Ying Feng Capital'S 4 Accounts Are Restricted Spanactions.

Ying Feng capital's 4 accounts are restricted spanactions. The common feature of the hedge fund products that are restricted by trading is the widespread use of relatively high frequency algorithm spanactions, which has aroused the attention of regulators by removing large bills into small bills and frequent withdrawals.

As of August 1st, the number of accounts restricted by the regulatory authorities has reached 34.

In the 34 accounts that restrict spanactions, Ying Feng capital Up to 4 accounts are restricted spanactions, including Ying Feng Ying Bao hedge fund (account code: B888358079), Ying Feng Indus quantitative hedge fund (account code: B883296604), Shenzhen Ying Feng quantitative investment management partnership (limited partnership), (account code: B883145968), Shanghai new equation equity Cci Capital Ltd - the new equation Ying Feng quantitative hedge fund (account code: B883324384), its designated sales department is CITIC Securities Beijing headquarters securities business department.

In July 31st, Ying Feng capital announced in its official website that the 4 quantified hedge fund securities accounts held by the company as managers or investment advisers were restricted by the Shenzhen Stock Exchange and the Shanghai stock exchange between July 31, 2015 and October 30th. At present, the company is actively cooperate with the regulatory authorities to investigate and verify the trading strategies and spanactions of the above products.

An insider of Ying Feng capital admitted that there were four big accounts involved in the restricted spanactions of its accounts, but he did not want to say more about it.

"There is absolutely no idea of malicious marketing or manipulation of the market." The source said.

The person said that under the existing regulatory environment, things are not the final say of the company. Of course, the company will maintain close communication with regulators, but there has been no further publicity.

"After all, every company has different ways of communicating and communicating with each other." The source said.

In August 3rd, a private institution researcher told reporters, "the commonality of the hedge fund products that are restricted by trading is the adoption of relatively high frequency algorithm spanactions, which has aroused the attention of regulators by removing large bills into small bills and frequent withdrawals.

The person said that its high-frequency trading platform can automatically separate the pre-set stock spanactions into multiple small orders, and then send a small order to the broker at the latest price at each minute. If a small single spanaction is not completed or incomplete, the module will automatically withdraw the order after 30 seconds and make up the order according to the latest price.

Under normal circumstances, this form of discounting, rather than a single order, can effectively avoid the impact on the market and reduce the fluctuations in the market price due to orders. But in July 8th, because most of the stocks were suspended or on the down board, there was a phenomenon of repeated withdrawals because of the inability to make a deal on the down board.

"But we understand that not all quantified hedging products use algorithmic spanactions, nor do all procedural trading products have higher trading frequency," the person explained further. The "restricted spanaction" involves only a small part of the investment. From our communication situation, Jun Yao, Shen Yi, inno, Ai Fang, coefficient and other quantitative hedging are not affected.

Capital surplus capital

According to information from Ying Feng capital official website, Ying Feng capital is an integrated Asset Management Co set up by Ying Feng holdings and its venture capital venture in 2012. It is registered in Qianhai, Shenzhen, with a registered capital of 50 million yuan. Its securities investment fund and PE investment fund reach 22 yuan, with nearly 5 billion yuan in management assets.

From the national enterprise credit information publicity system, the results show that Ying Feng quantitative investment is Ying Feng holdings, Ningbo PROWAY investment, Ying Feng capital joint venture partnership.

Public information shows that Ying Feng Holdings (formerly Ying Feng Group) was founded in Shunde in 1994 by He Jianfeng, the founder of the United States group, and he has now developed into a diversified holding group with cross retail, financial, asset management and industrial manufacturing. The financial industry, whose core is Ying Feng capital, is one of its three core industries.

In addition, the annual report of the US group in 2014 shows that He Jianfeng is currently a director of the US group and is also chairman and President of Ying Feng holdings. And because of the controlling shareholder of the United States, the controlling shareholder of the immediate family members, Ying Feng Holdings has become one of the United States group related parties.

Up to now, there are two investment institutions under Ying Feng capital, namely, win win investment and Ying Feng venture capital.

Among them, the win win investment is one of the earliest private equity fund management institutions in China. It manages assets of RMB 3 billion yuan, and has issued 13 phases of sunshine private placement products. Ying Feng venture has developed from the direct investment department of Ying Feng Group. Since 2008, it has started equity investment business, has issued two PE funds and has invested more than 10 projects, with an investment of more than 1 billion yuan, and three projects have been listed on the main board and gem.

For example, 002742.SZ, a capital investment company, has been listed in February 17th this year. As early as October 11, 2010, Ying Feng capital invested 38 million 700 thousand yuan to invest in the latter, accounting for 4.17% of the shares. After the listing of Sansheng special materials, the shareholding ratio of the first phase of the fund is 3.13%. According to the issuing price of three saints special materials, 20.37 yuan per share, the profit return of the first phase of the Ying Feng venture fund is 1.58 times.

So far, Ying Feng capital has set up two phases of funds and an Ying Feng Real estate. Investment funds 。 Among them, the Ying Feng phase I fund was established by the SME growth fund in October 2010. It was jointly subscribed by Ying Feng holdings, the United States group, the Shunde district government and 11 private enterprises. As of the end of 2011, the investment fund of the first phase of Ying Feng has completed investment, including a total of 10 projects including Zhongdao stock, Sansheng special timber, Zhongmao garden, Wan Ding silicon steel and so on.

The two phase of the Ying Feng fund is an industrial investment fund upgraded by advanced manufacturing and consumption. It was founded in November 2011 and was founded by Ying Feng holdings, the United States group and publicly marketed funds.

Its investment projects include Anhui Meijia, Jiahua electronics, Yan Feng aquaculture, Jin Yuan electric and *ST 002633.SZ, a stranded hareun film and television company.

Some arbitrage strategies will be limited.

However, this account restrictive measures may have an impact on institutional arbitrage strategy.

A private equity agency said, "we have been closely monitoring the changes in relevant regulatory rules and maintaining close communication with CICC for more than once a week. From the point of view of supervision, CICC also restricted the opening of some private accounts and strictly monitored procedural spanactions. In the short term, it is expected that the CTA strategy, intra day high frequency and intertemporal arbitrage of stock index futures will be limited.

He said that the company's current strategic portfolio does not include CTA strategy and frequent intraday trading of stock index futures or unilateral short selling strategies, and there has never been a net short exposure in product portfolio history, so the impact is expected to be minimal.

"Recently, due to the market distortions caused by the rescue market, stock index futures continued to pay a lot of discount, the company maintained a low position to cope flexibly, and appropriately participated in the arbitrage of high definitive price arbitrage, suspended all statistical arbitrage strategies (event driven, Alfa strategy), because the historical model has been unable to effectively predict the current extreme market." The source said.

Another hedge fund official said the company's main strategy is Alpha strategy. shares Hedge against stock index futures. Stock index futures are mainly covered by insurance, with low trading frequency and no high frequency of stock index futures. Moreover, the company's current product position is relatively low, mainly due to the problem of negative basis.

"Stock index futures positions in the company strategy are mainly used for spot guarantees, and they are not sold out unilaterally, and they are extended only before the delivery of the contract, which can be extended once a month and the longest one year. At the same time, the product will adopt the way of early extension and partial renewal, so as to reduce the impact cost and control the risk of price difference. At present, the stock investment target is mainly Shanghai and Shenzhen 300 large cap stocks, liquidity is better, can meet the needs of the monthly change of products. The hedge fund official said.

For this reason, a large brokerage researcher believes that this regulation is not a quantitative strategy, but a special policy adopted in specific times for specific behaviors. Due to the recent market volatility, some of the programmed order trading systems still execute instructions according to the trading strategies developed under the normal market, such as frequent orders and withdrawals when orders are not available. Because of the special period, the regulators believe that these actions are suspected to affect the spanaction price.

"We believe that this is a special policy adopted by the regulatory authorities in specific times for specific behaviors, not a restriction on procedural spanactions and quantitative trading strategies. In terms of procedural trading and quantitative strategy, from the mature market experience abroad, it has a very important positive effect on market liquidity and real price discovery. China's procedural trading and quantification strategy is still at the initial stage of development, and it is far from reaching the ceiling of growth compared to overseas. The researcher said.

Recently, extreme market environment has different influence on different quantization strategies. The market neutral strategy is very unfavorable when opening the main financial futures base. However, after the market sentiment is flat, with the normal implementation of the strategy, quantifying the hedging products will usher in a better environment, and its revenue will be on the normal track.