{"id":2418,"date":"2024-10-03T03:32:54","date_gmt":"2024-10-02T19:32:54","guid":{"rendered":"https:\/\/www.kafeizha.com\/?p=2418"},"modified":"2024-10-03T03:32:54","modified_gmt":"2024-10-02T19:32:54","slug":"quant%e5%af%b9%e5%86%b2%e5%9f%ba%e9%87%91%e9%9d%a2%e4%b8%b4%e4%b8%ad%e5%9b%bd%e8%82%a1%e5%b8%82%e6%9a%b4%e6%b6%a8%e5%b8%a6%e6%9d%a5%e7%9a%84%e6%9b%b4%e5%a4%9a%e8%bf%bd%e5%8a%a0%e4%bf%9d%e8%af%81","status":"publish","type":"post","link":"https:\/\/news.tomjun.com\/?p=2418","title":{"rendered":"Quant\u5bf9\u51b2\u57fa\u91d1\u9762\u4e34\u4e2d\u56fd\u80a1\u5e02\u66b4\u6da8\u5e26\u6765\u7684\u66f4\u591a\u8ffd\u52a0\u4fdd\u8bc1\u91d1\u8981\u6c42"},"content":{"rendered":"<p>\u4e2d\u56fd\u8fd1\u5341\u5e74\u6765\u89c4\u6a21\u6700\u5927\u7684\u80a1\u5e02\u53cd\u5f39\u884c\u52a8\uff0c\u5728\u56fd\u5bb6\u7684\u91cf\u5316\u5bf9\u51b2\u57fa\u91d1\u4e4b\u95f4\u5f15\u53d1\u4e86\u524d\u6240\u672a\u6709\u7684\u538b\u529b\u3002\u90a3\u4e9b\u5728\u5e02\u573a\u4e2d\u7acb\u7b56\u7565\u4e2d\u91c7\u53d6\u6307\u6570\u671f\u8d27\u7a7a\u5934\u90e8\u4f4d\u7684\u91cf\u5316\u57fa\u91d1\u9762\u4e34\u7740\u66f4\u5927\u7684\u6311\u6218\u3002\u636e\u77e5\u60c5\u4eba\u58eb\u900f\u9732\uff0c\u968f\u7740\u80a1\u7968\u6301\u7eed\u4e0a\u6da8\u81f3\u5468\u4e00\uff0c\u8fd9\u4e9b\u57fa\u91d1\u9047\u5230\u4e86\u989d\u5916\u7684\u8d44\u91d1\u538b\u529b\u3002<\/p>\n<p>\u503c\u5f97\u6ce8\u610f\u7684\u662f\uff0c\u4e0e\u5468\u4e94\u76f8\u6bd4\uff0c\u8bf7\u6c42\u91cf\u603b\u4f53\u4e0a\u8f83\u5c0f\uff0c\u5f53\u65f6\u80a1\u5e02\u7684\u6ce2\u52a8\u4f7f\u5f97\u8d44\u91d1\u7b79\u96c6\u53d8\u5f97\u56f0\u96be\u3002\u8fd9\u4e9b\u4fe1\u606f\u7531\u8981\u6c42\u533f\u540d\u7684\u53d7\u8bbf\u8005\u63d0\u4f9b\uff0c\u56e0\u4e3a\u8fd9\u4e9b\u6570\u636e\u5c5e\u4e8e\u79c1\u5bc6\u5185\u5bb9\u3002\u636e\u6089\uff0c\u4e00\u4e9b\u7ba1\u7406\u4eba\u5728\u9047\u5230\u8ffd\u52a0\u4fdd\u8bc1\u91d1\u9700\u6c42\u65f6\uff0c\u5411\u76d1\u7ba1\u673a\u6784\u8868\u8fbe\u4e86\u9700\u8981\u66f4\u591a\u65f6\u95f4\u7684\u9700\u6c42\uff0c\u51f8\u663e\u4e86\u4ed6\u4eec\u6240\u9762\u4e34\u7684\u538b\u529b\u89c4\u6a21\u3002<\/p>\n<p>\u90e8\u5206\u7ba1\u7406\u4eba\u58f0\u79f0\uff0c\u4ed6\u4eec\u80fd\u591f\u5728\u5ef6\u671f\u622a\u6b62\u65e5\u671f\u4e4b\u524d\u6ee1\u8db3\u9996\u6b21\u4fdd\u8bc1\u91d1\u8c03\u6da8\u8bf7\u6c42\uff0c\u907f\u514d\u4e86\u6e05\u7b97\u7684\u98ce\u9669\u3002\u5e02\u573a\u4e2d\u7acb\u4ea7\u54c1\u6d89\u53ca\u6301\u6709\u5355\u4e2a\u80a1\u7968\u7684\u591a\u5934\u90e8\u4f4d\u548c\u5356\u51fa\u6307\u6570\u671f\u8d27\uff0c\u901a\u5e38\u5728\u4e0a\u5468\u906d\u53d7\u4e863%\u81f35%\u7684\u6bd4\u4f8b\u4e0b\u8dcc\u3002\u5bf9\u4e8e\u4ecd\u5904\u4e8e2\u6708\u4efd\u80a1\u5e02\u66b4\u8dcc\u5f71\u54cd\u4e0b\u7684\u91cf\u5316\u57fa\u91d1\u6765\u8bf4\uff0c\u8fd9\u662f\u4e00\u6b21\u632b\u6298\u3002<\/p>\n<p>\u5f15\u53d1\u8fd9\u573a\u6df7\u4e71\u7684\u5173\u952e\u56e0\u7d20\u662f\u4e2d\u56fd\u4e0a\u6d77\u4ea4\u6613\u6240\u201c\u7f55\u89c1\u7684\u6d41\u52a8\u6027\u8017\u5c3d\u73b0\u8c61\u201d\u3002\u636eLiangkui\u8d44\u4ea7\u7ba1\u7406\u516c\u53f8\u79f0\uff0c\u5728\u5468\u4e94\uff0c\u7531\u4e8e\u8bc1\u5238\u7ecf\u7eaa\u5546\u5f3a\u5236\u5173\u95ed\u672a\u80fd\u8ffd\u52a0\u6240\u9700\u4fdd\u8bc1\u91d1\u7684\u5ba2\u6237\u6307\u6570\u671f\u8d27\u5934\u5bf8\uff0c\u8fd9\u79cd\u60c5\u51b5\u6210\u4e3a\u4e86\u538b\u57ae\u9a86\u9a7c\u7684\u6700\u540e\u4e00\u6839\u7a3b\u8349\u3002\u8be5\u516c\u53f8\u5411\u6295\u8d44\u8005\u53d1\u51fa\u7684\u4e00\u5c01\u4fe1\u4ef6\u4e2d\u63d0\u5230\uff0c\u7531\u4e8e\u8fd9\u4e00\u4e8b\u4ef6\u7684\u53d1\u751f\uff0c\u4e3a\u90a3\u4e9b\u91cf\u5316\u57fa\u91d1\u5e26\u6765\u4e86\u538b\u529b\u3002<\/p>\n<p>\u5728\u4e0a\u5468\u7684\u4e0b\u8dcc\u8fc7\u7a0b\u4e2d\uff0cLiangkui\u8d44\u4ea7\u7ba1\u7406\u516c\u53f8\u5e73\u5747\u7ecf\u5386\u4e861.5\u81f32.5\u4e2a\u767e\u5206\u70b9\u7684\u4e8f\u635f\u3002\u503c\u5f97\u6ce8\u610f\u7684\u662f\uff0c\u76f8\u6bd4\u4e4b\u4e0b\uff0c\u57fa\u51c6\u80a1\u5e02\u6307\u6570\u81ea\u5468\u4e94\u4ee5\u6765\u4e0a\u6da8\u4e8613%\uff0c\u8fd9\u662f\u81ea\u4ece2008\u5e749\u6708\u4ee5\u6765\u7684\u6700\u5927\u6da8\u5e45\u3002\u7136\u800c\uff0c\u5728\u8fd9\u4e2a\u53cd\u5f39\u4e2d\uff0c\u5f53\u6307\u6570\u671f\u8d27\u4e0a\u6da8\u8d85\u8fc7\u57fa\u7840\u80a1\u7968\u7684\u4ef7\u683c\u65f6\uff0c\u4e00\u4e9b\u91cf\u5316\u57fa\u91d1\u7684\u5bf9\u51b2\u5934\u5bf8\u4ea7\u751f\u4e86\u865a\u4e8f\u3002<\/p>\n<p>\u7ecf\u7eaa\u5546\u5173\u95ed\u4e86\u8fd9\u4e9b\u7a7a\u5934\u5934\u5bf8\u540e\uff0c\u6307\u6570\u671f\u8d27\u8fdb\u4e00\u6b65\u4e0a\u626c\u5e76\u4f34\u968f\u7740\u6295\u8d44\u8005\u5bf9\u8fdb\u4e00\u6b65\u4e0a\u5347\u7684\u8d4c\u6ce8\uff0c\u52a0\u5267\u4e86\u505a\u7a7a\u538b\u529b\uff0c\u8fd9\u79cd\u60c5\u51b5\u4f7f\u5f97\u60c5\u51b5\u53d8\u5f97\u66f4\u52a0\u4e25\u91cd\u3002\u9884\u8ba1\u8fd9\u4e2a\u5de8\u5927\u7684\u6ea2\u4ef7\u5c06\u5728\u672a\u6765\u51cf\u5c11\uff0c\u8fd9\u5c06\u4f7f\u91cf\u5316\u57fa\u91d1\u6709\u673a\u4f1a\u5f25\u8865\u5bf9\u51b2\u5934\u5bf8\u4e0a\u7684\u672a\u5b9e\u73b0\u4e8f\u635f\uff0c\u4e00\u4e9b\u7ba1\u7406\u4eba\u8868\u793a\u30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<\/p>\n<hr>\n<p><font size=\"-1\"><b>\u65b0\u95fb\u6765\u6e90\uff1a<\/b>www.bloomberg.com<br \/> <b>\u539f\u6587\u5730\u5740\uff1a<\/b><a href=\"https:\/\/www.bloomberg.com\/news\/articles\/2024-09-30\/quant-hedge-funds-face-more-margin-calls-as-chinese-stocks-surge\" target=\"_blank\" rel=\"noopener\">Quant Hedge Funds Face More Margin Calls as Chinese Stocks Surge<\/a><br \/> <b>\u65b0\u95fb\u65e5\u671f\uff1a<\/b>2024-09-30<br \/> <b>\u539f\u6587\u6458\u8981\uff1a<\/b><\/font><\/p>\n<pre style=\"white-space: pre-wrap;\">China\u2019s biggest stock market rally in more than a decade has added pressure on the nation\u2019s 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 \u2014 including a \u201crare technical exhaustion of liquidity\u201d in the Shanghai bourse \u2014 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 \u201cthe last straw on the camel,\u201d 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\u2019 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\u2019s 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.<\/pre>\n<p><\/p>\n<div style=\"margin: 20px 0;\"><div class=\"qrcswholewtapper\" style=\"text-align:left;\"><div class=\"qrcprowrapper\"  id=\"qrcwraa2leds\"><div class=\"qrc_canvass\" id=\"qrc_cuttenpages_2\" style=\"display:inline-block\" data-text=\"https:\/\/news.tomjun.com\/?p=2418\"><\/div><div><a download=\"Quant\u5bf9\u51b2\u57fa\u91d1\u9762\u4e34\u4e2d\u56fd\u80a1\u5e02\u66b4\u6da8\u5e26\u6765\u7684\u66f4\u591a\u8ffd\u52a0\u4fdd\u8bc1\u91d1\u8981\u6c42.png\" class=\"qrcdownloads\" id=\"worign\">\r\n           <button type=\"button\" style=\"min-width:200px;background:#44d813;color:#000;font-weight: 600;border: 1px solid #44d813;border-radius:20px;font-size:12px;padding: 6px 0;\" class=\"uqr_code_btn\">\u6587\u7ae0\u4e8c\u7ef4\u7801<\/button>\r\n           <\/a><\/div><\/div><\/div><\/div>","protected":false},"excerpt":{"rendered":"<p>\u4e2d\u56fd\u8fd1\u5341\u5e74\u6765\u89c4\u6a21\u6700\u5927\u7684\u80a1\u5e02\u53cd\u5f39\u884c\u52a8\uff0c\u5728\u56fd\u5bb6\u7684\u91cf\u5316\u5bf9\u51b2\u57fa\u91d1\u4e4b\u95f4\u5f15\u53d1\u4e86\u524d\u6240\u672a\u6709\u7684\u538b\u529b\u3002\u90a3\u4e9b\u5728\u5e02\u573a\u4e2d\u7acb\u7b56\u7565\u4e2d\u91c7\u53d6\u6307\u6570 [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_monsterinsights_skip_tracking":false,"_monsterinsights_sitenote_active":false,"_monsterinsights_sitenote_note":"","_monsterinsights_sitenote_category":0,"footnotes":""},"categories":[79],"tags":[3775,3776,3777,2689,3774],"class_list":["post-2418","post","type-post","status-publish","format-standard","hentry","category-79","tag-3775","tag-3776","tag-3777","tag-2689","tag-3774"],"aioseo_notices":[],"_links":{"self":[{"href":"https:\/\/news.tomjun.com\/index.php?rest_route=\/wp\/v2\/posts\/2418","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/news.tomjun.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/news.tomjun.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/news.tomjun.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/news.tomjun.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=2418"}],"version-history":[{"count":1,"href":"https:\/\/news.tomjun.com\/index.php?rest_route=\/wp\/v2\/posts\/2418\/revisions"}],"predecessor-version":[{"id":2419,"href":"https:\/\/news.tomjun.com\/index.php?rest_route=\/wp\/v2\/posts\/2418\/revisions\/2419"}],"wp:attachment":[{"href":"https:\/\/news.tomjun.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=2418"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/news.tomjun.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=2418"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/news.tomjun.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=2418"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}