8月全球股市下跌是人爲拋售決定所致

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.

8月份全球股市下跌可能還是人爲做出的拋售決定所致。面對市場動盪和圍繞中國經濟的擔憂，對衝基金和共同基金經理紛紛拋出股票。

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.

這個結論是根據摩根大通(JPMorgan)策略師的研究得出的，它是對另一派觀點的還擊，後者企圖將股市調整的規模和速度歸咎於深奧難懂的交易策略，如“風險平價”。

“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.

“全權委託經理人很可能要對近期股市拋售負責，”摩根大通全球資產配置策略師尼可拉斯堠尼吉左格魯(Nikolaos Panigirtzoglou)告訴客戶。

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.

宏觀對衝基金和平衡型共同基金（兩者均可投資於各種資產類別）在8月期間採取緊急行動降低股票虧損風險。各投資組合的整體股票貝塔係數（衡量股指變動與個別投資基金變動之間的關係）在8月份急劇下降。

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.

摩根大通還發現，所謂的多空對衝基金的貝塔係數也在8月份大幅下降，原因是經理人紛紛通過平倉對波動性作出反應。該行的研究是基於對指數變動（如對衝基金基準指數HFRX）的迴歸分析，將指數作爲基金持股的代表。

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.

相比之下，風險平價基金的貝塔係數僅小幅下降。近年此類基金受到關注，因爲它們試圖混合持有股票、債券和大宗商品，然後選擇性地使用槓桿，在降低風險的同時帶來與傳統投資產品相仿的回報。

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.

歐米茄顧問公司(Omega Advisors)創始人利昂錠珀曼 (Leon Cooperman)上週將8月的拋售歸咎於“系統性/技術型投資者”。這位經驗豐富的投資者把矛頭指向一些有影響力的風險平價策略，這些策略是由布里奇沃特(Bridgewater)等對衝基金以及所謂CTA基金（專門從事基於計算機模型的衍生品交易的基金）開創的。

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.

然而，風險平價基金所用的槓桿往往集中於債券，因爲此類證券價格的波動性傳統上比股票低一些。今年以來此類基金表現一直不佳，但8月份債券波動性（或者股票與債券之間的關聯度）並未顯著上升。

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.

摩根大通還發現，CTA策略在8月第三週（拋售發生時）帶來了小幅增值。這樣的表現似乎說明，它們在股市下跌之前就做好了佈局，因此相關交易不太可能放大市場波動。

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.

摩根大通的潘尼吉左格魯表示，平衡型共同基金的股票貝塔係數接近歷史低點，但對衝基金的貝塔係數仍有進一步下滑空間。

There is also the question whether the correction reflects a reassessment of the outlook for the economic cycle and stock prices.

還有一個問題是，股市調整是否反映了市場對經濟週期和股價前景作出重新評估？

“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.

“週期性風險成了8月的市場風險，”法國興業銀行(Société Générale)策略師安德魯拉普索恩(Andrew Lapthorne)表示。他表示，現在各方關注的是，經濟週期的改變在什麼程度上開始影響信貸的可獲得性。