我們最近似乎陷入了一種新模式：IF（債券收益率上升）-> THEN（買入股票）。
這是對算法交易的過度簡化，但你應該明白這一點。交易者喜歡模式，並且有高薪的數學家團隊來搜索模式和“線索”。 潛在客戶是可以預示股價變動的其他資產的變動。也有成群的交易者利用動量或趨勢跟踪策略。在過去的幾周里，這兩股力量已經將這種新模式根植於市場。
我們這些關注市場走勢的人應該熟悉冒險/避險範式的概念。交易者和投資者有時會尋求避風港，有時也會尋求更高的回報。在“避險”日，我們通常會看到資金從股票轉移到政府債券等項目以及美元和瑞士法郎等貨幣。隨著資金從債券轉向股票，“冒險”日會帶來相反的效果。（請記住，債券收益率與價格成反比）這種想法有一個明確的邏輯——簡而言之，它是恐懼和貪婪之間的推/拉。
上個月，當俄羅斯入侵烏克蘭時，我們看到了全面的“避險”心態。我們看到石油、小麥和鎳等受影響商品的拋物線走勢走高，同時股票價格和債券收益率下跌。最終，交易員對這些動作有些習慣了。受影響的大宗商品從高點回落——不是一路回落，而是回落到市場認為可控的水平——債券收益率開始隨著超賣的股票上漲。後一種模式當然可以被認為是
“冒險”心態的一部分，尤其是在股票交易者中。正如將降低收益率視為降低股價的觸發因素有利可圖一樣，將更高的收益率視為更高股價的觸發因素也變得有利可圖。
從算法和趨勢跟踪的角度來看，這種關係非常合理。從基本的角度來看，坦率地說，它沒有。請記住，算法和趨勢不一定關心為什麼存在可交易模式或領先優勢，只是它可能是盈利策略的觸發因素。這創造了一個自我實現的預言。如果有足夠的資金用於遵循某個策略，它可能會奏效。在這種情況下，如果有足夠多的人（並記住“機器”是由人編寫的）找到一種始終如一地工作的模式，它就會繼續工作。可以形成正反饋循環。
但這就是問題所在。模式會發生變化，尤其是當它們受到基本面的挑戰時。冒險/避險 確實植根於基本面。但我會斷言，債券收益率的上升現在是一種截然不同的風險厭惡情緒的一部分。債券下跌是因為固定收益投資者對通脹、美聯儲加息步伐加快以及美聯儲可能需要縮減資產負債表感到緊張。這些都不利於股價。
從理論上講，股票投資者應將利率上升視為負面因素。事實上，如果他們堅持下去，很可能就是這種情況，尤其是如果美聯儲真的採取措施縮減資產負債表的話。（儘管他們已經停止購買債券，但資產負債表一直在穩步增長）。
隨著時間的推移，基本面通常會佔上風。反饋迴路肯定會在短期或中期佔上風。然而，根據我的經驗，市場情緒會發生變化，有時是不可預測的。我可以回憶起關鍵“主題”是日元、石油、黃金和幾乎所有全球可交易物品的時代。然後市場的注意力轉移到別的東西上。“冒險/避險”範式已經存在了幾個星期，即使它在不知不覺中變成了“冒險/冒險”。只要它持續存在，交易者不妨享受它。
We seem to have fallen into a new pattern recently: IF (bond yields higher) -> THEN (buy stocks).
That is a vast oversimplification of algorithmic trading, but you should get the idea. Traders love patterns and there are highly-paid teams of mathematicians who search for both patterns and “leads”. Leads are moves in other assets that can presage moves in stock prices. There are also hordes of traders who utilize momentum or trend-following strategies. Over the past few weeks, these two forces have ingrained that new pattern into the market.
Those of us who follow market movements should be familiar with the idea of a risk-off/risk-on paradigm. There are days when traders and investors seek safe havens and days when they seek higher returns. On “risk-off” days, we typically see money move out of equities and into items like government bonds and currencies like the dollar and Swiss francs. “Risk-on” days bring the opposite effect as money moves from bonds to stocks. (Remember that bonds yields move inversely to prices) There is a definite logic to that type of thinking – it is the push/pull between fear and greed in a nutshell.
We saw the “risk-off” mentality in full force last month when Russia invaded Ukraine. We saw parabolic moves higher
in affected commodities like oil, wheat and nickel alongside falling
equity prices and bond yields. Eventually, traders became somewhat
inured to the moves. The affected commodities pulled back from their
highs — not all the way, but to levels that the market deemed manageable
– and bond yields began to rise alongside oversold stocks. The latter
pattern could certainly be considered part of a
“risk-on” mentality,
certainly among stock traders. Just as it was profitable to look to
lower yields as a trigger to lower stock prices, it has become
profitable to look to higher yields as a trigger for higher stock
prices.
From an algorithmic and trend-following standpoint, the relationship makes perfect sense. From a fundamental viewpoint, frankly it doesn’t. Bear in mind that algorithms and trends don’t necessarily care about why a tradeable pattern or lead is in place, just that it can be the trigger for a profitable strategy. That creates a self-fulfilling prophecy. If enough money is devoted to following a strategy it is likely to work. In this case, if enough people (and remember that “the machines” are programmed by people) find a pattern that works consistently, it will keep working. A positive feedback loop can develop.
But here’s the problem. Patterns change, especially if they are challenged by fundamentals. Risk-off/risk-on is indeed rooted in fundamentals. But I will assert that rising bond yields are now part of a very different type of risk aversion. Bonds are falling because fixed-income investors are nervous about inflation, a faster pace of Federal Reserve rate hikes, and the likelihood that the Fed will need to shrink its balance sheet. None of these are beneficial to stock prices.
In theory, rising rates should be taken as a negative by equity investors. Indeed, if they persist that could very well be the case, especially if the Fed actually takes steps to reduce its balance sheet. (Even though they have stopped buying bonds, the balance sheet has been steadily growing nonetheless).
Over time, fundamentals usually prevail. The feedback loop can
certainly prevail over the short- or intermediate-term. Yet it has been
my experience that the market’s mood will change, sometimes
unpredictably. I can recall times when the key “lead” has been the yen,
oil, gold, and pretty much every globally tradeable item. Then the
market’s attention moves onto something else. The “risk-on/risk-off”
paradigm has been in place for a few weeks, even if it has unknowingly
morphed into “risk-off/risk-off”. Traders might as well enjoy it for as
long as it lasts.
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