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2022-07-31
①
谁推动了美国股债意外双涨？量化策略关闭千亿级别空仓
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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: 11px; color: #7E829C; margin: 0;line-height: 11px;}\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\">\n谁推动了美国股债意外双涨？量化策略关闭千亿级别空仓\n</h2>\n\n<h4 class=\"meta\">\n\n\n2022-07-31 11:30 北京时间 <a href=https://wallstreetcn.com/articles/3666274><strong>华尔街见闻</strong></a>\n\n\n</h4>\n\n</header>\n<article>\n<div>\n<p>美联储本月大幅加息，竟出人意料加出了“降息的感觉”：本周三FOMC会议后，美国三大股指连续三日集体收涨。整个7月，三大股指均创2020年以来最大单月涨幅。美债收益率则全面下跌。伴随着周四美国公布二季度实际GDP年化季环比初值-0.9%，连续两个季度萎缩，陷入技术性衰退，投资者纷纷涌入相对安全的政府债券。推动10年期美债收益率从6月份的3.5%降至周五的2.65%。2年期美债收益率也自上周二以来，...</p>\n\n<a href=\"https://wallstreetcn.com/articles/3666274\">Web Link</a>\n\n</div>\n\n\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"https://static.tigerbbs.com/55eb327f580527889cf30bafa92692ae","relate_stocks":{".DJI":"道琼斯"},"source_url":"https://wallstreetcn.com/articles/3666274","is_english":false,"share_image_url":"https://static.laohu8.com/cc96873d3d23ee6ac10685520df9c100","article_id":"1116879881","content_text":"美联储本月大幅加息，竟出人意料加出了“降息的感觉”：本周三FOMC会议后，美国三大股指连续三日集体收涨。整个7月，三大股指均创2020年以来最大单月涨幅。美债收益率则全面下跌。伴随着周四美国公布二季度实际GDP年化季环比初值-0.9%，连续两个季度萎缩，陷入技术性衰退，投资者纷纷涌入相对安全的政府债券。推动10年期美债收益率从6月份的3.5%降至周五的2.65%。2年期美债收益率也自上周二以来，下降了35基点。坏消息变成了好消息，实际上，今年大部分时间笼罩在美股投资者身上的极端悲观情绪开始消散。据统计，过去一个月来，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，现在他们的整体敞口自3月份以来首次处于中性水平。CTA本月的空头回补为涨势增添了动力，不过包括Nikolaos Panigirtzoglou在内的摩根大通策略师警告称，支撑位可能很脆弱。摩根大通策略师表示：“虽然原则上CTA有空间从现在开始建立多头仓位，但同时我们承认，他们之前的空头基础已被抹去。”“这意味着，如果出现一些负面消息(比如强劲的美国就业报告引发对美联储加息的重新定价)，势头将再次转为负面，那么CTA就有足够的空间再次开始建立空头头寸。”野村证券跨资产策略师Charlie McElligott估计，周三在市场因投资者考虑减少对美联储加息的押注而上涨时，动量交易员买入了48亿美元债券以回补空头。在过去一个月里，CTA解除了总计540亿美元的股票空头押注，和470亿美元的债市空头押注，使其在债券上的空头敞口降至去年11月以来的最低水平。当然，并非所有的空头都投降了。根据德意志银行汇编的美国商品期货交易委员会(CFTC)数据，截至7月19日，资产管理公司和杠杆基金做空股票期货的头寸达到有记录以来的最高水平。股市上涨也尚未说服投资者完全翻多。Bloomberg数据显示，过去六周，股票型ETF吸引了100亿美元的新资金，即每周17亿美元。这低于今年早些时候每周90亿美元的增长速度。独立研究机构DataTrek Research联合创始人Nicholas Colas表示：“如果你认为企业盈利将保持强劲，或者能够从任何衰退中迅速反弹，那么这里的股票就有一定的吸引力。”“股市是乐观主义者的游戏，这种看涨叙事在这里可能有些站得住脚。但我们目前更倾向于‘现实主义’阵营，并保持一定的谨慎。”","news_type":1},"isVote":1,"tweetType":1,"viewCount":920,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":0,"langContent":"CN","totalScore":0}],"hots":[{"id":682765445,"gmtCreate":1659268795691,"gmtModify":1659273987190,"author":{"id":"4122321234931480","authorId":"4122321234931480","name":"人海孤鸿c","avatar":"https://static.laohu8.com/default-avatar.jpg","crmLevel":0,"crmLevelSwitch":0,"followedFlag":false,"idStr":"4122321234931480","authorIdStr":"4122321234931480"},"themes":[],"htmlText":"①","listText":"①","text":"①","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":0,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/682765445","repostId":"1116879881","repostType":4,"isVote":1,"tweetType":1,"viewCount":920,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":0,"langContent":"CN","totalScore":0}],"lives":[]}
