periodically.


"Of course, we also made a judgment in advance. We saw 2.5% to 3% of the 10-year treasury bonds. Before yesterday, we also reduced our Hong Kong stock position to below 50%." Zhu Xiaojun said.


Ken also believes that the global economy is growing at the same time, and each stock market is performing very well, but that does not mean entering a bubble. The panic mechanism is still due to the existence of volatility to operate structured varieties. It is not that the global stock market is in a bubble state that has caused the same effect as circuit breaker.


"Considering that the market has experienced a large concentrated decline in stages, and it is difficult to focus on the optimistic factors in the future domestic macro-economy and liquidity in the short term." Li Quansheng judged that the short-term and medium-term sentiment of A-share market is still in a certain iterative process.


"From the perspective of the main ideas of investment in the future, liquidity issues need to be taken into account, including both the overall market level and the individual stock level. At the same time, from the perspective of allocation direction, it is suggested that the allocation of leading individual stocks in stable growth industries can be increased after the stock price has experienced a certain decline. In addition, considering the matching between growth and valuation, outstanding individual stocks in emerging industries can also be gradually allocated." Li Quansheng said to First Finance.


"All bubbles are confirmed after the event, which is difficult to confirm in advance." Ken also said.


(Statement: This article is an internal view of the company, and does not represent an investment proposal to buy or sell stocks)