宏观市场20260724

本周的⼏点快速观察————————以及⼏张有⼒的图表（直接跳到第12121212点看结论）：1.thetradingenvironmentremainswideopenandhighoctane.moreover,thecharacterofthemarkethasnoticeablychangedoflate.inthatcontext,ahandfulofprominenttrendshaveshifted.themostbright-and-shiningexampleisthebehaviorofmomentum.toputalineunderit:overthelastthreemonths,themomentumfactorhasrecordedthe 1.1.1.1.交易环境依然开放且⾼能。此外，市场特征近期明显改变。在此背景下，若⼲显著趋势已发⽣转变。最鲜明的例⼦是动量因⼦的表现。简⽽⾔之：过去三个⽉，动量因⼦录得45454545年来（除衰退期外）最⾼的实际波动率。再深⼊⼀层，我们的TMTTMTTMTTMT动量组合刚刚经历了五年来最严重的回撤————————随后昨⽇⼜创纪录地反弹了11%11%11%11%。 2.inthesearchforwhymomentumhasbecomeabuckingbronco,havealookattheVrstchartbelow.oneread:themoveinQ2wastrulyblistering...alotofspeculativemoneyjoinedfortheride...and,afterovershootingthe1999analogbylateJune,thisfactorwasdueforsomeharshmeanreversion.oncethelocaltrendbrokeandvolatilityroofed,themarketsawaroundofseriousdeleveragingbytherentersandthegeneralists(which 后，该因⼦理应出现剧烈均值回归。⼀旦局部趋势被打破、波动率飙升，市场便迎来租⽤资⾦和通才型交易者的⼀轮严重去杠杆（上周晚些时候似乎达到局部峰值）。3.onthefundamentalside,thelonglegofthepairhasbeendominatedbyAIinfrastructureforafewyearsnow.allofasudden,there’samoreintensedebate--withafewdosesofskepticism--inthemarketaroundthattheme.Ihaveseenalargesetofclientsoverthepastweek,andnotonlydoesAIconsume~75%ofeveryconversation,butI’msurprisedbythelevelofcircumspectiononmodelcompetition,capitalintensityandterminalreturns.3.3.3.3.从基本⾯来看，该货币对的多头部分近年来⼀直由⼈⼯智能基础设施主导。突然间，市场围绕这⼀主题展开了更激烈的辩论————————其中夹杂着⼏分怀疑。过去⼀周我接触了⼤量客户，不仅⼈⼯智能占据了每次对话的75%75%75%75%，更令我惊讶的是，市场对模型竞争、资本密集度和终端回报的审慎态度。4.wheretofromhere?again,thatVrstchartisinformative:thesetupoUtheceaseVrelowswasideal...priceactionclearlyovershotnormalbehavior...andtherecentretracementputthingsonamorenormaltrend.afteryesterday’srip--seeherefora terriVcnarrationofthemoves,link--myguessismomentumwillchoparoundforabitlonger,thengrindhigheraswemoveoutofthesummer.4.4.4.4.接下来何去何从？再次强调，第⼀张图表颇具参考价值：停⽕低点后的市场形态堪称理想……………………价格⾛势明显偏离常态……………………⽽近期的回调使趋势回归正常轨道。经历昨⽇的⼤幅反弹后————————详⻅此处对⾛势的精彩描述，链接————————我预计动能将在短期内持续震荡，随后随着夏季结束⽽逐步⾛⾼。5.again,themarketisweighingaVercetensionwithintheAInarrative,pittingtruebelieversintheproductivitymiraclevstheskepticsonultimatereturns.so,afterathree-and-a-halfyearrunwherethepick-and-shoveltradewasrocketfuel,thesimplicityoffollowingtheAIinfrastructuremoneyhasgivenwaytomorecomplexity.it’shereI’llnotethatanumberofhugecardsturnoverinthenexttendays,startingwithGOOGtonight(followedbyAMZN,MSFTandMETAnextweek).onnet,I’mstillabelieverintheinfrastructureplays,whileacknowledgingamuchhigherdegreeofdigculty.5.5.5.5.市场再次在AIAIAIAI叙事中权衡着激烈的张⼒，⼀边是⽣产⼒奇迹的坚定信徒，另 ⾯。在此我要指出，未来⼗天将迎来⼀系列重⼤事件，从今晚的⾕歌（GOOGGOOGGOOGGOOG）开始（下周依次是亚⻢逊AMZNAMZNAMZNAMZN、微软MSFTMSFTMSFTMSFT和MetaMetaMetaMeta）。总体⽽⾔，我仍看好基础设施类投资，但承认难度已显著提升。6.despitealloftheshiftsinmomentum--whichhavecoincidedwithsomemomentsofnotableimprovementinbreadth--theunderlyingtrendsincorrelationanddispersionjustkeepgoing.forgoodorder’ssake,S&Prealizedandimpliedcorrelationaremakingmulti-decadelows(seechart#15atbottom).6.6.6.6.尽管市场动能发⽣了诸多转变————————其间伴随着⼴度出现显著改善的时刻————————但相关性和离散度的潜在趋势仍在持续。为严谨起⻅，标普500500500500指数的已实现相关性和隐含相关性正创下数⼗年新低（⻅底部图表15151515）。7.atitscore,thedispersionstoryisalsoheavilydominatedbytheAItrade.whichistosay:highly-gearedAIcapexbeneVciaries--engagedbyaleveredtradingcommunity,includinghouseholds--haveconsistentlydecoupledfromtherestofthemarket,bothtotheupsideandthedownside.it’sherethattheearningsperiodwillalsoholdsigniVcant sway.7.7.7.7.从核⼼来看，分散化叙事同样深受⼈⼯智能交易的主导。也就是说，⾼杠杆的⼈⼯智能资本⽀出受益者————————包括散户在内的杠杆交易群体参与其中————————始终与市场其他部分脱节，⽆论上涨还是下跌都是如此。正是在这⾥，财报季也将产⽣重⼤影响。8.Iwanttoquicklytouchonthetopicofmarketstructure.foraslongasI’vebeenaround,there’sbeengrumblingfromindustryveteransonchangestomarketstructure.usuallythenatureofthiswasanewproduct(orenhancementtoatraditionalproduct)camealongandchallengedtheoldwayofmanagingriskormakingmoney.8.8.8.8.我想快速谈谈市场结构这个话题。从我⼊⾏以来，就不断听到⾏业资深⼈⼠对市场结构变化的抱怨。通常这些抱怨的实质是，某种新产品（或传统产品的改进）出现后，挑战了旧有的⻛险管理或盈利⽅式。 -andItendtobelieveinjectionsliketheriseofpassivemanagementactuallyinduceopportunityforactivemanagers--Iadmittothinkingthatwhatwe’reseeinginthearchitectureofthemarkettodayisindeeddiUerentfrompastyears.9.9.9.9.例如，我记得21212121世纪初交易所交易基⾦真正兴起时，股票交易员们怨声载道。虽然我通常对这些抱怨不以为然————————⽽且我倾向于认为，像被动管理崛起这样的转折点实际上为主动管理者创造了机会————————但我承认，如今市场架构中呈现的现象确实与过去⼏年有所不同。10.hereI’mnoddingtowardsdevelopmentslikethestructuralriseingrossexposure...theengagementofshort-datedoptionsbyallmannersofactivetraders...thepopularityofleveredETFs...thenascenttrendofAIagentswithinmoneymanagementproducts(h/tJV)...atthesametime.thisallcomesinthecontextofahighlyconcentratedindex--andweknowfromhistorythatwhilehighlyconcentratedmarketsdon’tnecessaryleadtobigdrawdownsinS&P,theymostalwaysleadtoasigniVcantdrawdowninthemomentumfactor(theTPAIbotremindedmeofthatfact,whichwewroteaboutatthisexacttimeoneyearago). 10.10.10.10.在此，我指的是多种现象同时涌现：总⻛险敞⼝的结构性上升、各类活跃交易者参与短期期权交易、杠杆ETFETFETFETF的流⾏、以及资产管理产品中AIAIAIAI代理的新兴趋势（感谢JVJVJVJV的提醒）。这⼀切都发⽣在指数⾼度集中的背景下————————⽽历史告诉我们，尽管⾼度集中的市场未必导致标普500500500500指数⼤幅回撤，但⼏乎总会引发动量因⼦的显著回调（TPAITPAITPAITPAI机器⼈提醒了我这⼀点，恰好⼀年前我们曾就此撰⽂讨论）。11.whilesomeofthesearelikelytof