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送交者: testtesttest 于 2024-10-01 10:39:45
回答: 做Naked Short的卖空中国股市的这下死翘翘了。 由 于 2024-10-01 03:02:30
China Shorts Can\'t Cover Margin Calls After Biggest One-Day Faceripper Since Lehman
Monday, Sep 30, 2024 - 05:25 PM
Even though the rest of Asia had a very difficult session, with Japanese stocks tumbling more than 3% (on a delayed reaction to the jump in the yen which surged after hawkish Shigeru Ishiba’s victory wrongfooted investors, forcing them to pare positions that had been built on speculation that dovish Sanae Takaichi would become the nation’s new prime minister and encourage the Bank of Japan to keep interest rates low) while those in Taiwan and Korea fell more than 2% after declines in US tech shares on Friday, China was in a world of its own.
Perhaps listening to David Tepper last week, who said that he is plowing capital into China so aggressively he is even removing his limits, “I have limits, historic limits. I probably said a long time ago, I don’t go above 10% or 15%. Well, that’s probably not true anymore"
...
Billionaire investor David Tepper on China: Central bank comments \'exceeded expectations\'
... investors flooded into Chinese shares for the fifth day in a row, and bucked the region’s trend ahead of the country\'s weeklong holiday, and the CSI 300 Index soared the most since 2008 and entered a bull market, as sentiment got another boost from further government stimulus, whereby 3 of China\'s largest cities relaxed rules for homebuyers, while the central bank also moved to lower mortgage rates.
...
... yet considering that "short China" was viewed as the second most crowded trade as recently as a few weeks ago, we somehow doubt that anyone was actually prepared for what is coming.
...
Bottom line: virtually nobody expected it, and perhaps understandably so: after all, it was back in June when Premier Li Qiang compared the Chinese economy to a person recovering from a serious illness and advocated for a “precise, gradual” approach and cautioned against “strong treatment” – which as Goldman wrote, made this sharp turnaround in Beijing’s attitude even more noteworthy and suggested the change came from the very top echelon of Chinese leadership (of course, those who believed us, were not only ready, but made an entire\'s year of gains in a week).
Among those who were certainly not ready for the biggest Chinese rally in two decades, were the country\'s quantitative hedge funds.
As first noted last week, quants that short Chinese index futures as part of their market-neutral strategies faced additional margin calls as shares continued to surge on Monday, Bloomberg reported citing people familiar with the matter. The scale of requests was generally smaller than on Friday when an exchange glitch made it harder for funds to raise cash.
Some managers informally conveyed to regulators the need for more time to meet margin requests, 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, but others were not.
Market-neutral products, which involve holding long positions in individual stocks while shorting stock index futures, typically suffered a drawdown between 3 to 5% points last week, which is a huge loss for funds which are normally levered anywhere between 10x and 100x. The declines are a setback for quants that are still recovering 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, according 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%, the letter said.
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 force-closed the short positions, they pushed the index futures even higher along with investors betting on a further rally, worsening the short squeeze.
下面是David Tepper采访的链子
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