March 5, 2024 (NO COMMENTS)

When China’s equities markets were tumbling through January and into February, the government ordered its state-backed funds to buy stocks to prop up the country’s major equity indexes just ahead of Chinese new year. But while the action stabilised the market, it spelled disaster for quantitative hedge funds. Many had leveraged market-neutral trades known as direct market access (DMA) swaps, comprising long positions on micro-cap mainland stocks hedged with short futures positions on the major