做空ETF、恐慌指数都在飙！高盛戳穿美股“假平静”，市场实则极度脆弱

华尔街见闻03-09 05:14

美股市场正在经历一场反常的“虚假繁荣”。3月8日，高盛销售与交易团队发布研报指出，尽管地缘政治头条新闻频出，标普500指数的波动看起来相对平稳，但市场内部的定价逻辑已发出明确警告。高盛流动性分析专家李·科珀史密斯（Lee Coppersmith）直言不讳地指出：“恐慌信号表现出的市场压力，远比新闻标题所暗示的要沉重得多。”恐慌信号与指数表现的“剪刀差”从历史数据看，自1950年以来，地缘政治风险...

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soaring! Goldman Sachs punctures the \"false calm\" of U.S. stocks, but the market is actually extremely fragile","themeId":"","isJumpTheme":false,"ttsUrl":null,"symbols_score_info":{"ESmain":2,"MNQ2603":2,"MNQmain":2,"MNQ2612":2,"NQmain":2,".SPX":2,".IXIC":2,"NDX":2,".DJI":2,"YMmain":2},"content_text":"美股市场正在经历一场反常的“虚假繁荣”。3月8日，高盛销售与交易团队发布研报指出，尽管地缘政治头条新闻频出，标普500指数的波动看起来相对平稳，但市场内部的定价逻辑已发出明确警告。高盛流动性分析专家李·科珀史密斯（Lee Coppersmith）直言不讳地指出：“恐慌信号表现出的市场压力，远比新闻标题所暗示的要沉重得多。”恐慌信号与指数表现的“剪刀差”从历史数据看，自1950年以来，地缘政治风险加剧通常会引发标普500约4%的周跌幅，且市场通常能在一个月内修复至震荡前水平。此次美股指数的跌幅（-3.4%）尚在可控范围内，但问题在于“内部压力”。高盛的“美国波动恐慌指数”（US Vol Panic Index）在周五收于9.72。这表明，虽然大盘看起来没崩，但市场对坏消息的容忍度已经降至冰点。科珀史密斯警告称：“在相对平静的指数表象下，市场交易呈现出极高的脆弱性，一旦出现坏消息，风险敞口将迅速扩大。”投资者：一边加码对冲，一边拒绝降仓市场当前的防御策略体现了一种矛盾的心态：大家在买保险，但并不打算撤退。高盛数据显示，美股已连续三周呈净卖出状态，主要动力来自对冲需求。最显著的迹象是，美股做空类ETF的仓位单周猛增8.3%，这是自“关税解放日”以来规模最大的一次激增，也是过去五年内的第二大增量。投资者在公司债、能源、小盘股和大型股ETF中大规模加仓空头头寸。然而，这种对冲行为并未转化为实质性的风险暴露调整。高盛数据显示，市场总杠杆率仅小幅降至307.4%，仍处于过去五年99%的历史极高分位；净杠杆率仅下降1个点至79.2%。这意味着，投资者仅仅是在原有仓位的外围加了层防护罩，而非真的在“去风险”。拥挤的“AI船舱”目前的市场领导地位极度集中，这本身就是最大的系统性风险。高盛PB（大宗经纪）持仓数据显示，对“中长期动量因子”的净敞口已推高至基金股票仓位的55%-60%，创下多年新高。这意味着市场所有的钱都压在了同一种风格的赢家身上。这种拥挤在上涨时是推力，但在领导力出现裂痕时就是灾难。事实上，这种震荡已经开始体现在对冲基金的业绩中。2月27日至3月5日期间，高盛基本面多空（Fundamental L/S）组合预估下跌3.22%，创下2022年6月以来最差表现。市场的“暴力轮动”也印证了这一点：今年以来领涨的铜矿、存储芯片和金属板块惨遭抛售，而此前被市场冷落的“高风险软件”和“高风险AI”板块反而出现了反弹。这是一种典型的因子拆解式洗盘。依赖AI驱动的“盈利引擎”归根结底，美股的盈利引擎依然高度依赖那几家科技巨头。在2025年，亚马逊、博通、谷歌、Meta、微软、美光和英伟达这七只AI相关股票，贡献了标普500每股收益（EPS）增长的一半左右。预计2026年，这一趋势将延续，单英伟达一家就预计将贡献总盈利增长的24%。正如高盛所分析，当前的宏观震荡可能像历史上的其他地缘冲突一样快速消散。但问题的核心在于，由于投资者杠杆高企、持仓极度拥挤、盈利引擎又过分依赖单一赛道，这种“脆弱的平衡”随时可能被打破。科珀史密斯总结道：“在持仓趋于分散或领导力重新加速之前，市场的波动性将比大盘指数本身看起来要大得多。”","kind":"highlight","is_publish_news":true,"is_publish_highlight":false,"is_publish_live":false,"is_publish_wemedia":null,"editions":null,"column":"","sentiment":"-1","news_tag":"","news_rank":0,"symbols":[],"gpt_button":0,"need_auth":false,"code":"91000000","status":"200"},"commentList":[],"isCommentEnd":true,"newsSizeData":{"likeSize":1,"commentSize":0,"repostSize":0,"favoriteSize":0,"likeStatus":false,"favoriteStatus":false},"APP":{"userAgent":"Mozilla/5.0 AppleWebKit/537.36 (KHTML, like Gecko; compatible; ClaudeBot/1.0; +claudebot@anthropic.com)","isDev":false,"isTTM":false,"tenantId":"TBCN","deviceId":"web-server-community-laohu8-v3","version":"4.36.2","shortVersion":"4.36.2","platform":"web","vendor":"web","appName":"laohu8","isIOS":false,"isAndroid":false,"isTiger":false,"isTHS":false,"isWeiXin":false,"isWeiXinMini":false,"isWeiBo":false,"isQQ":false,"isBaiduSwan":false,"isBaiduBox":false,"isDingTalk":false,"isToutiao":false,"isOnePlus":false,"isHuaWei":false,"isXiaomi":false,"isXiaomiWebView":false,"isOppo":false,"isVivo":false,"isSamsung":false,"isMobile":false},"href":"/m/news/2617366297","isCrawlerRequest":true}