China Quant Funds Turn Negative for the Year After October Tech Stock Selloff
nashnova research
All six long-only quant strategies in China fell more than 10% in October, wiping out full-year gains and pushing them into the red — raising the question of whether the sector's rapid expansion has peaked.
How bad was the damage across the board?
Data compiled by China Merchants Futures show all six pure long-only quant strategies lost more than 10% in October, flipping year-to-date returns negative to at least −6%.
This means → no single strategy "blew up" in isolation. The entire long-only quant lineup pulled back together, and diversification offered almost no cushion.
In plain terms = whether a fund tracked large-caps or small-caps, one month erased a full year of gains — and then some.
Which products were hit hardest?
Funds tracking the CSI 1000 index fell 16.7% in October, extending year-to-date losses to 13%. CSI 300 trackers dropped 11%, with year-to-date losses of 8.5%.
Among 68 CSI 1000 index-enhanced products — funds that use algorithms to try to beat the CSI 1000 — tracked by Shenzhen Jinfuzi, the average loss in the final week of October alone was 9.3%. Only one was positive for the year; the worst was down 26%.
This means → small-cap, high-beta names bore the brunt. The more concentrated an algorithm's holdings in these stocks, the deeper the drawdown.
Did market-neutral strategies escape?
Market-neutral products — funds that go long and short simultaneously to hedge exposure — are often seen as "all-weather." Yet they still lost 3% to 5% in October.
This reflects a sell-off so violent it overwhelmed hedging models; the short leg could not fully offset losses on the long side.
That said, quant funds still hold 18.5 percentage points of excess return over the CSI 2000 year-to-date, the best among all strategies. In plain terms = against the weakest benchmark, quants are still ahead — but against investors' expectations at the start of the year, accounts are in the red.
What is the bigger picture?
The CSI 300 fell 8.5% in October, its worst single month in over a decade, as concerns over weak economic growth weighed on sentiment.
Globally, hedge funds were also hit hard in October amid deepening doubts about the sustainability of the AI investment boom.
This means → the quant losses are not an isolated event but the product of global risk-appetite contraction layered on top of China's own fundamental pressures. Whether the large inflows that algorithms attracted earlier this year mark a turning point in the sector's expansion cycle remains an open question.
市场有风险，内容仅供研究参考，不构成投资建议。