美股“完美分化”太拥挤对冲基金开始反向押注“同涨同跌”

智通财经07-20

押注标普500指数整体走势平稳、但个股大幅震荡，一直是对冲基金中颇为流行且屡试不爽的策略。然而，随着个股价格波动升至极端水平，反向交易正逐渐吸引投资者的目光。据芝加哥期权交易所数据显示，衡量美国大盘股未来一个月离散程度的指标已攀升至2020年以来的最高水平，而标普500指数前50大成分股之间的隐含相关性则逼近历史低点。尽管在财报季期间，因各公司基本面各异，股价走势分化实属常态，但当相关性极度缺失时...

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href=http://www.zhitongcaijing.com/content/detail/1469467.html><strong>智通财经</strong></a>\n\n\n</h4>\n\n</header>\n<article>\n<div>\n<p>押注标普500指数整体走势平稳、但个股大幅震荡，一直是对冲基金中颇为流行且屡试不爽的策略。然而，随着个股价格波动升至极端水平，反向交易正逐渐吸引投资者的目光。据芝加哥期权交易所数据显示，衡量美国大盘股未来一个月离散程度的指标已攀升至2020年以来的最高水平，而标普500指数前50大成分股之间的隐含相关性则逼近历史低点。尽管在财报季期间，因各公司基本面各异，股价走势分化实属常态，但当相关性极度缺失时...</p>\n\n<a href=\"http://www.zhitongcaijing.com/content/detail/1469467.html\">网页链接</a>\n\n</div>\n\n\n</article>\n</div>\n</body>\n</html>\n","isBrief":false,"type":0,"news_type":1,"symbol":"SPYB","symbol_name":"Tradr 2X Long SPY Weekly 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Managers便是押注指数波动率将回归、个股将趋于同向波动的对冲基金之一。“反向分散交易仍是我们核心持仓之一，”Adapt Investment Managers首席投资官Alexis Maubourguet在接受电话采访时表示。他指出，传统的标准分散交易目前“极为拥挤”。隐含相关性触及冰点，回归引力日益增强今年以来，随着隐含相关性跌向历史低位，反向分散交易一直承压。Maubourguet坦言，该策略上季度表现最为逊色，但他对当前环境持乐观态度，认为一旦波动率冲击来临，反向交易有望带来超额回报。“我们认为，从数学不对称性角度看，反向分散交易极具吸引力，”他表示，“这与基金的投资理念高度契合——我们愿意承受小幅局部亏损，以换取不对称的大幅收益。”芝加哥期权交易所数据显示，三个月隐含相关性本月一度降至约7%的历史低点，目前仅略高于该水平。Janus Henderson Group plc多元另类投资主管David Elms认为，若相关性回归历史均值，反向分散交易将有望获利。他指出，标普500指数十年平均隐含相关性为33%，而在新冠疫情期间更一度超过80%。Elms表示：“隐含相关性实际上以零为下限，因此做多隐含相关性的交易——如反向分散策略——在相关性回归均值时，具备有利的不对称收益特征。”基于此，他认为反向分散交易比传统策略“更具吸引力”。随着离散程度和相关性指标已处于极端水平，部分买方机构开始对传统分散交易持谨慎态度。“在当前水平，投资者对入场犹豫不决，越来越多的客户开始讨论反向操作，”芝加哥期权交易所衍生品市场情报主管Mandy Xu表示，“即做空分散、做多相关性，因为当前交易已偏离至极端水平。”AI轮动与财报季放大个股分化个股与指数之间的分化还受到财报季启动及投资者板块轮动的推动。富国证券指出，期权市场预期本财报季个股将出现更大波动，而标普500指数整体反应将较为平淡。“我们正处于结构性个股反应更为剧烈的财报环境中，”策略师Ohsung Kwon在接受采访时表示。他认为，人工智能(AI)领域的变动在很大程度上推动了个股的大幅波动。“这种分散走势是合乎逻辑的，”他同时指出，板块间的轮动也在加速，而整体指数则基本持平。科技股的剧烈波动在第二季度尤为明显。自3月以来，“七巨头”股票的实际波动率和隐含波动率均远超标普500指数，此前的伊朗战事冲击及油价飙升带来的初期影响已逐渐消退。即便如此，考虑到财报超预期及其他突发消息可能引发个股剧烈波动，部分关注反向交易的投资者仍保持谨慎。“尽管标准分散交易仍然表现良好，但部分投资者已决定反向操作，即卖出个股波动率、买入指数波动率，”瑞银集团衍生品策略师Kieran Diamond表示，“为避免在个股端过度暴露空头波动风险，这类交易通常通过超配指数多头头寸来加以平衡。”标普500指数整体波幅收窄的另一可能原因在于，经济数据对大盘的影响力减弱，当前主导市场的主线仍是投资者在AI与科技巨头“错失恐惧”(FOMO)与避险情绪之间的拉锯。花旗指出，标普500指数与经济数据意外之间的相关性正持续走弱。策略师Scott Chronert在7月10日的报告中写道，其“Pulse”图表“显示标普500与经济数据意外的相关性正接近多年来的负值区间”。尽管分散交易依然热门，即便入场成本已水涨船高，但当前极端的市场水平正使反向策略显得更具吸引力。“每月成功的高分散交易，都会吸引更多资金涌入该策略方向，”Adapt的Maubourguet表示，“反向分散交易从未像现在这样具备如此有利的布局条件。”","kind":"news","is_publish_news":true,"is_publish_highlight":true,"is_publish_live":false,"is_publish_wemedia":false,"editions":null,"column":"","sentiment":"0","news_tag":"","news_rank":0,"isVideo":false,"video":null,"symbols":[],"gpt_button":1,"need_auth":false,"need_login_tip":false,"code":"91000000","status":"200"},"commentList":[],"isCommentEnd":true,"newsSizeData":{"likeSize":0,"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; 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美股“完美分化”太拥挤 对冲基金开始反向押注“同涨同跌”

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美股“完美分化”太拥挤对冲基金开始反向押注“同涨同跌”