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乖兔兔宝宝
2022-08-20
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Behind the rebound in U.S. stocks: Quantitative funds close short positions, will they rise for another 100 days?
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After the worst first half of the year ever, U.S. stocks started a rebound mode in the second half of the year. Since July, the Nasdaq Composite has gained nearly 17% and the S&P 500 has gained nearly 13%.</p><p>Behind the rebound in U.S. stocks, it highlights the gradual dissipation of investor pessimism. Quantitative funds that had previously shorted U.S. stocks on a large scale quickly closed their short positions and then turned to long positions.</p><p>In this regard, Nomura strategist Charlie McElligott said,<b>The quantitative fund changed its position \"quickly and calmly\" and seized the opportunity of the \"very bear market\" with thunderbolt momentum.</b></p><p><b>Quant funds pivot rapidly</b></p><p>Nomura estimates that trend-following hedge funds and volatility control funds have purchased $107 billion in global stock futures since the market hit lows in late June, with a significant portion spent closing short positions.</p><p><a href=\"https://laohu8.com/S/BAC\">Bank of America</a>Glenn Koh, head of equity trading, said: \"With positions largely low and a lot of cash (holders) on the sidelines, more and more money is flowing back into the market as the market stabilises and starts to rebound.\"</p><p>According to a previous article on Wall Street Insights, in July, the quantitative trading strategy CTA lifted about $100 billion in bearish bets on stocks and bonds, pushing U.S. stocks and U.S. bonds to recover 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) trading long and short in the futures market have closed the short positions they have built in the past few months, and by the end of July, their overall exposure was at neutral level for the first time since March.</p><p>However, with the risks of recession mounting, how long can this long be maintained?</p><p><b>100 days?</b></p><p><a href=\"https://laohu8.com/S/JPM\">JPMorgan Chase</a>Analysts say longs are likely to continue. The agency told its hedge fund clients last week that funds pursuing low volatility and risk parity funds are buying about $2 billion to $4 billion worth of stocks a day. The bank estimates that if volatility remains low, such long \"<b>Could last another 100 days</b>”。</p><p>JPMorgan strategist Marko Kolanovic said the rally has hit most corners of the market. In the past 50 days,<b>About 88% of S&P 500 stocks are trading above average, up from 2% in mid-June</b>。 Kolanovic says:</p><p>\"Strong participation suggests that this rally is durable and is another sign of fading risk at the tail of the market.\" \"Funds that pursue low volatility will increase overall exposure, particularly equities.\" Fund managers are more optimistic.<a href=\"https://laohu8.com/S/BAC\">Bank of America</a>Strategist Michael Hartnett said after polling portfolio managers this month that they are \"no longer as pessimistic as the end of the world.\"</p><p><b>How long can U.S. stocks support under the aggressive rate hike of the Federal Reserve?</b></p><p>This depends in part on the extent of the Fed's next rate hike. Fed officials have warned that the rate hike will continue and may keep interest rates above traders' expectations. In addition, rising inflation and a recession are likely to continue to hit the market.</p><p>This also explains why the rise in U.S. stocks was not led by traditional fund managers and long-short stock hedge funds, but by quantitative funds.</p><p>\"You'll see some shorting,\" said Mike Lewis, head of U.S. cash equity trading at Barclays.</p><p>Bridgewater Fund believes that the current U.S. stock market is in a long-term and widespread stagflation environment, and the U.S. stock market is obviously not ready for a low-growth environment. The agency believes that to reduce inflation to the Fed's target level, its monetary policy must be strong enough to push the U.S. economy into recession. The significance of this to the market is self-evident.</p><p><a href=\"https://laohu8.com/S/MS\">Morgan Stanley</a>It is believed that the good performance of many U.S.-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 be worse than market expectations. The bank's Mike Wilson team said:</p><p>“<b>The next round of U.S. stock declines may have to wait until September</b>At that time, our negative operating leverage theory will be more reflected in the earnings forecast. However, with U.S. stocks overvalued, 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 rebound in U.S. stocks: Quantitative funds close short positions, will they rise for another 100 days?</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 rebound in U.S. stocks: Quantitative funds close short positions, will they rise for another 100 days?\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 positions \"quickly and calmly\" and seized the opportunity of the \"very bear market\" with thunderbolt momentum. After the worst first half of the year ever, U.S. stocks started a rebound mode in the second half of the year. Since July, the Nasdaq Composite has gained nearly 17% and the S&P 500 has gained nearly 13%.</p><p>Behind the rebound in U.S. stocks, it highlights the gradual dissipation of investor pessimism. Quantitative funds that had previously shorted U.S. stocks on a large scale quickly closed their short positions and then turned to long positions.</p><p>In this regard, Nomura strategist Charlie McElligott said,<b>The quantitative fund changed its position \"quickly and calmly\" and seized the opportunity of the \"very bear market\" with thunderbolt momentum.</b></p><p><b>Quant funds pivot rapidly</b></p><p>Nomura estimates that trend-following hedge funds and volatility control funds have purchased $107 billion in global stock futures since the market hit lows in late June, with a significant portion spent closing short positions.</p><p><a href=\"https://laohu8.com/S/BAC\">Bank of America</a>Glenn Koh, head of equity trading, said: \"With positions largely low and a lot of cash (holders) on the sidelines, more and more money is flowing back into the market as the market stabilises and starts to rebound.\"</p><p>According to a previous article on Wall Street Insights, in July, the quantitative trading strategy CTA lifted about $100 billion in bearish bets on stocks and bonds, pushing U.S. stocks and U.S. bonds to recover 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) trading long and short in the futures market have closed the short positions they have built in the past few months, and by the end of July, their overall exposure was at neutral level for the first time since March.</p><p>However, with the risks of recession mounting, how long can this long be maintained?</p><p><b>100 days?</b></p><p><a href=\"https://laohu8.com/S/JPM\">JPMorgan Chase</a>Analysts say longs are likely to continue. The agency told its hedge fund clients last week that funds pursuing low volatility and risk parity funds are buying about $2 billion to $4 billion worth of stocks a day. The bank estimates that if volatility remains low, such long \"<b>Could last another 100 days</b>”。</p><p>JPMorgan strategist Marko Kolanovic said the rally has hit most corners of the market. In the past 50 days,<b>About 88% of S&P 500 stocks are trading above average, up from 2% in mid-June</b>。 Kolanovic says:</p><p>\"Strong participation suggests that this rally is durable and is another sign of fading risk at the tail of the market.\" \"Funds that pursue low volatility will increase overall exposure, particularly equities.\" Fund managers are more optimistic.<a href=\"https://laohu8.com/S/BAC\">Bank of America</a>Strategist Michael Hartnett said after polling portfolio managers this month that they are \"no longer as pessimistic as the end of the world.\"</p><p><b>How long can U.S. stocks support under the aggressive rate hike of the Federal Reserve?</b></p><p>This depends in part on the extent of the Fed's next rate hike. Fed officials have warned that the rate hike will continue and may keep interest rates above traders' expectations. In addition, rising inflation and a recession are likely to continue to hit the market.</p><p>This also explains why the rise in U.S. stocks was not led by traditional fund managers and long-short stock hedge funds, but by quantitative funds.</p><p>\"You'll see some shorting,\" said Mike Lewis, head of U.S. cash equity trading at Barclays.</p><p>Bridgewater Fund believes that the current U.S. stock market is in a long-term and widespread stagflation environment, and the U.S. stock market is obviously not ready for a low-growth environment. The agency believes that to reduce inflation to the Fed's target level, its monetary policy must be strong enough to push the U.S. economy into recession. The significance of this to the market is self-evident.</p><p><a href=\"https://laohu8.com/S/MS\">Morgan Stanley</a>It is believed that the good performance of many U.S.-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 be worse than market expectations. The bank's Mike Wilson team said:</p><p>“<b>The next round of U.S. stock declines may have to wait until September</b>At that time, our negative operating leverage theory will be more reflected in the earnings forecast. However, with U.S. stocks overvalued, 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",".SPX":"S&P 500 Index",".DJI":"道琼斯"},"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":{".IXIC":0.9,".DJI":0.9,".SPX":0.9}},"isVote":1,"tweetType":1,"viewCount":248,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":0,"langContent":"EN","totalScore":0}],"lives":[]}
