Intra-month volatility in February is anticipated to be the highest among Year 2024. The‘Snowball’ knock-in before Chinese New Year triggered a notable drawdown in the Small and Mid-cap Index, followed by capital bailouts and extreme market rotation. Limitations on ‘DMA’ exacerbated liquidity crisis, ultimately culminating a falling dominoes.Most QQquant managers posted an average Alpha drawdown of -10%,which appears to be the largest over the past three years. 

Goku model was optimized for risk factor exposure and achieved success without manual intervention, making us the winning group of YTD.During the crisis, our Market Neutral strategy outperformed by adhering to a mixed CSI 300, 500 and 1000 hedging strategy. We supplemented that with our Alpha monitoring and Basis environment monitoring model, which helped us minimize risk by lowering the position before it materialized. As of the end of Feb, our maximum drawdown of YTD was -1.7%, with a portfolio return of 1.7%.

China remains a hub for Alpha, characterized by high volatility, rapid turnover, and distributed volume.We anticipate that Qquant strategy will quickly rebound from the recent storm, leading to stable growth in Alpha.