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澳门线上赌博平台:Analysts believe that CTA funds to accelerate US stocks plunge

时间:2018/2/7 12:43:33  作者:  来源:  浏览:0  评论:0
内容摘要: New Federal Reserve Chairman Powell encountered a black Monday as he took office. For the US stock plunge, analysts believe that, as a quan...

New Federal Reserve Chairman Powell encountered a black Monday as he took office. For the US stock plunge, analysts believe that, as a quantitative product of the fund, CTA Fund has played a role in fueling.

Big decline starts after non-farm payrolls data released

Last week the non-farm payrolls report released by the U.S. Department of Labor showed that the number of non-farm payrolls increased by 200,000 in January while economists expected 180,000; the average hourly earnings increased by 2.9% , Higher than the 2.6% expected by economists and the strongest increase since June 2009; the average wage in December was revised up from 2.5% YoY to 2.7% YoY in December. Strong wage increases push inflation expectations.

Pilot investment Asia Pacific chief economist Wang Qian said earlier that mainstream U.S. investors believe there could be 2-3 interest rate hikes by 2018 and the market will be caught off guard if actual inflation supports more than 3 rate hikes. Non-farm payrolls released last week undoubtedly increased the possibility of more than three times the rate hike, many analysts attributed this fall to the United States. At the same time, historically, valuations of US stocks are at a relatively high level. Wang Qian believes the market is fragile at this time and unprepared for the decline.

S \u0026 P Index Below Breakthrough

At the same time, some analysts also believe CTA funds accelerated the decline of US stocks.

In the study , it is pointed out that the quantitative hedge funds that have risen rapidly in the bull market over the past few years have accelerated the market's downward trend. Goldman Sachs believes that the S \u0026 P 2727 is a turning point in the trend, triggering a radical sell-off CTA quantitative fund. It is worth noting that the S \u0026 P index fell to 2649 from 2750 on Monday, just beyond the turning point of this trend.

CTA fund how to accelerate the crash? A former trader who worked for SAC told reporters that the long-term volatility of US stocks downturn, many short-term volatility CTA fund strategy. Market crash often accompanied by surge in volatility. Short Volatility strategy, the long positions surge. Traders need to cut long positions to liquidate, so the market accelerated down. According to Goldman Sachs' report, the total management scale of the CTA fund now amounts to 700 billion U.S. dollars. Many funds operate at the same time enough to make the market downward pressure surge.

Apart from the CTA fund, some people think that the risk-balancing strategy can not escape the blame. The popular risk-balancing strategies of the past few years have been to allocate assets on the basis of volatility, namely, the allocation of assets with low volatility and the allocation of assets with high volatility. Since the volatility of bonds is significantly lower than that of stocks, the bonds in the portfolio usually have a very high proportion under a risk-balanced strategy. The US stock market debt double kill, take a risk-balanced fund will need to sell both bonds and stocks at the same time, in order to avoid market risk while maintaining a strategic equilibrium, selling stocks and accelerated the decline in the United States. The industry forecast that using this strategy, the total asset management scale of the fund will reach 500 billion U.S. dollars. These funds also sell off at the same time, and the downward pressure on the market surges.

Analysts said the fund or asset allocation strategy, when the market volatility often lead to large-scale simultaneous operation of the market. In fact, settings that trigger large-scale syncing often become scapegoats as the market plunges. When the US stock market crashed in 1987, the then popular portfolio-backed insurance fund automatically sold the index when the broader market dropped to a certain level. The simultaneous collapse of the fund's simultaneous operations also made portfolio asset insurance a liability for the 1987 crash.

However, Merrill Lynch CEO Xuhun Nan believes that statistically speaking, despite the CTA fund's selling and market trends are linked, but it can not be said that the CTA fund selling has caused the market crash, let alone indulge in a particular strategy or Trading tools.





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