8月全球股市下跌是人为抛售决定所致

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还是人为做出的抛售决定所致。面对市场动荡和围绕中国经济的担忧，对冲基金和共同基金经理纷纷抛出股票。

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.

这个结论是根据摩根大通(JPMorgan)策略师的研究得出的，它是对另一派观点的还击，后者企图将股市调整的规模和速度归咎于深奥难懂的交易策略，如“风险平价。

“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堠尼吉左格鲁(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.

宏观对冲基金和平衡型共同基金(两者均可投资于各种资产类别)在8月期间采取紧急行动降低股票亏损风险。各投资组合的整体股票贝塔系数(衡量股指变动与个别投资基金变动之间的关系)在8月份急剧下降。

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.

摩根大通还发现，所谓的多空对冲基金的贝塔系数也在8月份大幅下降，原因是经理人纷纷通过平仓对波动性作出反应。该行的研究是基于对指数变动(如对冲基金基准指数HFRX)的回归分析，将指数作为基金持股的代表。

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，风险平价基金的贝塔系数仅小幅下降。近年此类基金受到关注，因为它们试图混合持有股票、债券和大宗商品，然后选择性地使用杠杆，在降低风险的同时带来与传统投资产品相仿的回报。

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)创始人利昂錠珀曼 (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.

然而，风险平价基金所用的杠杆往往集中于债券，因为此类证券价格的波动性传统上比股票低一些。今年以来此类基金表现一直不佳，但8月份债券波动性(或者股票与债券之间的关联度)并未显著上升。

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.

摩根大通还发现，CTA策略在8月第三周(抛售发生时)带来了小幅增值。这样的表现似乎说明，它们在股市下跌之前就做好了布局，因此相关交易不太可能放大市场波动。

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鲁表示，平衡型共同基金的股票贝塔系数接近历史低点，但对冲基金的贝塔系数仍有进一步下滑空间。

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

还有一个问题是，股市调整是否反映了市场对经济周期和股价前景作出重新评估?

“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.

“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。