Quant Hedge Funds Trapped in Short Squeeze After China Glitch
- Short positions caught out after stock index futures rallied
- Some Direct Market Access products risk liquidation, Li says
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A number of quantitative hedge funds in China were hit severely on Friday as the nation’s equities staged their biggest rally in years, according to people familiar with the matter.
Some firms suffered heavy losses because they shorted index futures for their so-called Direct Market Access strategies, said the people, asking not to be identified discussing a private matter. Some saw their losses exacerbated by a Shanghai Stock Exchange glitch that left them unable to sell holdings to meet margin requirements, another person said.