Rumor has it that the quant private sale neutral strategy, DMA Get Liquidated. Please verify: the neutral strategy may have a drawdown but not to the extent of getting liquidated.

On September 27th, Jinshi data reported that there were rumors in the market that Quantitative Private Sale Neutral Strategy and DMA business have been liquidated. After multiple confirmations from various sources, the reporter learned that although the basis has changed from backwardation to contango and the neutral strategy has withdrawn more today under the DMA leverage restriction, it is not to the extent of being liquidated. First of all, the current DMA leverage is only 2 times, which is different from the DMA business with a leverage of 4 times at the beginning of the year. Secondly, most of the neutral strategies used in the market are based on 1800 constituent stocks, and then mixed hedging with IC/IF/IM. In addition, as for whether there will be spot selling pressure caused by closing positions in the future, some market participants pointed out that it is currently at a floating loss, and closing positions immediately is not logical. Moreover, with the forwardation of futures, there is arbitrage space for long spot and short futures strategies.