Top Quant Firms Deny 'Korea Factor' Rumors, Report Widespread Heavy Losses Today
Alina Collins
After the July 13 close, multiple leading quant hedge funds denied rumors that they had fed Korean tech-stock moves into factor models and triggered an A-share chain reaction, disclosing that the quant sector broadly posted negative excess returns that day.
What exactly did the rumor claim?
After the close, a story circulated: A-share quant strategies had incorporated Korean tech-stock movements into their factor models, triggering a sector-wide chain reaction.
In plain terms = someone suspected quant funds were "copying Korea's homework" to trade A-shares — and crashed the sector doing it.
Reporters from China Securities Journal reached out to several top quant firms; every one of them denied the claim.
How did the top firms respond?
The founder of a quant fund managing over ¥20 billion said bluntly: leading Chinese quant firms rarely use Korean data for factor mining. The rumor is "pure outsider fiction."
A general manager at another ¥10 billion-plus fund explained: trading purely on overseas tech-stock moves would inevitably produce negative excess returns over time. "Most quant firms simply don't do this."
This means → using foreign stock prices as a trading signal cannot beat a benchmark mathematically. Professional firms have no incentive to try.
How did quant funds actually perform that day?
The same founder disclosed that the quant sector suffered broad losses; most peers posted negative excess returns after the bell.
This means → quant firms were losing money themselves — the opposite of the rumor's implication that they profited from manipulation.
Multiple sources emphasized that the quant industry earns excess returns by identifying and holding quality companies, not by short-term bets driven by overseas data.
So what actually caused this A-share pullback?
The founder of a well-known fund specializing in market-neutral strategies — a style that goes long and short simultaneously, profiting from stock selection rather than market direction — attributed the recent drop mainly to global market correlation.
At the same time, tech assets had become overcrowded — too many buyers, stretched valuations — creating inherent pullback pressure.
He added that major A-share benchmark indices are at reasonable valuations, limiting further downside. In plain terms = markets fall after they rise, but current prices are not extreme — no cause for panic.
Content is for reference only, not financial advice.