波动性飙升之下，市场需要重新衡量一个问题

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波动性飙升之下，市场需要重新衡量一个问题

金十数据2022-03-27

从历史数据计算出的资产间相关性正大幅减弱，这意味什么？随着2022年市场波动性的剧增，近年来市场相对明显的回报相关性也在逐渐消失。金融分析师James Picerno提醒称，关于市场间关系及多元化收益程度的假设可能需要更新了。作为市场的风向，这三组Pacer Swan SOS Fund of Funds ETF|ETF组合的相关性一直广受投资者关注：美国股票（VTI）分别与美国债券（BND）、发达...

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xiaochoochoo
·2022-03-27
Yas!
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AngSeong
·2022-03-27
nice
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ivyteo6911
·2022-03-27
🙏🙏🙏
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ETF|ETF组合的相关性一直广受投资者关注：美国股票（VTI）分别与美国债券（BND）、发达市场外国股票（VEA）、新兴市场股票（VWO）的相关性。如下图所示，近月来此三个ETF组合的一年期相关性都出现了不小的降幅。注：相关读数范围从-1.0（完全负相关）到零（无相关）到+1.0（完全正相关）。图：1年期相关性从更广泛的角度而言，主要资产类别的中位数相关性也有所下降。其目前的读数为0.37（截至3月23日）是两年多以来的最低值。图：1年期成对相关性中位数近期相关性的下行偏差在微观层面上也很明显。14种主要资产类别ETF基金的运行数据显示，在过去一年内以每日回报率为基础数据所衡量的相关性中，各ETF主要处于低相关性和轻微负相关性状态。图：基于每日回报率为基础数据所衡量的相关性（1年期数据）即使将量化时间拉长到五年，低相关性和轻微负相关性所出现的频率也十分高。图：基于每日收益为基础数据所衡量的相关性（5年期数据）当量化标准调整为五年期滚动回报率时，这种变化也十分明显。图：基于252天回报率为基础数据所衡量的相关性（5年期数据）近年来，人们一般假设各ETF的相关性相对稳定且较高，因为这意味着可以以“一劳永逸”的心态进行使用该风险度量模型的建模。但市场时时刻刻在对风险进行重新定价，因此相关性是动态变化的。现在的问题是，相关性的重置会持续多久？没有人能说得清楚，但有一点很明显：在过去所量化得出的相关性已经不适用于当下的市场了。","kind":null,"is_publish_news":true,"is_publish_highlight":true,"is_publish_live":false,"is_publish_wemedia":null,"editions":null,"column":"","sentiment":"0","news_tag":"","news_rank":0,"symbols":[],"gpt_button":1},"commentList":[{"id":9010656752,"gmtCreate":1648365123923,"gmtModify":1676534331789,"author":{"id":"4095548256553960","authorId":"4095548256553960","name":"xiaochoochoo","avatar":"https://static.tigerbbs.com/daa4c71aeb75832cfccf0bf892d1f6ec","vip":1,"crmLevel":1,"crmLevelSwitch":0,"idStr":"4095548256553960","authorIdStr":"4095548256553960"},"htmlText":"Yas!","listText":"Yas!","text":"Yas!","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":1,"commentSize":0,"repostSize":0,"link":"https://ttm.financial/post/9010656752","repostId":1119872539,"repostType":4,"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"EN"},{"id":9010621468,"gmtCreate":1648360913294,"gmtModify":1676534331474,"author":{"id":"3580714713519803","authorId":"3580714713519803","name":"AngSeong","avatar":"https://static.tigerbbs.com/b8b00dbf3c9a2dccfc3cd81d7796c5ef","vip":1,"crmLevel":5,"crmLevelSwitch":0,"idStr":"3580714713519803","authorIdStr":"3580714713519803"},"htmlText":"nice","listText":"nice","text":"nice","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":1,"commentSize":0,"repostSize":0,"link":"https://ttm.financial/post/9010621468","repostId":1119872539,"repostType":4,"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"EN"},{"id":9010631605,"gmtCreate":1648350839510,"gmtModify":1676534330310,"author":{"id":"3577362879194763","authorId":"3577362879194763","name":"ivyteo6911","avatar":"https://static.tigerbbs.com/b70214e6e148476bcc23102cef4a8dc3","vip":1,"crmLevel":2,"crmLevelSwitch":0,"idStr":"3577362879194763","authorIdStr":"3577362879194763"},"htmlText":"🙏🙏🙏","listText":"🙏🙏🙏","text":"🙏🙏🙏","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":2,"commentSize":0,"repostSize":0,"link":"https://ttm.financial/post/9010631605","repostId":1119872539,"repostType":4,"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"EN"}],"hasMoreComments":true,"newsSizeData":{"likeSize":112,"commentSize":3,"repostSize":0,"favoriteSize":0,"likeStatus":false,"favoriteStatus":false}}