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乖兔兔宝宝
2022-08-20
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Behind the US stock market rebound: Quantitative funds close short positions, are they poised for another 100 days of gains?
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After experiencing its worst first half of the year on record, US stocks began a rebound in the second half of the year. Since July, the Nasdaq Composite Index has risen nearly 17%, and the S&P 500 Index has risen nearly 13%.</p><p>The rebound in US stocks highlights the gradual dissipation of investor pessimism. Quantitative funds that had previously shorted US stocks on a large scale quickly closed their short positions and then switched to long positions.</p><p>In response, Nomura strategist Charlie McElligott stated,<b>Quantitative funds changed their stance \"quickly and calmly,\" seizing the opportunity in a \"very bearish market\" with lightning speed.</b></p><p><b>Quantitative funds quickly turned to</b></p><p>Nomura estimates that since the market hit a low in late June, trend-tracking hedge funds and volatility control funds have purchased $107 billion in global stock futures, a large portion of which is used to close short positions.</p><p><a href=\"https://laohu8.com/S/BAC\">Bank of America</a>Glenn Koh, head of equity trading, said: \"Because positions are basically low and a lot of cash (holders) are waiting outside the market, more and more funds are flowing back into the market as the market stabilizes and begins to rebound.\"</p><p>According to a previous article by Wall Street Insights, in July, quantitative trading strategy CTA lifted approximately $100 billion in bets on bearish stocks and bonds, driving the recovery of U.S. stocks and Treasuries from the worst first half of the year in history.</p><p>according to<a href=\"https://laohu8.com/S/JPM\">JPMorgan Chase</a>According to estimates, commodity traders (CTAs) engaged in both long and short trading in the futures market have liquidated the short positions they had built up over the past few months, and by the end of July, their overall exposure was at a neutral level for the first time since March.</p><p>However, with the risk of recession intensifying, how long can this bullish stance last?</p><p><b>100 days?</b></p><p><a href=\"https://laohu8.com/S/JPM\">JPMorgan Chase</a>Analysts say long positions may continue. The agency told its hedge fund clients last week that funds seeking low volatility and risk-parity funds buy approximately $2 billion to $4 billion worth of stocks every day. The bank estimates that if volatility remains low, such long positions...<b>It may last another 100 days.</b>”。</p><p>JPMorgan strategist Marko Kolanovic said the rally has reached most corners of the market. Over the past 50 days,<b>Approximately 88% of the S&P 500 constituent stocks traded above average, a significantly higher percentage than the 2% in mid-June.</b>。 Kolanovic said:</p><p>\"The strong participation indicates that this rebound is sustained and another manifestation of the receding tail risks in the market.\" \"Funds that pursue low volatility will increase their overall risk exposure, especially in stocks.\" Fund managers are more optimistic.<a href=\"https://laohu8.com/S/BAC\">Bank of America</a>Strategist Michael Hartnett said after conducting a poll of portfolio managers this month that they are \"no longer as pessimistic as the end of the world.\"</p><p><b>How long can US stocks support the Federal Reserve's aggressive rate hike?</b></p><p>This depends to some extent on the magnitude of the Federal Reserve's subsequent rate hike. Federal Reserve officials have warned that they will continue rate hike and may keep interest rates above traders' expectations. In addition, rising inflation and economic recession may continue to impact the market.</p><p>This also explains why the recent rise in US stocks was not led by traditional fund managers and long/short stock hedge funds, but by quantitative funds.</p><p>\"You'll see some people shorting,\" said Mike Lewis, head of U.S. cash equity trading at Barclays.</p><p>Bridgewater Associates believes that the US stock market is currently in a prolonged and widespread stagflation environment, and it is clearly not yet prepared for a low-growth environment. The agency believes that to bring inflation down to the Federal Reserve's target level, its monetary policy must be strong enough to push the U.S. economy into recession. The significance of this for the market is self-evident.</p><p><a href=\"https://laohu8.com/S/MS\">Morgan Stanley</a>It is believed that the strong performance of many US-listed companies is precisely due to the high returns brought about by high inflation, and as inflation declines, the profits of many companies will also decline, and their performance will fall short of market expectations. The bank's Mike Wilson team stated:</p><p>“<b>The next round of US stock market declines may not be until September.</b>At that time, our negative operating leverage theory will be reflected more in our earnings forecasts. However, due to overvaluations in US stocks, we believe the best part of the rally is over.</body></html></p>","collect":0,"html":"<!DOCTYPE html>\n<html>\n<head>\n<meta http-equiv=\"Content-Type\" content=\"text/html; charset=utf-8\" />\n<meta name=\"viewport\" content=\"width=device-width,initial-scale=1.0,minimum-scale=1.0,maximum-scale=1.0,user-scalable=no\"/>\n<meta name=\"format-detection\" content=\"telephone=no,email=no,address=no\" />\n<title>Behind the US stock market rebound: Quantitative funds close short positions, are they poised for another 100 days of gains?</title>\n<style type=\"text/css\">\na,abbr,acronym,address,applet,article,aside,audio,b,big,blockquote,body,canvas,caption,center,cite,code,dd,del,details,dfn,div,dl,dt,\nem,embed,fieldset,figcaption,figure,footer,form,h1,h2,h3,h4,h5,h6,header,hgroup,html,i,iframe,img,ins,kbd,label,legend,li,mark,menu,nav,\nobject,ol,output,p,pre,q,ruby,s,samp,section,small,span,strike,strong,sub,summary,sup,table,tbody,td,tfoot,th,thead,time,tr,tt,u,ul,var,video{ font:inherit;margin:0;padding:0;vertical-align:baseline;border:0 }\nbody{ font-size:16px; line-height:1.5; color:#999; background:transparent; }\n.wrapper{ overflow:hidden;word-break:break-all;padding:10px; }\nh1,h2{ font-weight:normal; line-height:1.35; margin-bottom:.6em; }\nh3,h4,h5,h6{ line-height:1.35; margin-bottom:1em; }\nh1{ font-size:24px; }\nh2{ font-size:20px; }\nh3{ font-size:18px; }\nh4{ font-size:16px; }\nh5{ font-size:14px; }\nh6{ font-size:12px; }\np,ul,ol,blockquote,dl,table{ margin:1.2em 0; }\nul,ol{ margin-left:2em; }\nul{ list-style:disc; }\nol{ list-style:decimal; }\nli,li p{ margin:10px 0;}\nimg{ max-width:100%;display:block;margin:0 auto 1em; }\nblockquote{ color:#B5B2B1; border-left:3px solid #aaa; padding:1em; }\nstrong,b{font-weight:bold;}\nem,i{font-style:italic;}\ntable{ width:100%;border-collapse:collapse;border-spacing:1px;margin:1em 0;font-size:.9em; }\nth,td{ padding:5px;text-align:left;border:1px solid #aaa; }\nth{ font-weight:bold;background:#5d5d5d; }\n.symbol-link{font-weight:bold;}\n/* header{ border-bottom:1px solid #494756; } */\n.title{ margin:0 0 8px;line-height:1.3;color:#ddd; }\n.meta {color:#5e5c6d;font-size:13px;margin:0 0 .5em; }\na{text-decoration:none; color:#2a4b87;}\n.meta .head { display: inline-block; overflow: hidden}\n.head .h-thumb { width: 30px; height: 30px; margin: 0; padding: 0; border-radius: 50%; float: left;}\n.head .h-content { margin: 0; padding: 0 0 0 9px; float: left;}\n.head .h-name {font-size: 13px; color: #eee; margin: 0;}\n.head .h-time {font-size: 12.5px; color: #7E829C; margin: 0;}\n.small {font-size: 12.5px; display: inline-block; transform: scale(0.9); -webkit-transform: scale(0.9); transform-origin: left; -webkit-transform-origin: left;}\n.smaller {font-size: 12.5px; display: inline-block; transform: scale(0.8); -webkit-transform: scale(0.8); transform-origin: left; -webkit-transform-origin: left;}\n.bt-text {font-size: 12px;margin: 1.5em 0 0 0}\n.bt-text p {margin: 0}\n</style>\n</head>\n<body>\n<div class=\"wrapper\">\n<header>\n<h2 class=\"title\">\nBehind the US stock market rebound: Quantitative funds close short positions, are they poised for another 100 days of gains?\n</h2>\n<h4 class=\"meta\">\n<a class=\"head\" href=\"https://laohu8.com/wemedia/1084101182\">\n\n<div class=\"h-thumb\" style=\"background-image:url(https://static.tigerbbs.com/66809d1f5c2e43e2bdf15820c6d6897e);background-size:cover;\"></div>\n\n<div class=\"h-content\">\n<p class=\"h-name\">华尔街见闻 </p>\n<p class=\"h-time smaller\">2022-08-18 21:59</p>\n</div>\n</a>\n</h4>\n</header>\n<article>\n<p><html><head></head><body>Quantitative funds changed their stance \"quickly and calmly,\" seizing the opportunity in a \"very bearish market\" with lightning speed. After experiencing its worst first half of the year on record, US stocks began a rebound in the second half of the year. Since July, the Nasdaq Composite Index has risen nearly 17%, and the S&P 500 Index has risen nearly 13%.</p><p>The rebound in US stocks highlights the gradual dissipation of investor pessimism. Quantitative funds that had previously shorted US stocks on a large scale quickly closed their short positions and then switched to long positions.</p><p>In response, Nomura strategist Charlie McElligott stated,<b>Quantitative funds changed their stance \"quickly and calmly,\" seizing the opportunity in a \"very bearish market\" with lightning speed.</b></p><p><b>Quantitative funds quickly turned to</b></p><p>Nomura estimates that since the market hit a low in late June, trend-tracking hedge funds and volatility control funds have purchased $107 billion in global stock futures, a large portion of which is used to close short positions.</p><p><a href=\"https://laohu8.com/S/BAC\">Bank of America</a>Glenn Koh, head of equity trading, said: \"Because positions are basically low and a lot of cash (holders) are waiting outside the market, more and more funds are flowing back into the market as the market stabilizes and begins to rebound.\"</p><p>According to a previous article by Wall Street Insights, in July, quantitative trading strategy CTA lifted approximately $100 billion in bets on bearish stocks and bonds, driving the recovery of U.S. stocks and Treasuries from the worst first half of the year in history.</p><p>according to<a href=\"https://laohu8.com/S/JPM\">JPMorgan Chase</a>According to estimates, commodity traders (CTAs) engaged in both long and short trading in the futures market have liquidated the short positions they had built up over the past few months, and by the end of July, their overall exposure was at a neutral level for the first time since March.</p><p>However, with the risk of recession intensifying, how long can this bullish stance last?</p><p><b>100 days?</b></p><p><a href=\"https://laohu8.com/S/JPM\">JPMorgan Chase</a>Analysts say long positions may continue. The agency told its hedge fund clients last week that funds seeking low volatility and risk-parity funds buy approximately $2 billion to $4 billion worth of stocks every day. The bank estimates that if volatility remains low, such long positions...<b>It may last another 100 days.</b>”。</p><p>JPMorgan strategist Marko Kolanovic said the rally has reached most corners of the market. Over the past 50 days,<b>Approximately 88% of the S&P 500 constituent stocks traded above average, a significantly higher percentage than the 2% in mid-June.</b>。 Kolanovic said:</p><p>\"The strong participation indicates that this rebound is sustained and another manifestation of the receding tail risks in the market.\" \"Funds that pursue low volatility will increase their overall risk exposure, especially in stocks.\" Fund managers are more optimistic.<a href=\"https://laohu8.com/S/BAC\">Bank of America</a>Strategist Michael Hartnett said after conducting a poll of portfolio managers this month that they are \"no longer as pessimistic as the end of the world.\"</p><p><b>How long can US stocks support the Federal Reserve's aggressive rate hike?</b></p><p>This depends to some extent on the magnitude of the Federal Reserve's subsequent rate hike. Federal Reserve officials have warned that they will continue rate hike and may keep interest rates above traders' expectations. In addition, rising inflation and economic recession may continue to impact the market.</p><p>This also explains why the recent rise in US stocks was not led by traditional fund managers and long/short stock hedge funds, but by quantitative funds.</p><p>\"You'll see some people shorting,\" said Mike Lewis, head of U.S. cash equity trading at Barclays.</p><p>Bridgewater Associates believes that the US stock market is currently in a prolonged and widespread stagflation environment, and it is clearly not yet prepared for a low-growth environment. The agency believes that to bring inflation down to the Federal Reserve's target level, its monetary policy must be strong enough to push the U.S. economy into recession. The significance of this for the market is self-evident.</p><p><a href=\"https://laohu8.com/S/MS\">Morgan Stanley</a>It is believed that the strong performance of many US-listed companies is precisely due to the high returns brought about by high inflation, and as inflation declines, the profits of many companies will also decline, and their performance will fall short of market expectations. The bank's Mike Wilson team stated:</p><p>“<b>The next round of US stock market declines may not be until September.</b>At that time, our negative operating leverage theory will be reflected more in our earnings forecasts. However, due to overvaluations in US stocks, we believe the best part of the rally is over.</body></html></p>\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"https://static.tigerbbs.com/55eb327f580527889cf30bafa92692ae","relate_stocks":{".IXIC":"NASDAQ Composite",".DJI":"道琼斯",".SPX":"S&P 500 Index"},"source_url":"","is_english":false,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1148070609","content_text":"量化基金“迅速而冷静地”转变立场，以迅雷之势抓住了“非常熊的市场”机会。在经历有史以来最糟糕的上半年之后，美股在下半年开启了反弹模式。自7月以来，纳斯达克综指上涨了近17%，标普500指数上涨了近13%。美股反弹的背后，凸显了投资者悲观情绪的逐渐消散，此前大规模做空美股的量化基金迅速关闭空仓，然后转为做多。对此，野村的策略师Charlie McElligott表示，量化基金“迅速而冷静地”转变立场，以迅雷之势抓住了“非常熊的市场”机会。量化基金迅速转向野村估计，自6月底市场触及低点以来，趋势跟踪对冲基金和波动控制基金已经购买了1070亿美元的全球股票期货，其中很大一部分用于平仓空头头寸。美国银行股票交易主管Glenn Koh表示：“由于仓位基本处于低位，大量现金（持有者）在场外观望，因此随着市场企稳并开始反弹，越来越多的资金流回了市场。”据华尔街见闻此前文章介绍，7月份，量化交易策略CTA解除了约1000亿美元看跌股票和债券的押注，推动美股和美债从史上最糟糕的上半年中开始复苏。根据摩根大通的估计，在期货市场进行多空双向交易的商品交易商（CTA）纷纷平掉了他们在过去几个月里建立的空头仓位，到7月底，他们的整体敞口自3月份以来首次处于中性水平。然而，随着衰退风险加剧，这种做多还能维持多久？100天？摩根大通分析师表示，做多可能会继续。该机构上周告诉其对冲基金客户，追求低波动的基金和风险平价基金每天购买价值约20亿至40亿美元的股票。该行估计，如果波动性保持在低水平，此类做多 “可能会再持续100天”。摩根大通策略师Marko Kolanovic表示，涨势已经触及市场的大部分角落。过去50天，标普500指数成分股中约有88%的交易价格高于平均水平，该比例远远高于6月中旬的2%。Kolanovic说：“强劲的参与度表明这次反弹是持久的，也是市场尾部风险消退的另一个表现。”“追求低波动的基金将增加整体风险敞口，尤其是股票。”基金经理则更加乐观。美国银行策略师Michael Hartnett本月对投资组合经理进行民意调查后表示，他们“不再像世界末日一样悲观”。美联储激进加息下，美股能支持多久？这在一定程度上取决于美联储接下来的加息幅度。美联储官员曾警告称，将会继续加息并可能将利率维持在交易员预期的上方。另外，通胀加剧和经济衰退也可能继续冲击市场。这也解释了为什么此次美股上涨不是由传统的基金经理和多空股票对冲基金引领，而是由量化基金驱动。巴克莱美国现金股票交易主管Mike Lewis表示：“你会看到一些人做空。”桥水基金认为，当前美股处在一个长期、广泛的滞胀环境中，美股显然还没为一个低增长的环境做好准备。该机构认为，要将通胀降至美联储的目标水平，其货币政策的力度必须大到将美国经济推入衰退。这对市场的意义不言而喻。摩根士丹利则认为，很多美股上市公司表现好恰恰是由于高通胀带来的高收益，而随着通胀下行，很多公司的利润也将下行，其表现将逊于市场预期。该行的Mike Wilson团队表示：“下一轮美股下跌可能要等到9月，届时我们的负经营杠杆理论将更多地反映在盈利预测中。然而，由于美股估值过高，我们认为涨势最好的部分已经结束。”","news_type":1,"symbols_score_info":{".SPX":0.9,".IXIC":0.9,".DJI":0.9}},"isVote":1,"tweetType":1,"viewCount":856,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":0,"langContent":"EN","totalScore":0}],"lives":[]}
