高盛、大摩都在关注：今年美股“最强交易”开始变盘了？_老虎社区_美港股上老虎

高盛、大摩都在关注：今年美股“最强交易”开始变盘了？

华尔街见闻2025-07-10

大摩、高盛警告，上周开始的动量股抛售和对冲基金去杠杆化并非一次性事件。虽然当前的严重程度可能不及2月底至3月初DeepSeek引发的暴跌，但考虑到持续的高空头杠杆，近期动量策略可能还有更多下跌空间。今年美股"最强交易"开始变盘了？摩根士丹利和高盛的量化策略团队警告，上周开始的动量股抛售和对冲基金去杠杆化并非一次性事件，自6月30日以来，摩根士丹利动量指数的回撤达到了-6.5%，高盛的高beta动量...

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super韭菜
·2025-07-11
一个也看不懂[流泪]
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attention: Has the \"strongest trade\" in U.S. stocks begun to change this year?","themeId":"","isJumpTheme":false,"ttsUrl":"https://static.tigerbbs.com/5089d2ed1dbe63e5f2e2924fe00237fc","symbols_score_info":{".SPX":1.1,".DJI":1.1,".IXIC":1.1},"content_text":"大摩、高盛警告，上周开始的动量股抛售和对冲基金去杠杆化并非一次性事件。虽然当前的严重程度可能不及2月底至3月初DeepSeek引发的暴跌，但考虑到持续的高空头杠杆，近期动量策略可能还有更多下跌空间。今年美股\"最强交易\"开始变盘了？摩根士丹利和高盛的量化策略团队警告，上周开始的动量股抛售和对冲基金去杠杆化并非一次性事件，自6月30日以来，摩根士丹利动量指数的回撤达到了-6.5%，高盛的高beta动量对冲指数月初以来的跌幅则达到8.3%。动量策略今年在美股表现强劲。年初至今，在标普500仅上涨5%的情况下，高盛动量策略指数同期上涨了20%。如果把期限拓展到18个月，在标普500上涨30%的情况下，高盛高Beta动量对冲指数（GSPRHIMO）同期涨幅达到惊人的80%。目前难以找到本轮调整明确的催化因素。高盛欧洲Delta One负责人Rich Privorotsky认为，“强美元、高油价、弱黄金、小盘股强于大盘股”这一交易策略正在形成自我强化的趋势，而系统性交易和高杠杆交易（即依赖于大规模资金流动的交易策略）正在压倒基本面因素，这一切推动了动量策略的反转。历史数据揭示更深调整风险摩根士丹利QDS主管Chris Metli表示，虽然当前事件的严重程度可能不及2月底至3月初DeepSeek引发的暴跌（当时MSZZMOMO篮子暴跌21%），但考虑到持续的高空头杠杆，近期可能还有更多下跌空间。历史统计显示，动量策略在经历6%回调后，未来一个月的回报通常为轻微负数（-1%）。更值得注意的是，典型的动量指数（MSZZMOMO）峰值到谷底的跌幅为23%，持续时间约30个交易日。目前的回调已进入第5天，6%的跌幅与历史同期中位数水平一致，这表明如果回调继续，仍有进一步下跌空间。摩根士丹利还发现，当动量指数（MSZZMOMO）下跌且债券收益率上升时，未来动量策略的回报更加负面。周二动量策略下跌和小盘股上涨恰好伴随着收益率上升，这一组合历史上对动量策略不利。根据摩根士丹利的数据，当前的动量策略似乎处于一个过度集中且易于反转的阶段，特别是当市场出现较高的短期波动时。因此，短期内动量可能继续受到压力。集中度风险加剧市场脆弱性摩根士丹利分析显示，不同期限动量策略之间的重叠度正在上升，目前有31只股票同时出现在所有4个期限的多头动量篮子中，这一重叠度自2017年中期以来处于84%分位数水平。周二这些股票中84%都出现下跌。自2017年中期以来的96个月中，只有16个月出现了相同程度的跨期限动量多头集中度，这通常对多空动量配对策略是负面信号，特别是对较短期限的多空动量策略。1个月动量策略(MSZZ1MMO)在未来1个月、2个月和3个月的中位数回报均为负数。在空头方面，虽然重叠度不那么极端，但重叠的股票正在经历极端价格走势：所有25只出现在4个期限空头动量篮子中的股票当日均上涨，日内回报中位数为2.9%。纯动量策略（如MSCBSMMU）的回撤比行业动量策略（如MSZZMOMO）更为严重，反映出不同策略在不同市场条件下的反应差异。","kind":"highlight","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":0,"need_auth":false,"code":"91000000","status":"200"},"commentList":[{"id":455209844707680,"gmtCreate":1752172348552,"gmtModify":1752174732535,"author":{"id":"4207967212358970","authorId":"4207967212358970","name":"super韭菜","avatar":"https://community-static.tradeup.com/news/default-avatar.jpg","vip":1,"crmLevel":1,"crmLevelSwitch":0,"authorIdStr":"4207967212358970","idStr":"4207967212358970"},"htmlText":"一个也看不懂[流泪]&nbsp;&nbsp;","listText":"一个也看不懂[流泪]&nbsp;&nbsp;","text":"一个也看不懂[流泪]","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":1,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/455209844707680","repostId":2550074614,"repostType":2,"repost":{"id":"2550074614","kind":"highlight","weMediaInfo":{"introduction":"追踪全球财经热点，精选影响您财富的资讯，投资理财必备神器！","home_visible":1,"media_name":"华尔街见闻","id":"1084101182","head_image":"https://static.tigerbbs.com/66809d1f5c2e43e2bdf15820c6d6897e"},"pubTimestamp":1752140100,"share":"https://www.laohu8.com/m/news/2550074614?lang=zh_CN&edition=full","pubTime":"2025-07-10 17:35","market":"us","language":"zh","title":"高盛、大摩都在关注：今年美股“最强交易”开始变盘了？","url":"https://stock-news.laohu8.com/highlight/detail?id=2550074614","media":"华尔街见闻","summary":"大摩、高盛警告，上周开始的动量股抛售和对冲基金去杠杆化并非一次性事件。虽然当前的严重程度可能不及2月底至3月初DeepSeek引发的暴跌，但考虑到持续的高空头杠杆，近期动量策略可能还有更多下跌空间。","content":"<html><head></head><body><blockquote><p>大摩、高盛警告，上周开始的动量股抛售和对冲基金去杠杆化并非一次性事件。虽然当前的严重程度可能不及2月底至3月初DeepSeek引发的暴跌，但考虑到持续的高空头杠杆，近期动量策略可能还有更多下跌空间。</p></blockquote><p style=\"text-align: justify;\">今年美股&#34;最强交易&#34;开始变盘了？</p><p style=\"text-align: left;\">摩根士丹利和高盛的量化策略团队警告，上周开始的动量股抛售和对冲基金去杠杆化并非一次性事件，自6月30日以来，摩根士丹利动量指数的回撤达到了-6.5%，高盛的高beta动量对冲指数月初以来的跌幅则达到8.3%。</p><p class=\"t-img-caption\"><img src=\"https://static.tigerbbs.com/3d94e22c28b3b97dc4f61f07995e6428\" tg-width=\"1121\" tg-height=\"654\"/></p><p style=\"text-align: left;\">动量策略今年在美股表现强劲。年初至今，在标普500仅上涨5%的情况下，高盛动量策略指数同期上涨了20%。如果把期限拓展到18个月，在标普500上涨30%的情况下，<strong>高盛高Beta动量对冲指数（GSPRHIMO）同期涨幅达到惊人的80%。</strong></p><p class=\"t-img-caption\"><img src=\"https://static.tigerbbs.com/17b3a1802f08e9ce4521deb8268d7bd1\" tg-width=\"1126\" tg-height=\"657\"/></p><p style=\"text-align: left;\">目前难以找到本轮调整明确的催化因素。</p><p style=\"text-align: left;\">高盛欧洲Delta One负责人Rich Privorotsky认为，<strong>“强美元、高油价、弱黄金、小盘股强于大盘股”这一交易策略正在形成自我强化的趋势，而系统性交易和高杠杆交易（即依赖于大规模资金流动的交易策略）正在压倒基本面因素，这一切推动了动量策略的反转。</strong></p><h2 id=\"id_751619696\" style=\"text-align: left;\">历史数据揭示更深调整风险</h2><p style=\"text-align: justify;\">摩根士丹利QDS主管Chris Metli表示，<strong>虽然当前事件的严重程度可能不及2月底至3月初DeepSeek引发的暴跌（当时MSZZMOMO篮子暴跌21%），但考虑到持续的高空头杠杆，近期可能还有更多下跌空间。</strong></p><p style=\"text-align: left;\">历史统计显示，动量策略在经历6%回调后，未来一个月的回报通常为轻微负数（-1%）。更值得注意的是，典型的动量指数（MSZZMOMO）峰值到谷底的跌幅为23%，持续时间约30个交易日。</p><p style=\"text-align: left;\">目前的回调已进入第5天，<strong>6%的跌幅与历史同期中位数水平一致，这表明如果回调继续，仍有进一步下跌空间。</strong></p><p class=\"t-img-caption\"><img src=\"https://static.tigerbbs.com/4fad3cf3dd6d7a970f5221da5228f2f0\" tg-width=\"480\" tg-height=\"288\"/></p><p class=\"t-img-caption\"><img src=\"https://static.tigerbbs.com/3bf73199f6d3c2d4bb18e1b1d29b263d\" tg-width=\"696\" tg-height=\"181\"/></p><p style=\"text-align: left;\">摩根士丹利还发现，<strong>当动量指数（MSZZMOMO）下跌且债券收益率上升时，未来动量策略的回报更加负面。</strong>周二动量策略下跌和小盘股上涨恰好伴随着收益率上升，这一组合历史上对动量策略不利。</p><p class=\"t-img-caption\"><img src=\"https://static.tigerbbs.com/10d9a0e4aa1d34ba9fc9ef7cf2ace307\" tg-width=\"500\" tg-height=\"299\"/></p><p style=\"text-align: justify;\">根据摩根士丹利的数据，<strong>当前的动量策略似乎处于一个过度集中且易于反转的阶段，特别是当市场出现较高的短期波动时。因此，短期内动量可能继续受到压力。</strong></p><h2 id=\"id_3953324300\" style=\"text-align: left;\">集中度风险加剧市场脆弱性</h2><p style=\"text-align: left;\">摩根士丹利分析显示，不同期限动量策略之间的重叠度正在上升，目前有31只股票同时出现在所有4个期限的多头动量篮子中，这一重叠度自2017年中期以来处于84%分位数水平。<strong>周二这些股票中84%都出现下跌。</strong></p><p class=\"t-img-caption\"><img src=\"https://static.tigerbbs.com/1b43ed78ccde1a38149624e8e81fe68c\" tg-width=\"480\" tg-height=\"288\"/></p><p style=\"text-align: left;\">自2017年中期以来的96个月中，只有16个月出现了相同程度的跨期限动量多头集中度，<strong>这通常对多空动量配对策略是负面信号，</strong>特别是对较短期限的多空动量策略。1个月动量策略(MSZZ1MMO)在未来1个月、2个月和3个月的中位数回报均为负数。</p><p class=\"t-img-caption\"><img src=\"https://static.tigerbbs.com/d20231d003c6acd56971c004a884a751\" tg-width=\"480\" tg-height=\"289\"/></p><p style=\"text-align: left;\">在空头方面，虽然重叠度不那么极端，但重叠的股票正在经历极端价格走势：所有25只出现在4个期限空头动量篮子中的股票当日均上涨，日内回报中位数为2.9%。</p><p style=\"text-align: left;\">纯动量策略（如MSCBSMMU）的回撤比行业动量策略（如MSZZMOMO）更为严重，反映出不同策略在不同市场条件下的反应差异。</p></body></html>","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>高盛、大摩都在关注：今年美股“最强交易”开始变盘了？</title>\n<style 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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高盛、大摩都在关注：今年美股“最强交易”开始变盘了？\n</h2>\n\n<h4 class=\"meta\">\n\n\n2025-07-10 17:35 北京时间&nbsp;&nbsp;&nbsp;<a href=https://wallstreetcn.com/articles/3750807><strong>华尔街见闻</strong></a>\n\n\n</h4>\n\n</header>\n<article>\n<div>\n<p>大摩、高盛警告，上周开始的动量股抛售和对冲基金去杠杆化并非一次性事件。虽然当前的严重程度可能不及2月底至3月初DeepSeek引发的暴跌，但考虑到持续的高空头杠杆，近期动量策略可能还有更多下跌空间。今年美股\"最强交易\"开始变盘了？摩根士丹利和高盛的量化策略团队警告，上周开始的动量股抛售和对冲基金去杠杆化并非一次性事件，自6月30日以来，摩根士丹利动量指数的回撤达到了-6.5%，高盛的高beta动量...</p>\n\n<a href=\"https://wallstreetcn.com/articles/3750807\">网页链接</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":{"LU0096364046.USD":"CT (LUX) I AMERICAN \"DU\" (USD) ACC","LU0225283273.USD":"SCHRODER ISF GLOBAL EQUITY ALPHA \"A\" (USD) ACC","LU0267386448.USD":"FIDELITY FIRST ALL COUNTRY WORLD \"A\" (USD) INC","IE00BSNM7G36.USD":"NEUBERGER BERMAN SYSTEMATIC GLOBAL SUSTAINABLE VALUE \"A\" (USD) ACC","IE0034235188.USD":"PINEBRIDGE GLOBAL FOCUS EQUITY \"A\" (USD) ACC","BK4588":"碎股","LU0048573561.USD":"FIDELITY AMERICA \"A\" (USD) INC","LU2023251221.USD":"ALLIANZ GLOBAL SUSTAINABILITY \"AM\" (USD) INC","LU1791807156.HKD":"BGF WORLD FINANCIALS \"A2\" (HKDHDG) ACC","LU1074936037.SGD":"JPMorgan Funds - US Value A (acc) SGD","LU1894683264.USD":"AMUNDI FUNDS US EQUITY RESEARCH VALUE \"A2\" (USD) ACC",".SPX":"S&P 500 Index","LU2111349929.HKD":"ALLIANZ GLOBAL SUSTAINABILITY \"AM\" (HKD) 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SGD","LU0314104364.USD":"MANULIFE GF AMERICAN GROWTH \"AA\" (USD) INC",".DJI":"道琼斯","LU1668664300.SGD":"Blackrock World Financials A2 SGD-H","LU0742534661.SGD":"Fidelity America A-SGD (hedged)","IE00B19Z3B42.SGD":"Legg Mason ClearBridge - Value A Acc SGD",".IXIC":"NASDAQ Composite"},"source_url":"https://wallstreetcn.com/articles/3750807","is_english":false,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"2550074614","content_text":"大摩、高盛警告，上周开始的动量股抛售和对冲基金去杠杆化并非一次性事件。虽然当前的严重程度可能不及2月底至3月初DeepSeek引发的暴跌，但考虑到持续的高空头杠杆，近期动量策略可能还有更多下跌空间。今年美股\"最强交易\"开始变盘了？摩根士丹利和高盛的量化策略团队警告，上周开始的动量股抛售和对冲基金去杠杆化并非一次性事件，自6月30日以来，摩根士丹利动量指数的回撤达到了-6.5%，高盛的高beta动量对冲指数月初以来的跌幅则达到8.3%。动量策略今年在美股表现强劲。年初至今，在标普500仅上涨5%的情况下，高盛动量策略指数同期上涨了20%。如果把期限拓展到18个月，在标普500上涨30%的情况下，高盛高Beta动量对冲指数（GSPRHIMO）同期涨幅达到惊人的80%。目前难以找到本轮调整明确的催化因素。高盛欧洲Delta One负责人Rich Privorotsky认为，“强美元、高油价、弱黄金、小盘股强于大盘股”这一交易策略正在形成自我强化的趋势，而系统性交易和高杠杆交易（即依赖于大规模资金流动的交易策略）正在压倒基本面因素，这一切推动了动量策略的反转。历史数据揭示更深调整风险摩根士丹利QDS主管Chris Metli表示，虽然当前事件的严重程度可能不及2月底至3月初DeepSeek引发的暴跌（当时MSZZMOMO篮子暴跌21%），但考虑到持续的高空头杠杆，近期可能还有更多下跌空间。历史统计显示，动量策略在经历6%回调后，未来一个月的回报通常为轻微负数（-1%）。更值得注意的是，典型的动量指数（MSZZMOMO）峰值到谷底的跌幅为23%，持续时间约30个交易日。目前的回调已进入第5天，6%的跌幅与历史同期中位数水平一致，这表明如果回调继续，仍有进一步下跌空间。摩根士丹利还发现，当动量指数（MSZZMOMO）下跌且债券收益率上升时，未来动量策略的回报更加负面。周二动量策略下跌和小盘股上涨恰好伴随着收益率上升，这一组合历史上对动量策略不利。根据摩根士丹利的数据，当前的动量策略似乎处于一个过度集中且易于反转的阶段，特别是当市场出现较高的短期波动时。因此，短期内动量可能继续受到压力。集中度风险加剧市场脆弱性摩根士丹利分析显示，不同期限动量策略之间的重叠度正在上升，目前有31只股票同时出现在所有4个期限的多头动量篮子中，这一重叠度自2017年中期以来处于84%分位数水平。周二这些股票中84%都出现下跌。自2017年中期以来的96个月中，只有16个月出现了相同程度的跨期限动量多头集中度，这通常对多空动量配对策略是负面信号，特别是对较短期限的多空动量策略。1个月动量策略(MSZZ1MMO)在未来1个月、2个月和3个月的中位数回报均为负数。在空头方面，虽然重叠度不那么极端，但重叠的股票正在经历极端价格走势：所有25只出现在4个期限空头动量篮子中的股票当日均上涨，日内回报中位数为2.9%。纯动量策略（如MSCBSMMU）的回撤比行业动量策略（如MSZZMOMO）更为严重，反映出不同策略在不同市场条件下的反应差异。","news_type":1,"symbols_score_info":{".SPX":1.1,".DJI":1.1,".IXIC":1.1}},"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"CN"}],"hasMoreComments":true,"newsSizeData":{"likeSize":7,"commentSize":1,"repostSize":1,"favoriteSize":6,"likeStatus":false,"favoriteStatus":false},"isCrawlerRequest":true}