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美股不會再有迅速單邊行情

(2011-10-17 07:54:40) 下一個



來源: FreeTrader 於 2011-10-16 14:29:11



SPX 500指數的組成主要包括金融板、石油板、製藥板和科技板。

DJI在這四個板塊的基礎上,隻不過加了AA/KO/WMT這些傳統行業Tickers,但由於它們的市值相對不大,所占SPX 500的比重並不大。


DJI 30大概占有SPX權重的40%。


科技板裏除了DJI的HPQ/T/IBM等在NYSE交易的Tickers,其它基本都在Nasdaq交易,組成了有期指對應的NDX。


較大的行情必然會有對應的SPX/DJI/NDX聯動。NDX的假科技股在起始於7月底的這波調整中表現強勢,比如SBUX/COST,指明了後市的方向。但能漲多快多高?



胡立陽曆經7年時間和走訪了15個新興國家,並研究了各國二十多年的股市發展後,得出結論:股市與經濟沒有必然的聯係,股市帶動經濟而不是股市反映經濟。


市場與經濟的關係應該是,主力操縱股市,股市超前經濟。在“投資”或交易策略上,必須特別注意到兩點:


1,市場轉折由主力控製,在市場轉折點趨勢無效,無法順勢而為;

2,隨後形成趨勢,才能談市場有效和順勢而為。


這兩點說明了為何判斷大勢對於交易或“投資”至關重要。



目前,


SPX的潛在上漲動力主要來自正處新低的“行情發動機”金融板,

NDX聯動的主要動力則潛在地來源於MSFT/INTC/CSCO/GOOG等長期箱體震蕩的超大盤股。


DELL/YHOO/EBAY等等的業務已經飽和,事實上已經走向了傳統企業,基本不能指望有突破和題材。


這些超大盤股如果試圖創新高給NDX指數提供動力,隻有兩個可能:

一是個體公司有題材和業務突破,比如AAPL;ORCL盤子稍小一些,比較勉強,不能算是領漲股,盡管突破了盤整創了近幾年新高;Internet和所謂Cloudy Computing裏主力資金選擇了AMZN作為領漲股,但對指數的動力支持有限。


二是這波濫印鈔票引起的通脹效應進入流通,引起物價上漲,從而所有股價普漲。



科技股裏的題材,還是世紀之交的Internet,隻不過泡沫性要低多了。所以,可見的將來,美股指數不會象Internet Boom期間那樣增長迅速了。



相比於Internet Boom前,現在的美國,經濟環境更由大公司控製,各行業和社會運行都更被徹底瓜分。中小公司,特別是能IPO的中小公司越來越少,造成指數沒有新成份股進入。同時,已有大權重股由於盤子太大而不容易推高,所以,指數總體難創新高,隻能用時間來抵禦通脹。


所以,交易股票的投資者隻能找活躍的中小盤股進行收益擴大化。



在此基礎上,以指數當Benchmark的方法,會使得各基金的表現更趨於同化。


因為,首先,長時間框架內(比如一年內)指數變化率更緩慢,更小了(比如,2011年到截止10月15日的9.5個月,∆SPX=1225-1260=-2.8%,∆DJI=11645-11600=0.4%)。


其次,長時間框架下,中小時間框架的反向趨勢數量和幅度都增多,從而指數更動蕩,即單位時間的振幅和雙向震蕩的次數都增加(比如,SPX從2011年8月初到10月中,最大單日振幅與收盤變化達到了80點,連續幾日的短線行情最大達到150點,頻頻超過100點;較之2007年7月前每日振幅大都3-5點,多至10點已屬罕見,市場屬性已經雲泥之別!),這增加了主力資金的操縱收益,客觀上作為市場跟隨者的各基金損失增大。主力資金應該也是沒辦法了才出此下策,因為大收益的長時間大行情很難有醞釀和操作的條件了,所以不得不強行凶狠地搶劫。


由於長時間框架指數變化率降低,也使得“投資”收益率變低,這迫使少數求得表現超越指數的基金的回報兩極分化,因為它們必須更多地以交易(Instead of “投資”)的指導思想操作,做得好則收益好,做得差則更壞。這本質上還是因為這樣的市場屬性對主力資金操縱更有利。


代之於單邊強勢上漲,適當時間框架內,次級反向趨勢相對於主趨勢的幅度和時間長度都增加,也就是指數波動性將增加。Hence, the premiums of options of indice ETFs and indice futures將顯著增加。伴隨參與活躍的中小盤股,Nakedly Wring Futures Options將也是一個更相對可取的交易策略。

市場波動率一變大,基金的表現在統計上立竿見影地變差。附錄是2011年7月底開始的劇烈調整後,2011年9月2日JPM發表的基金表現統計報告:


Appendix:

Funds Trailing Stock Market by Most Since 1998, JPMorgan Says

http://www.bloomberg.com/news/2011-09-02/stock-mutual-funds-are-trailing-market-by-most-since-1998-jpmorgan-says.html

Funds Trailing Stock Market by Most Since 1998, JPMorgan Says

Stock mutual funds are having their worst year since 1998 relative to their benchmarks, as higher volatility makes it harder to pick stocks, according to JPMorgan Chase & Co. (JPM)

Among 2,806 funds tracked by the brokerage, 47 percent underperformed their benchmarks by more than 2.5 percentage points this year, the most since the 55 percent recorded in 1998. Only 13 percent of the funds beat the market by the same margin. The underperformance accelerated last month, with the proportion of trailing funds almost doubling from July, according to JPMorgan data.

U.S. stock price swings widened at the fastest rate since the 1987 crash in the month through Aug. 23 as investors weighed stalling economic growth against the prospect of additional stimulus from the Federal Reserve. The volatility helped drive August options volume to a record 550.1 million contracts on demand for a hedge against equity losses, according to the Chicago-based Options Industry Council.

“The turbulence of markets in August caused a rapid deterioration of active manager performance,” Thomas J. Lee, JPMorgan’s chief U.S. equity strategist, wrote in the report dated yesterday.

The Standard & Poor’s 500 Index plunged 6.7 percent on Aug. 8, before surging 4.7 percent, dropping 4.4 percent and jumping 4.6 percent in the next three days. The benchmark gauge fell as much as 2.3 percent today as a government report showing employment stagnated stoked concern the economy may fall into a recession.

High-Beta Preference
The trailing funds are likely to increase holdings in companies that move the most relative to the benchmark, known as high-beta stocks, to boost performance, Lee said. That preference may result in a year-end rally, he said.

Since 1995, there had been nine years when more funds trailed than those that beat from Jan. 1 through Aug. 31. The market rallied in the last four months of a year in all but 2008, with the S&P 500 rising 8.5 percent on average, JPMorgan data showed.

“When active managers trail, there is a tendency for markets to rise into” the end of the year, Lee wrote. “Intuitively, when there are more trailing, there will be logically an attempt to outperform, which should be driven by risk-taking.”

To contact the reporter on this story: Lu Wang in New York at lwang8@bloomberg.net

To contact the editor responsible for this story: Nick Baker at nbaker7@bloomberg.net


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