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        Human decisions to sell stocks may have been behind the August rout for equity markets after all, with hedge fund and mutual fund managers selling in response to turbulence and fears for China’s economy.
        The conclusion, based on work by strategists at JPMorgan, is a riposte to those who have attempted to blame esoteric trading strategies such as “risk parity” for the correction’s size and speed.
        “Discretionary managers were likely the ones responsible for the recent equity market sell-off,” Nikolaos Panigirtzoglou, global asset allocation strategist for the bank, told clients.
        “全权委托经理人很可能要对近期股市抛售负责,”摩根大通全球资产配置策略师尼可拉斯•潘尼吉左格鲁(Nikolaos Panigirtzoglou)告诉客户。
        Macro hedge funds and balanced mutual funds, both of which can invest in a variety of asset classes, took abrupt steps to reduce the risk of stock losses during the month. The aggregate equity beta of portfolios, a measure of the relationship between equity index movements and those for individual investment funds, declined sharply in August.
        The bank also found betas for so-called long-short hedge funds declined sharply in August as managers reacted to volatility by paring bets. JPMorgan’s work is based on a regression analysis of index movements, such as the HFRX, a hedge fund benchmark, as a proxy for fund holdings.
        The beta for risk parity funds, by comparison, declined only a small amount. Such funds have attracted attention owing to attempts to blend stocks, bonds and commodities, with selective use of leverage to produce returns similar to traditional investment products, while taking less risk.
        Leon Cooperman, the founder of Omega Advisors, last week blamed “systemic/technical investors” for the August sell-off. The veteran investor pointed to influential risk parity strategies pioneered by hedge funds such as Bridgewater, as well as so-called CTAs, funds specialising in trading derivatives based on computer models.
        欧米茄顾问公司(Omega Advisors)创始人利昂•库珀曼 (Leon Cooperman)上周将8月的抛售归咎于“系统性/技术型投资者”。这位经验丰富的投资者把矛头指向一些有影响力的风险平价策略,这些策略是由布里奇沃特(Bridgewater)等对冲基金以及所谓CTA基金(专门从事基于计算机模型的衍生品交易的基金)开创的。
        However, leverage used by risk parity funds tends to be concentrated in bonds, as prices for the securities have historically been less volatile than those for stocks. Performance for such funds has been poor this year, but there was no pronounced rise in bond volatility or the correlation between stocks and bonds in August.
        JPMorgan also found that CTA strategies posted a small gain in the third week of August, when the sell-off occurred. Such performance suggests they were positioned ahead of the decline, so trades were unlikely to amplify market moves.
        Equity betas for balanced mutual funds are close to historical lows, but those for hedge funds still have room to fall further, Mr Panigirtzoglou said.
        There is also the question whether the correction reflects a reassessment of the outlook for the economic cycle and stock prices.
        “Cyclical risk became market risk in August,” said Andrew Lapthorne, strategist for Société Générale. He said that attention was now focused on the extent to which any turn in the economic cycle starts to affect the availability of credit.
        “周期性风险成了8月的市场风险,”法国兴业银行(Société Générale)策略师安德鲁•拉普索恩(Andrew Lapthorne)表示。他表示,现在各方关注的是,经济周期的改变在什么程度上开始影响信贷的可获得性。
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