Reuters 路透社 9月21日
A man wearing a protective mask is seen inside the Shanghai Stock Exchange building, as the country is hit by a new coronavirus outbreak, at the Pudong financial district in Shanghai, China February 28, 2020. REUTERS/Aly Song/File Photo Acquire Licensing Rights
2020 年 2 月 28 日，在中国上海浦东金融区，一名男子戴着防护口罩出现在上海证券交易所大楼内，此时中国正爆发新的冠状病毒疫情。REUTERS/Aly Song/资料图片 Acquire Licensing Rights
SHANGHAI, Sept 21 (Reuters) - As China's stock market struggles to recover, regulators have started to probe some hedge funds and brokerages on quantitative trading strategies amid a growing outcry against a sector able to profit from share price falls and volatility, sources said.
上海，9月21日（路透社）--知情人士透露，随着中国股市艰难复苏，监管机构已开始对一些对冲基金和券商的量化交易策略进行调查，人们对这个能够从股价下跌和波动中获利的行业的呼声越来越高。
The China Securities Regulatory Commission (CSRC) has checked with several major brokers over the past weeks about short-selling activities and trading strategies of their quant clients - funds that trade rapidly using derivatives and data-driven computer models, two people with direct knowledge of the probe said.
中国证券监督管理委员会（CSRC）的两位直接知情人士称，过去几周，中国证监会已向几家大型经纪商了解了他们的量化客户（利用衍生品和数据驱动的计算机模型进行快速交易的基金）的卖空活动和交易策略。
Separately, the Shanghai and Shenzhen stock exchanges, under the CSRC's guidance, have sought information from major quant funds on their money-making strategies, another source said.
另一位消息人士称，在中国证监会的指导下，上海和深圳证券交易所已要求主要量化基金提供有关其赚钱策略的信息。
"They want to know the logic of the trading (strategy), the source of the profit; under which situation you hold net long, or net short positions ... and the reason behind buy and sell orders," the source said.
"他们想知道交易（策略）的逻辑、利润的来源；在什么情况下持有净多头或净空头头寸......以及买入和卖出订单背后的原因，"消息人士说。
The sources declined to be named as they are not authorised to speak to media. Both bourses, in response to Reuters queries, said descriptions of the probe were not factually accurate, while the CSRC did not respond to requests for comment.
消息人士拒绝透露姓名，因为他们未获授权接受媒体采访。两家交易所在回答路透社的询问时都表示，有关调查的描述与事实不符，而中国证监会没有回应置评请求。
Global quant fund houses including Winton and Two Sigma have operations in China, but it's not clear if the foreign players are being probed.
包括 Winton 和 Two Sigma 在内的全球量化基金公司都在中国开展业务，但目前尚不清楚这些外国公司是否正在接受调查。
The latest regulatory scrutiny comes after a slew of market-friendly measures - including a stamp duty cut - failed to drive a sustainable rally in a struggling market (.CSI300) that is down roughly 5% year-to-date.
最新的监管审查是在一系列有利于市场的措施（包括下调印花税）未能推动挣扎中的市场（.CSI300）持续反弹之后进行的，今年迄今为止，市场下跌了约 5%。
The weakness has triggered finger-pointing in social media, as well as criticism from fund managers and retail investors against these quant funds and short sellers.
这种疲软引发了社交媒体上的指责，以及基金经理和散户投资者对这些量化基金和卖空者的批评。
The CSRC had earlier this month vowed to increase scrutiny over programme trading, and some fear fresh probes could lead to tighter regulations on short-selling and certain financing activities by hedge funds.
中国证监会本月早些时候誓言要加强对程序交易的审查，一些人担心新的调查可能会导致对对冲基金卖空和某些融资活动的更严格监管。
The regulatory review is not without precedent. During China's 2015 market crash, Beijing almost shut down the index futures market and blamed shortsellers for the turmoil.
监管审查并非没有先例。在 2015 年中国市场暴跌期间，中国政府几乎关闭了股指期货市场，并将动荡归咎于空头。
PROBE 探测器
Quant funds in China exceeded 1.08 trillion yuan ($147.94 billion) at the end of 2021, nearly doubling in size from a year earlier, according to a report compiled by institutions including Huatai Securities. Some of China's biggest quant funds include High-Flyer Quant Investment, Yanfu Investments LLC and Shanghai Minghong Investment Management Co.
华泰证券等机构编制的一份报告显示，截至2021年底，中国的量化基金规模超过1.08万亿元人民币（约合1479.4亿美元），比上年增长近一倍。中国最大的量化基金包括高飞量化投资公司（High-Flyer Quant Investment）、延富投资有限责任公司（Yanfu Investments LLC）和上海明弘投资管理有限公司（Shanghai Minghong Investment Management Co.
A better understanding of various quant strategies may lead to regulators curbing those that contribute to market volatility, said one of the brokerage sources.
其中一位券商人士说，对各种量化策略有了更深入的了解，监管机构可能会抑制那些助长市场波动的策略。
Short-selling activities by quant funds could also be caught in the crossfire, he said.
他说，量化基金的沽空活动也可能陷入困境。
"Brokerages in China are more willing to lend securities to quants for shortselling due to their active trading and commission contributions. But it's unfair to other market players who hardly have access to securities lending," said Yuan Yuwei, fund manager at Water Wisdom Asset Management.
"由于交易活跃、佣金贡献大，中国的券商更愿意将证券借给量化师做空。但这对其他市场参与者不公平，因为他们很难获得证券借贷。
The regulatory inquiry is still in its early stage and no conclusion has been made, three of the sources said.
其中三位消息人士说，监管调查仍处于初期阶段，尚未得出结论。
LEVERAGED BETS 杠杆式投注
Regulators have also asked for data around Direct Market Access (DMA), sources said. Through DMA, hedge funds in China can borrow money from brokerages to fund leveraged bets. Borrowing $1 only requires a minimum of 25 cents in deposits.
消息人士称，监管机构还要求提供有关直接市场准入（DMA）的数据。通过直接市场准入，中国的对冲基金可以向券商借钱，为杠杆赌注提供资金。借入 1 美元只需最低 25 美分的存款。
"DMA easily raises eyebrows as it involves high leverage, and allows quant funds to make a lot of money," said a brokerage source.
"一位券商人士说："DMA 很容易引起人们的关注，因为它涉及高杠杆，让量化基金赚得盆满钵满。
Another brokerage source said the CSRC asked them to elaborate on the size of their quant clientele and whether quant trading had impacted the stock market recently.
另一位券商人士说，中国证监会要求他们详细说明量化客户的规模，以及量化交易最近是否对股市产生了影响。
Yang Tingwu, vice general manager of asset manager Tongheng Investment, supports tighter rules for quant funds, arguing many Chinese quants make lucrative bets on poorly managed companies based on momentum signals, rather than fundamentals.
资产管理公司同恒投资的副总经理杨廷武支持对量化基金实行更严格的规定，他认为许多中国的量化投资人根据动量信号而不是基本面，对管理不善的公司下了有利可图的赌注。
Quant strategy is a neutral tool, but "in China, it's being used to provide liquidity to the bad guys," he said, referring to listed firms with poor governance.
量化策略是一种中性工具，但 "在中国，它被用来为坏人提供流动性"，他指的是治理不善的上市公司。
($1 = 7.3002 Chinese yuan)
(1 美元 = 7.3002 人民币）
