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繫好安全帶!高盛警告:量化交易員涌入美股或加劇波動

高盛敦促投資者防範未來幾個月波動加劇的可能性,因爲華爾街量化交易員將重新涌入美國股市。高盛對股票和信貸持中性態度,增持現金和大宗商品,減持債券。高盛預測,標普500指數未來3個月將在4000點附近交易。

隨着強勁的第一季度企業收益和美國經濟彈性增長抑制了波動性,量化投資者紛紛涌入股市。$標普500波動率指數(.VIX.US)$自3月底以來一直低於20。德意志銀行的數據顯示,系統性投資者的風險敞口自2021年12月以來首次升至中性水平以上。

但由於量化交易員的參與度上升,高盛的分析師現在警告稱,股價正變得越來越容易受到突然拋售的影響。包括Christian  Mueller-Glissmann在內的高盛分析師團隊表示,美國債務上限期限的臨近,以及對美國銀行業穩定性的擔憂,也可能引發股市波動加劇。

該團隊表示,購買期權以抵禦突如其來的價格壓力是個好主意,因爲這些問題可能會在未來幾個月內爆發。

高盛建議買入股票看跌期權價差,並表示賣出波動性較大的避險資產可以降低這些對衝的成本。

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