传言“量化私募中性策略、DMA爆仓” 求证：中性策略回撤但不至于爆仓

金十财经09-27

【传言“量化私募中性策略、DMA爆仓” 求证：中性策略回撤但不至于爆仓】金十数据9月27日讯，今天市场有消息称，量化私募中性策略、DMA业务爆仓。对此，记者多方求证获悉，DMA杠杆限制下，虽然今日基差从贴水变升水，中性策略回撤较多，但不至于出现爆仓。首先，当前DMA业务杠杆较低，首先和年初4倍杠杆的DMA业务爆仓不同，目前该业务杠杆仅2倍；其次，市场上大多数中性策略用的一般是1800成分股比较多，...

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