中国's quant 基金s become 犠牲者s of their own success
By Samuel Shen and Selena Li
SHANGHAI/HONG KONG, Jan 4 (Reuters) - 中国's algorithm-driven quant 基金s にわか景気d in 2021 as 投資家s sought 代案／選択肢s to a languid 株式市場, but the final months of the year saw some "flash boys" bogged 負かす／撃墜する by 激しい volatility and their sheer size.
High-flyer Quant, a 最高の，を越す hedge 基金 house in 中国 that uses powerful computers and 人工的な 知能 (AI) to 偉業／利用する market 適切な時期s, last week apologised to 投資家s for a 記録，記録的な／記録する 低迷 in 業績／成果.
The 基金 house, which manages 概略で 100 billion yuan ($15.69 billion), 非難するd the 衝突，墜落 on wild 転換s in 投資家 感情 and （人が）群がるd 貿易（する）s in a 部門 that is "growing too 急速な／放蕩な in size."
High-flyer's public 陳謝 echoes an earlier 後退 in 2021 at Shanghai Minghong 投資 管理／経営 Co, another quant heavyweight 基金 that 苦しむd losses に引き続いて a 殺到する in 資産s under 管理／経営 (AUM).
"When you're small, high-frequency, 早い-貿易（する）ing 戦略s could create very beautiful 業績／成果 charts," said Wang Li, chairman of Hangzhou Liberty 基金 管理／経営 Co.
But after big money 噴出するs in, "the 戦略s no longer work."
While high-frequency 仲買人s, known colloquially as "flash boys", typically ride on market 勢い and gyrations, their 貿易（する）s can become 効果のない／無能な if there is too much money betting the same way.
When such 基金s grow too large, they lose their ability to move nimbly and 偉業／利用する market inefficiencies.
A High-flyer Quant 基金, designed to 高める returns on the CSI500 索引, lost 13.1% during the last ４半期/4分の1, にもかかわらず a 3.6% 伸び（る） in the underlying 索引, によれば 基金 distributor Simuwang.com. That wiped out most of the 21.9% 伸び（る）s from the first nine months.
Another High-flyer 基金 using hedging 戦略s lost 12.1% during the final three months of 2021, bringing the year's 業績／成果 to an 8.1% loss.
That 運命／宿命 could 生じる other players in a 部門 t hat, によれば Citic 安全s 見積（る）s, has jumped ten-倍の over the past four years to 1 一兆 yuan. Daily turnover in 中国's A-株 market crossed a 一兆 yuan on most days in 2021.
Around 25 hedge 基金 経営者／支配人s that use such quantitative 戦略s each saw their AUMs より勝る 10 billion yuan last year, によれば Kaiyuan 安全s. Several, 含むing High-flyer, 越えるd 100 billion yuan in AUM.
投資家s 急ぐd into quant 基金s, which 捜し出す to 生成する 絶対の, or 高めるd returns, during a year in which regulatory 厳重取締s on 部門s 含むing tech and 所有物／資産／財産 roiled 株式市場s.
中国's blue-半導体素子 CSI300 索引 lost 5.2% in 2021, にもかかわらず 記録，記録的な／記録する 年次の turnover in 地元の 在庫／株s, fuelled in part by the rise of 速く 貿易（する）ing quant 基金s.
The problem with 最高の，を越す quant players like High-flyer Quant is that "their size is too big," said Shi Ke, partner at hedge 基金 経営者／支配人 iFund 資産 管理／経営 Co.
"Another 問題／発行する is that AI can do a good 職業 analysing historical data, but may not 反応する quickly when market swerves."
Last year, some （弁護士の）依頼人s made returns lower than the （判断の）基準, while some others 苦しむd paper losses, and "we feel very sorry," High-flyer Quant said in the letter, 公約するing to 投資する more in 研究.
SHQX 資産 管理／経営, a Shanghai-based hedge 基金 経営者／支配人, said many いわゆる CTA 基金s, which 貿易（する） 商品／必需品s using quantitative 戦略s, 苦しむd に向かって the end of 2021 予定 to 低迷 in 物価s.
There are 調印するs of growing 警告を与える in the 産業.
Several 基金 経営者／支配人s, 含むing High-flyer, Tianyan 資本／首都 and 進化 資産 管理／経営, have stopped taking new money for some or all 製品s.
Breakneck growth has 増加するd regulatory scrutiny.
最高の，を越す 安全s regulator Yi Huiman said in September growth in "quants" was a challenge to 在庫／株 交流s. 一方／合間, the 安全s 協会 of 中国, a self-規制するing 産業 団体／死体, is 需要・要求するing more 公表，暴露 from major quant players about t 相続人 操作／手術s.
Yin Tianyuan, the Shanghai-based 長，率いる of 研究 at data provider Suntime （警察などへの）密告，告訴（状）, says some quant 経営者／支配人s are 任意に taking the heat out of their 貿易（する）ing. "The largest quants with 100 billion yuan in 中国 have almost all lowered the frequency of their algorithm to 'medium high'," she said. (Editing by Vidya Ranganathan and Sam Holmes)
