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见证历史20
见证历史20
·
2020-03-23
$WTI原油主连(CLmain)$
20刀的油，20刀的桶，油价上涨，桶的比例降低，还是涨价合算，哇咔咔
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见证历史20
见证历史20
·
2020-03-18
$WTI原油主连(CLmain)$
俄罗斯的勇气在哪里？20美元油价是想挤垮竞争对手垄断市场？别搬起石头砸自己的脚就行！虽然有某国100美元订单压仓。
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见证历史20
见证历史20
·
2020-03-18
$道琼斯(.DJI)$
空头终于可以平仓了，呵呵
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见证历史20
见证历史20
·
2020-03-18
$道琼斯指数主连(YMmain)$
白宫终于意识到限制做空的重要性了。今天估计还要暴跌，之后可能会企稳，拉个小平台，再之后可能反弹，也可能再次暴跌。最终取决于疫情能否及时控制住。接下来两三周最关键！
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见证历史20
见证历史20
·
2020-03-17
$道琼斯(.DJI)$
指数和期货一个百分点，是什么情况？
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见证历史20
见证历史20
·
2020-03-17
$道琼斯(.DJI)$
信心崩溃了，不知何处是底，短期企稳得有个小平台，天天暴涨暴跌哪是底啊？
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见证历史20
见证历史20
·
2020-03-16
$道琼斯(.DJI)$
恐慌结束了吗？G7会议是不是救命稻草？
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见证历史20
见证历史20
·
2020-03-16
$道琼斯(.DJI)$
美国的问题就是太“**”了，都什么时候了，还不禁止做空，还要开放股指期货，搞恐慌指数交易。哎，也是没救，放那么多水能阻止恐慌？不能老指望天佑美国，自助者天助也！
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见证历史20
见证历史20
·
2020-03-15
总结起来就一句话，美国完蛋中国崛起？做梦呢还是忽悠韭菜呢？还新基建，地方债不爆雷？不做结构性改革就是耍流氓！
非常抱歉，此主贴已删除
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见证历史20
见证历史20
·
2020-03-14
一派胡言，叫人抄底，自己跑路
美股暴跌、暴力反弹背后的黑手找到了！
美股暴跌、暴力反弹背后的黑手找到了！ 黑手的子弹已经打光，所以只剩下一个方向…… 美股在经历了一周之内两次熔断之后，今天三大股指暴力反弹9%。虽然特朗普讲话之后美股涨幅扩大，但这只是表面的巧合（上次讲
美股暴跌、暴力反弹背后的黑手找到了！
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href=\"https://laohu8.com/S/.DJI\">$道琼斯(.DJI)$</a>恐慌结束了吗？G7会议是不是救命稻草？","text":"$道琼斯(.DJI)$恐慌结束了吗？G7会议是不是救命稻草？","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":3,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/964655812","isVote":1,"tweetType":1,"viewCount":2442,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":0,"langContent":"CN","totalScore":0},{"id":964667283,"gmtCreate":1584366987042,"gmtModify":1704353774791,"author":{"id":"3546858617721090","authorId":"3546858617721090","name":"见证历史20","avatar":"https://static.laohu8.com/default-avatar.jpg","crmLevel":1,"crmLevelSwitch":0,"followedFlag":false,"idStr":"3546858617721090","authorIdStr":"3546858617721090"},"themes":[],"htmlText":"<a href=\"https://laohu8.com/S/.DJI\">$道琼斯(.DJI)$</a>美国的问题就是太“**”了，都什么时候了，还不禁止做空，还要开放股指期货，搞恐慌指数交易。哎，也是没救，放那么多水能阻止恐慌？不能老指望天佑美国，自助者天助也！","listText":"<a href=\"https://laohu8.com/S/.DJI\">$道琼斯(.DJI)$</a>美国的问题就是太“**”了，都什么时候了，还不禁止做空，还要开放股指期货，搞恐慌指数交易。哎，也是没救，放那么多水能阻止恐慌？不能老指望天佑美国，自助者天助也！","text":"$道琼斯(.DJI)$美国的问题就是太“**”了，都什么时候了，还不禁止做空，还要开放股指期货，搞恐慌指数交易。哎，也是没救，放那么多水能阻止恐慌？不能老指望天佑美国，自助者天助也！","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":2,"commentSize":7,"repostSize":0,"link":"https://laohu8.com/post/964667283","isVote":1,"tweetType":1,"viewCount":3759,"authorTweetTopStatus":1,"verified":2,"comments":[{"author":{"id":"3516820934573539","authorId":"3516820934573539","name":"铁伞怪侠","avatar":"https://static.tigerbbs.com/547c3e3cf03f291ae8fb613c0d3f252d","crmLevel":2,"crmLevelSwitch":0,"idStr":"3516820934573539","authorIdStr":"3516820934573539"},"content":"美股如果禁止做空那就都闷死了，所引起的恐慌只会造成多杀多。会崩的更惨","text":"美股如果禁止做空那就都闷死了，所引起的恐慌只会造成多杀多。会崩的更惨","html":"美股如果禁止做空那就都闷死了，所引起的恐慌只会造成多杀多。会崩的更惨"}],"imageCount":0,"langContent":"CN","totalScore":0},{"id":964101497,"gmtCreate":1584272392019,"gmtModify":1704353413854,"author":{"id":"3546858617721090","authorId":"3546858617721090","name":"见证历史20","avatar":"https://static.laohu8.com/default-avatar.jpg","crmLevel":1,"crmLevelSwitch":0,"followedFlag":false,"idStr":"3546858617721090","authorIdStr":"3546858617721090"},"themes":[],"htmlText":"总结起来就一句话，美国完蛋中国崛起？做梦呢还是忽悠韭菜呢？还新基建，地方债不爆雷？不做结构性改革就是耍流氓！","listText":"总结起来就一句话，美国完蛋中国崛起？做梦呢还是忽悠韭菜呢？还新基建，地方债不爆雷？不做结构性改革就是耍流氓！","text":"总结起来就一句话，美国完蛋中国崛起？做梦呢还是忽悠韭菜呢？还新基建，地方债不爆雷？不做结构性改革就是耍流氓！","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":0,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/964101497","repostId":"1100977664","repostType":4,"isVote":1,"tweetType":1,"viewCount":1602,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":0,"langContent":"CN","totalScore":0},{"id":964383941,"gmtCreate":1584181414183,"gmtModify":1704353327998,"author":{"id":"3546858617721090","authorId":"3546858617721090","name":"见证历史20","avatar":"https://static.laohu8.com/default-avatar.jpg","crmLevel":1,"crmLevelSwitch":0,"followedFlag":false,"idStr":"3546858617721090","authorIdStr":"3546858617721090"},"themes":[],"htmlText":"一派胡言，叫人抄底，自己跑路","listText":"一派胡言，叫人抄底，自己跑路","text":"一派胡言，叫人抄底，自己跑路","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":0,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/964383941","repostId":"1154216771","repostType":4,"repost":{"id":"1154216771","kind":"news","pubTimestamp":1584147290,"share":"https://www.laohu8.com/m/news/1154216771?lang=&edition=full","pubTime":"2020-03-14 08:54","market":"us","language":"zh","title":"美股暴跌、暴力反弹背后的黑手找到了！","url":"https://stock-news.laohu8.com/highlight/detail?id=1154216771","media":" 华尔街见闻","summary":"美股暴跌、暴力反弹背后的黑手找到了！\n黑手的子弹已经打光，所以只剩下一个方向……\n美股在经历了一周之内两次熔断之后，今天三大股指暴力反弹9%。虽然特朗普讲话之后美股涨幅扩大，但这只是表面的巧合（上次讲","content":"<p><i><span>美股暴跌、暴力反弹背后的黑手找到了！</span></i></p>\n<p><i><span>黑手的子弹已经打光，所以只剩下一个方向……</span></i></p>\n<p><span>美股在经历了一周之内两次熔断之后，今天三大股指暴力反弹9%。虽然特朗普讲话之后美股涨幅扩大，但这只是表面的巧合（上次讲话后熔断），真正的原因在于导致美股暴跌的“幕后黑手”子弹已经打光。</span></p>\n<p><b><span>这只黑手就是目前华尔街最为流行的对冲基金模式：风险平价基金。</span></b><span>野村跟踪的风险平价基金的仓位显示，这些基金所有的股票持仓经过过去三周的意外狂跌之后，已经基本全部降到0，也就是说这类对冲基金的空头子弹已经全部打光。</span></p>\n<p><span>而这类基金的规模非常大，据2018年的一份研究报告估计，仅在美国管理的总金额就高达1.5万亿美元。更重要的是，这些基金有着相同的行为模式，所以“集体行动”的能量巨大。</span></p>\n<p><span>图：野村跟踪的风险平价基金仓位</span></p>\n<p></p>\n<p><img src=\"https://static.tigerbbs.com/bd6a3286f1570ffe4f5a76370c891ee5\"></p>\n<p><span>这份跟踪表可信度有多高？为什么野村能够让对冲基金的仓位在其面前变得“透明”？这要先从平价基金的来源和运作机制说起。</span></p>\n<p><span>平价基金（RiskParity或又称voltargeting）是桥水达里奥在90年代末的发明，并通过08年金融危机“一战成名”，迅速被同行大量复制。</span></p>\n<p><span>传统上的资产组合是60%股40%债，认为这种组合可以兼顾收益和风险：在股票下跌的时候，债券价格是上涨的。但是，</span><span><b>08年经济危机时股债同时暴跌的情形让这一投资组合失灵，市场急需找到另一种可以拿得出手，适应新环境的资产组合方式。</b></span></p>\n<p><span>图：08年60%股40%债的资产组合方式已经被证明在危急情况下无法有效抵御风险</span></p>\n<p><img src=\"https://static.tigerbbs.com/f9ed8de30b09cac7e5efeae143691d21\"></p>\n<p><span>当时脱颖而出的，正是桥水的平价基金模式。</span></p>\n<p><span>传统的六股四债是按照资产类别来配置，这种配置方式的结果是波动率（即风险）过度集中于股票。</span></p>\n<p><span>图：传统六股四债的资产分布和风险分布对比</span></p>\n<p><img src=\"https://static.tigerbbs.com/5238239a6b217f86cf83f9df882f1673\"></p>\n<p><span>而达里奥的发明强调的不是配置资产，而是根据资产的波动率属性来配置风险。也就是说，平价基金的关注重点在于各个资产间的风险关联度和历史关系，并通过配置资产来达到平衡各类资产的风险组合的终极目的。</span></p>\n<p><span>同时，为了最大化收益，各类资产还会加不小的杠杆。因为组合里面的风险是平衡的且是互相抵消的，理论上较高杠杆是安全的。</span></p>\n<p><b><span>这类配置风险的方式严重依赖各资产间的历史数据和历史关系，并会根据风险变化情况，自动重新配置资产，以达到风险配置再平衡的目的。</span></b></p>\n<p><span>这次的问题就出在后两条属性。</span></p>\n<p><b><span>首先，这次股市暴跌也同时伴随传统避险资产的同步暴跌，导致避险资产和风险资产间的历史关系出现紊乱，最显著的莫过于美股和美债。</span></b></p>\n<p><span>图：美股一周内两次史诗级熔断都与美股和美债关系异常紧密相关</span></p>\n<p></p>\n<p><img src=\"https://static.tigerbbs.com/8dfbaef80cbdb3f038515163d2138574\"></p>\n<p><span>如此一来就造成平价基金的杠杆完全暴露在风险之下：以往风险资产跌了，有避险资产“补位”，但在风险资产和避险资产“通杀”的情况下，平价基金就必须被迫平仓，降低杠杆水平。</span></p>\n<p><span>图：平价基金的杠杆水平断崖式下跌</span></p>\n<p><img src=\"https://static.tigerbbs.com/ee9e8eab21413c9f41f190cf8a3baaa9\"></p>\n<p><b><span>同时，由于股票的波动率飙升至2008年时的水平，平价基金的配置原理又要求“平衡风险”，所以股票遭到进一步抛售。</span></b></p>\n<p><span>图：代表股票波动率（风险）的VIX暴升至08年金融危机水平</span></p>\n<p><img src=\"https://static.tigerbbs.com/64b9e8097bfa9b4e0e453d72a21dc06e\"></p>\n<p><span>结果就是，经过三周的抛售，上万亿美元规模的平价基金手里的股票都差不多被抛光了。</span></p>\n<p><span>图：野村证券根据平价基金的数据和风格，综合推算出的行业股票仓位变化</span></p>\n<p></p>\n<p><img src=\"https://static.tigerbbs.com/c49ce722519d16f8da47d8c1e98564b8\"></p>\n<p><span><br>当市场上的大空头子弹已经打光，前面就只剩下了一个方向……</span></p>","source":"live_wallstreetcn","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>美股暴跌、暴力反弹背后的黑手找到了！</title>\n<style 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}\nol{ list-style:decimal; }\nli,li p{ margin:10px 0;}\nimg{ max-width:100%;display:block;margin:0 auto 1em; }\nblockquote{ color:#B5B2B1; border-left:3px solid #aaa; padding:1em; }\nstrong,b{font-weight:bold;}\nem,i{font-style:italic;}\ntable{ width:100%;border-collapse:collapse;border-spacing:1px;margin:1em 0;font-size:.9em; }\nth,td{ padding:5px;text-align:left;border:1px solid #aaa; }\nth{ font-weight:bold;background:#5d5d5d; }\n.symbol-link{font-weight:bold;}\n/* header{ border-bottom:1px solid #494756; } */\n.title{ margin:0 0 8px;line-height:1.3;color:#ddd; }\n.meta {color:#5e5c6d;font-size:13px;margin:0 0 .5em; }\na{text-decoration:none; color:#2a4b87;}\n.meta .head { display: inline-block; overflow: hidden}\n.head .h-thumb { width: 30px; height: 30px; margin: 0; padding: 0; border-radius: 50%; float: left;}\n.head .h-content { margin: 0; padding: 0 0 0 9px; float: left;}\n.head .h-name {font-size: 13px; color: #eee; margin: 0;}\n.head .h-time {font-size: 11px; color: #7E829C; 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美股暴跌、暴力反弹背后的黑手找到了！\n</h2>\n\n<h4 class=\"meta\">\n\n\n2020-03-14 08:54 北京时间 <a href=https://mp.weixin.qq.com/s/LsxbNe3U--ZGeGv-SNj-qw><strong> 华尔街见闻</strong></a>\n\n\n</h4>\n\n</header>\n<article>\n<div>\n<p>美股暴跌、暴力反弹背后的黑手找到了！\n黑手的子弹已经打光，所以只剩下一个方向……\n美股在经历了一周之内两次熔断之后，今天三大股指暴力反弹9%。虽然特朗普讲话之后美股涨幅扩大，但这只是表面的巧合（上次讲话后熔断），真正的原因在于导致美股暴跌的“幕后黑手”子弹已经打光。\n这只黑手就是目前华尔街最为流行的对冲基金模式：风险平价基金。野村跟踪的风险平价基金的仓位显示，这些基金所有的股票持仓经过过去三周的...</p>\n\n<a href=\"https://mp.weixin.qq.com/s/LsxbNe3U--ZGeGv-SNj-qw\">Web Link</a>\n\n</div>\n\n\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"https://static.tigerbbs.com/528f1b5f95c1aa85d740d858963e7e8f","relate_stocks":{"SPY":"标普500ETF",".IXIC":"NASDAQ Composite",".DJI":"道琼斯"},"source_url":"https://mp.weixin.qq.com/s/LsxbNe3U--ZGeGv-SNj-qw","is_english":false,"share_image_url":"https://static.laohu8.com/cc96873d3d23ee6ac10685520df9c100","article_id":"1154216771","content_text":"美股暴跌、暴力反弹背后的黑手找到了！\n黑手的子弹已经打光，所以只剩下一个方向……\n美股在经历了一周之内两次熔断之后，今天三大股指暴力反弹9%。虽然特朗普讲话之后美股涨幅扩大，但这只是表面的巧合（上次讲话后熔断），真正的原因在于导致美股暴跌的“幕后黑手”子弹已经打光。\n这只黑手就是目前华尔街最为流行的对冲基金模式：风险平价基金。野村跟踪的风险平价基金的仓位显示，这些基金所有的股票持仓经过过去三周的意外狂跌之后，已经基本全部降到0，也就是说这类对冲基金的空头子弹已经全部打光。\n而这类基金的规模非常大，据2018年的一份研究报告估计，仅在美国管理的总金额就高达1.5万亿美元。更重要的是，这些基金有着相同的行为模式，所以“集体行动”的能量巨大。\n图：野村跟踪的风险平价基金仓位\n\n\n这份跟踪表可信度有多高？为什么野村能够让对冲基金的仓位在其面前变得“透明”？这要先从平价基金的来源和运作机制说起。\n平价基金（RiskParity或又称voltargeting）是桥水达里奥在90年代末的发明，并通过08年金融危机“一战成名”，迅速被同行大量复制。\n传统上的资产组合是60%股40%债，认为这种组合可以兼顾收益和风险：在股票下跌的时候，债券价格是上涨的。但是，08年经济危机时股债同时暴跌的情形让这一投资组合失灵，市场急需找到另一种可以拿得出手，适应新环境的资产组合方式。\n图：08年60%股40%债的资产组合方式已经被证明在危急情况下无法有效抵御风险\n\n当时脱颖而出的，正是桥水的平价基金模式。\n传统的六股四债是按照资产类别来配置，这种配置方式的结果是波动率（即风险）过度集中于股票。\n图：传统六股四债的资产分布和风险分布对比\n\n而达里奥的发明强调的不是配置资产，而是根据资产的波动率属性来配置风险。也就是说，平价基金的关注重点在于各个资产间的风险关联度和历史关系，并通过配置资产来达到平衡各类资产的风险组合的终极目的。\n同时，为了最大化收益，各类资产还会加不小的杠杆。因为组合里面的风险是平衡的且是互相抵消的，理论上较高杠杆是安全的。\n这类配置风险的方式严重依赖各资产间的历史数据和历史关系，并会根据风险变化情况，自动重新配置资产，以达到风险配置再平衡的目的。\n这次的问题就出在后两条属性。\n首先，这次股市暴跌也同时伴随传统避险资产的同步暴跌，导致避险资产和风险资产间的历史关系出现紊乱，最显著的莫过于美股和美债。\n图：美股一周内两次史诗级熔断都与美股和美债关系异常紧密相关\n\n\n如此一来就造成平价基金的杠杆完全暴露在风险之下：以往风险资产跌了，有避险资产“补位”，但在风险资产和避险资产“通杀”的情况下，平价基金就必须被迫平仓，降低杠杆水平。\n图：平价基金的杠杆水平断崖式下跌\n\n同时，由于股票的波动率飙升至2008年时的水平，平价基金的配置原理又要求“平衡风险”，所以股票遭到进一步抛售。\n图：代表股票波动率（风险）的VIX暴升至08年金融危机水平\n\n结果就是，经过三周的抛售，上万亿美元规模的平价基金手里的股票都差不多被抛光了。\n图：野村证券根据平价基金的数据和风格，综合推算出的行业股票仓位变化\n\n\n当市场上的大空头子弹已经打光，前面就只剩下了一个方向……","news_type":1},"isVote":1,"tweetType":1,"viewCount":1785,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":0,"langContent":"CN","totalScore":0}],"defaultTab":"posts","isTTM":false}