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甲鱼蛋小财奴
2021-03-30

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The causes and effects of the liquidation of hedge funds' leveraged market-the guilt lies with the central government?

爆仓：风险传导路径这次对冲基金爆仓事件，我们也算亲历者。新闻里说的被强平股票，除了有一支中概传媒股我们持有多头（但有美股传媒空头配对），其余中概股，教育股，传媒股的名单里，大概80% 我们都已经提前做

The causes and effects of the liquidation of hedge funds' leveraged market-the guilt lies with the central government?

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{"i18n":{"language":"en_US"},"data":{"magic":2,"id":355583893,"tweetId":"355583893","gmtCreate":1617085177012,"gmtModify":1704801761494,"author":{"id":3548456177993691,"idStr":"3548456177993691","authorId":3548456177993691,"authorIdStr":"3548456177993691","name":"甲鱼蛋小财奴","avatar":"https://static.tigerbbs.com/6cc853984ad47d0d387346f8ca21bdd7","vip":1,"userType":1,"introduction":"","boolIsFan":false,"boolIsHead":false,"crmLevel":1,"crmLevelSwitch":0,"individualDisplayBadges":[],"fanSize":16,"starInvestorFlag":false},"themes":[],"images":[],"coverImages":[],"extraTitle":"","html":"<html><head></head><body>MARK</body></html>","htmlText":"<html><head></head><body>MARK</body></html>","text":"MARK","highlighted":1,"essential":1,"paper":1,"likeSize":0,"commentSize":0,"repostSize":0,"favoriteSize":0,"link":"https://ttm.financial/post/355583893","repostId":1117103484,"repostType":4,"repost":{"id":"1117103484","kind":"news","pubTimestamp":1617070660,"share":"https://ttm.financial/m/news/1117103484?lang=en_US&edition=fundamental","pubTime":"2021-03-30 10:17","market":"hk","language":"zh","title":"The causes and effects of the liquidation of hedge funds' leveraged market-the guilt lies with the central government?","url":"https://stock-news.laohu8.com/highlight/detail?id=1117103484","media":"泷韬全球宏观","summary":"爆仓：风险传导路径这次对冲基金爆仓事件，我们也算亲历者。新闻里说的被强平股票，除了有一支中概传媒股我们持有多头（但有美股传媒空头配对），其余中概股，教育股，传媒股的名单里，大概80% 我们都已经提前做","content":"Liquidation: risk transmission pathWe are also the witnesses of this hedge fund liquidation incident.In the news, except for one Chinese concept media stock that we hold long positions (but there is a short pairing of US stock media), about 80% of the other Chinese concept stocks, education stocks, and media stocks have been shorted in advance, but we didn't get the \"final judgment day\" on Friday-because since the second quarter of last year, US stocks have seriously manipulated the market, become A-shares, and often have short squeezes. Therefore, for the sake of risk management, we are short sellers.We're not sure who liquidated the position, but it doesn't matter. Although the development of this event has its chance, it also has its inevitability. First try to analyze the causes and effects of this incident.We believeTwo main reasons：<ul><li>Rising inflation expectations have hit the best-performing technology and high-valuation sectors in U.S. stocks last year;</li><li>Biden inherited Trump's China policy and comprehensively surrounded the economy, military, and finance, including financial attacks on Chinese concept stocks.</li></ul>Risk transmission path：<ol><li>Inflation expectations → US Treasury yields rises → U.S. technology stocks, growth stocks fall</li><li>US Treasury yields rises → U.S. dollar rises → emerging markets fall → Hong Kong stock technology (group stocks) falls, Chinese concept stocks fall</li><li>U.S. legislation expels Chinese concept stocks → Hedge funds' positions in Chinese concept stocks fluctuate → margin call → U.S. stock media (VIAC, DISCA) was liquidated</li><li>The above stock styles overlap with ARK's positions, and ARK is lying down</li></ol>The most unlucky thing is ARK-itself due to rising inflation expectations, ARK's positions have been hit hard. The hedge funds that were killed this time were liquidated \"Black Swan\"Adding insult to injury to ARK-due to the high overlap of holding styles, lying down the gun. The ARKK fund fell another 2.5% on Monday.<img src=\"https://static.tigerbbs.com/7818c693c24d61b57b70faca5156b3ca\" tg-width=\"1080\" tg-height=\"607\" referrerpolicy=\"no-referrer\">Source: Longtao Global Macro<img src=\"https://static.tigerbbs.com/a40eb82d6d3f95802f5e8b958146e331\" tg-width=\"1080\" tg-height=\"507\" referrerpolicy=\"no-referrer\">TME/ARKK Resonance Source: Longtao Global Macro<img src=\"https://static.tigerbbs.com/5ec841250b6e29e5c0a28774b85415fe\" tg-width=\"1080\" tg-height=\"509\" referrerpolicy=\"no-referrer\">VIAC/TME Resonance Source: Longtao Global MacroTraceability: the doting of global central mothers → increase leverage and hold groupsWhy hedge funds dare to release leverage, tracing back to the source-that is, central banks of various countriesSince the release of water to rescue the market in 2008, the problem has never been solved, so it is necessary to continuously release water to suppress the volatility of assets-drinking poison to quench thirst, which is actually the central bank's put option, suppressing short-term volatility and leaving volatility to the future。But this behavior<ul><li>On the one hand, advocating asset bubbles and suppressing fluctuations is equivalent to increasing the Sharpe ratio of assets and attracting more people to accelerate their entry into the market, which is embodied in increasing leverage and hot fund sales;</li><li>On the other hand, it is seen through by people who have a deep understanding of the policy, or capital groups, the latterLeverage unscrupulously, plunder wealth from the future, the poor, and the whole society, widen the gap between the rich and the poor, and bring greater instability to the economy-the profit is your own, the loss is the state's, or kidnapping the whole society to bear the responsibility-and then kidnapping the central bank to release water again。</li></ul>In fact, it is the central bank that condoned the excessive speculation of capital, the 2007-2008 subprime debt crisis, the leverage bull in 2015, the US technology stock bubble in 2020, the junk stock bubble, and the current real estate bubble... It's all the same way. We're in the next paragraphQ1 2020 Quantitative CrisisThere is detailed elaboration.The doting of the central bank has encouraged hedge funds to take risks and manipulate stock prices by leveraging and holding groups. Liquidated by Goldman Sachs this timeVIAC is a group ticket leveraged by hedge funds, before the stock fell, there was a continuous short squeeze. Fortunately, the major shareholders promptly cut off the market maker's leeks and issued additional stocks, which optimized liquidity and led to enlarged volatility. The monster revealed its true form.<img src=\"https://static.tigerbbs.com/53ae48ec2db994291cd48250e2542ab5\" tg-width=\"1080\" tg-height=\"512\" referrerpolicy=\"no-referrer\">VIACIf we want to break this a vicious circle, the central bank can only reduce excessive intervention, appropriately increase the law of asset fluctuations, and return the option to the market.Impact and lessons: Partially similar to LTCM + 2015 A-share stock market crash + 2020Q1 quantitative crisisWe don't think this incident is a nuclear bomb crisis like Lehman Brothers, but its impact may be used for reference:<ul><li>LTCM crisis;</li><li>A-share leveraged stock market crash in 2015;</li><li>Q1 2020 Quantitative Crisis。</li></ul>In 1998,LTCMThe combination is very complicated, and it is not the legendary gambling of several bonds. The general combination is as follows:Fixed Income Arbitrage:Short US swap spreadEuro Cross-SwapLong US mortgages hedgedSwap curve JapanItalian swap spreadFixed income VolatilityOn-the-run/off-the-run spreadJunk bond arbitrageEquity:Short equity volatility 空 SP500 and France CAC40 volatilityRisk arbitrageEquity relative value long Russian low valuation stocks/short high valuation stocksEmerging MarketsLong emerging market sovereigns Multi-Russia, Latin America Treasury BondLong emerging market currencyLong emerging market equity hedged to S&P 500 多 新 兴 市 场/空 SP500Other:Yield curve tradesShort high-tech stocksConvertible arbitrageIndex arbitrageWe no longer translate one by one, but only focus on the key points. On the surface, LTCM is a multi-strategy, as if there is no correlation between each strategy. But in fact, in the Asian financial crisis and the Russian financial crisis, risks began to link and strengthen each other:<ul><li>On August 1998, Russia defaulted on its debt, causing stocks and bonds, and foreign exchange to plummet, severely hitting the bond and equity exposure of LTCM emerging markets;</li><li>In panic, in order to avoid risks, people buy high-valued and high-liquidity stocks, sell low-valued and low-liquidity stocks, and more Russian low-valued stocks/short high-valued stocks match losses at both ends; For the month, LTCM lost $1.85 billion;</li><li>The Russian crisis led to the LTCM crisis, risks spread to Europe and the United States, stock markets plummeted, and volatility skyrocketed. LTCM sold a large number of vega on SP500 and CAC40, even accounting for 30% of the CAC40 options market, with huge losses superimposed liquidity risks.</li></ul>It's not just the internal risk resonance of the LTCM portfolio; LTCM's strategy also highly overlaps with other investment banks. In July 1998, the Salomon arbitrage unit that had previously incubated LTCM was liquidated, resulting in damage to the long positions of LTCM (Michael Lewis, New York Times, July 1998), which lost 10% that month.At that time, there were other investment banks who had strategies similar to LTCM, and some even predicted that LTCM would close their positions and close their positions first. Victor Haghani, a partner at LTCM, recalls: \"It was like there were people out there who had exactly the same position as us, except that they were three times bigger and they were liquidating them in a centralized way(it was as if there was someone out there with our exact portfolio,... only it was three times as large as ours, and they were liquidating all at once.)\"--Who can guarantee that the self-operated investment bank in this liquidation does not copy the combination of liquidation at all?Does this feel a lot like GS, MS concentrated on bulk transactions before the market opened last Friday?<img src=\"https://static.tigerbbs.com/e4a7f37fec95f81af5e1e33132fce1cc\" tg-width=\"1080\" tg-height=\"512\" referrerpolicy=\"no-referrer\">LTCM: SPX/MOEX Russia 1998 Financial CrisisQ1 2020 Quantitative Crisis: We explained last year that due to the financial crisis induced by the epidemic, the inter-bank repo market was deleveraged, and hedge funds, especially quantitative hedge funds, have released huge leverage through the repo market, which is rumored to be more than 5-10 times. Rising volatility and superimposed deleveraging have led to large-scale losses for hedge funds, especially quantitative funds-including risk parity funds.Ironically, at the end of 2019, just after a repo market liquidity dried up, many hedge funds suffered losses. So quickly they repeat their mistakes.More ironically,, in March 2020, the U.S. government vigorously intervened in the financial market, especiallyTrump interviews hedge fund giants on March 24 to discuss economic resumption（？ Do you need to discuss returning to work with a hedge fund manager?), the market began to rebound that day. The hedge funds participating in the meeting magically reversed their performance in 2020, turning from losses to profits. Among them, there were many short sellers in the first quarter and those who lost money by leverage in the first quarter.Therefore, we said in the previous paragraph that the liquidation of hedge funds' leveraged positions is, in the final analysis, the Federal Reserve kidnapped the world and released water to suppress the volatility of U.S. stocks and saved the curse laid by highly leveraged hedge funds.<img src=\"https://static.tigerbbs.com/a8efa93e8e1e6616561a7a7bd0bc3e8d\" tg-width=\"1080\" tg-height=\"611\" referrerpolicy=\"no-referrer\">Source: Longtao Global Macro<img src=\"https://static.tigerbbs.com/5add9b4c54748148bece67f1e9d5f747\" tg-width=\"750\" tg-height=\"4595\" referrerpolicy=\"no-referrer\">15-year leveraged bull and LTCM, A-shares and Hong Kong stocks plummeted this month, and the leveraged market was liquidated last weekThere are similarities-the two mainstream strategies in the market at that time were also highly overlapping, increasing systemic risks:<ul><li>In 2015, small-cap growth, technology, junk stocks and pseudo-market neutral buying small-cap/short-cap quantitative fund styles highly overlapped;</li><li>In 2021, the \"Mao Index\" represents the frothy blue-chip grouping, which highly overlaps with the style of some quantitative funds buying large-cap/shorting small-cap;</li><li>Also, the stock style that was liquidated last week as we mentioned earlier overlaps with ARK stock selection.</li></ul>So, the lesson<ol><li>From the perspective of risk management,Don't think that irrelevant assets or strategies in the market can be leveraged or superimposed on alpha-because it is likely that 1 you don't understand the underlying logic of the strategy, 2 even if they are not correlated in principle, when volatility amplifies or liquidity is exhausted, they are easily highly correlated。</li><li>Don't blindly use leverage because of the historically high Sharpe characteristics of assets or strategies, and don't blindly use high leverage because the underlying assets of multiple strategies or strategies are low beta。 Both investors and Prime Brokers are a warning.</li><li>The central bank and the government should maintain their independence, pay more attention to the interests of the lowest class of society, and don't be kidnapped by politicians and powerful people, and blindly rescue the market. In the end, it may be difficult to make peace with their desires, endless pits; Moreover, it aggravates the gap between the rich and the poor, laying hidden dangers for the economy, and leading to being forced to be kidnapped by powerful groups again. For example, in the United States, in 2020, the wealth of the Top 20 hedge funds and technology giants hit a record growth rate in history-when millions of poor people were threatened by diseases, and when they lost their jobs. Don't envy the U.S. government for giving money to the whole people, that is, they use seigniorage to ransack the wealth of the world, especially China, to beggar-thy-neighbors.</li></ol>Impact of the event:At first I thought this was a partial event, and it might not be a big problem, but when I saw more and more Prime Brokers suffering losses (also similar to LTCM, 17 counterparties lost 3-5 billion US dollars: LTCM itself estimated that its top 17 counterparties would have suffered various substantial losses-potentially between $3 billion and $5 billion in aggregate-and shared this information with the fourteen firms participating in the consortium. The firms in the consortium saw that their losses could be serious, with potential losses to some firms amount to $300 million to $500 million each. -Berkeley University), I think this may be just the tip of the iceberg.Major investment banks may implement stricter risk control in the future, which may cause other assets to gradually release volatility and restore their original appearance. We will carefully observe the continued transmission of risks。Note that this is only in the first quarter, but due to the rise in inflation expectations in the United States, the real inflation and water collection have not yet come, and so many monsters have already appeared in the market.If inflation continues to be high in the second quarter, I cannot rule out the possibility of greater storms. In the long term, there are U.S. tax increases, U.S. dollar return, antitrust, and a series of uncertainties waiting.Smart decision makers: ChinaLooking back at Chairman Guo's speech in early March, we have to admire the wisdom and foresight of Chinese policy makers-predicting the financial risks of the United States in advance and warning A shares, so that A shares were not implicated in this liquidity crisis.Guo Shuqing: The financial markets of developed countries in Europe and the United States are seriously contrary to the real economy, and they are worried about the bursting of foreign asset bubbles. China. com reported that the State Council Information Office held a press conference at 10 a.m. on March 2 (Tuesday). Secretary of the Party Committee of the People's Bank of China and Chairman of the China Banking and Insurance Regulatory Commission Guo Shuqing introduced the situation of promoting the high-quality development of the banking and insurance industries and answered reporters' questions. American International Market News Service: Compared with major western economies, China has taken the lead in normalizing policies, especially monetary policies. What kind of impact will the difference in policy pace between China and foreign countries have on China's policies and markets? Recently, there are some worries that capital inflows and asset bubbles may lead to imported inflation. Do you think there is any reason for these worries? Thank you. Shuqing Kwok:... Developed countries in Europe and the United States, countries with severe epidemics, and some developing countries have all adopted proactive fiscal policies and extremely loose monetary policies. We can all understand that, because after all, to stabilize the economy, macro policies must take these measures. But there may be more considerations in terms of intensity and consequences, because after all, there will be some side effects, and now these side effects have gradually appeared.First, the financial market. The financial markets of developed countries in Europe and America are running at a high level, which seriously runs counter to the real economy. The financial market should reflect the situation of the real economy. If it is too different from the real economy, problems will arise, and sooner or later it will be forced to adjust. Therefore, we are very worried about when the financial market, especially foreign financial asset bubbles, will burst。Second, after the increase of liquidity, because the economy has been highly globalized, China's economy is closely linked with that of other countries, and the amount of foreign capital flowing into China will increase significantly，... China's economy is still growing in recovery at present, our asset prices are very attractive, and the spread is relatively large compared with other countries, so the inflow of foreign capital is inevitable....On the one hand, it encourages the cross-border flow of capital elements and becomes more and more open. On the other hand, we can't cause too much volatility in the domestic financial market...--Source: China.com Looking back at this news, I think the people who manipulate the stock price and the sheep who are greedy to buy Baotuan funds should understand why this year's spring dream is so easily broken. Many of the so-called personal alpha are just a wave in the macro tide.On the other handThe Federal Reserve, due to being kidnapped by the interests of interest groups and political parties, has instead caused the U.S. stock market to reproduce the A-share speculation from 1998 to 2015, the backdoor listing of junk stocks, and the malicious long-term leverage market scandals and farce-deserve it。","source":"lsy1584520488112","collect":0,"html":"<!DOCTYPE html>\n<html>\n<head>\n<meta http-equiv=\"Content-Type\" content=\"text/html; charset=utf-8\" />\n<meta name=\"viewport\" content=\"width=device-width,initial-scale=1.0,minimum-scale=1.0,maximum-scale=1.0,user-scalable=no\"/>\n<meta name=\"format-detection\" content=\"telephone=no,email=no,address=no\" />\n<title>The causes and effects of the liquidation of hedge funds' leveraged market-the guilt lies with the central government?</title>\n<style type=\"text/css\">\na,abbr,acronym,address,applet,article,aside,audio,b,big,blockquote,body,canvas,caption,center,cite,code,dd,del,details,dfn,div,dl,dt,\nem,embed,fieldset,figcaption,figure,footer,form,h1,h2,h3,h4,h5,h6,header,hgroup,html,i,iframe,img,ins,kbd,label,legend,li,mark,menu,nav,\nobject,ol,output,p,pre,q,ruby,s,samp,section,small,span,strike,strong,sub,summary,sup,table,tbody,td,tfoot,th,thead,time,tr,tt,u,ul,var,video{ font:inherit;margin:0;padding:0;vertical-align:baseline;border:0 }\nbody{ font-size:16px; line-height:1.5; color:#999; background:transparent; }\n.wrapper{ overflow:hidden;word-break:break-all;padding:10px; }\nh1,h2{ font-weight:normal; line-height:1.35; margin-bottom:.6em; }\nh3,h4,h5,h6{ line-height:1.35; margin-bottom:1em; }\nh1{ font-size:24px; }\nh2{ font-size:20px; }\nh3{ font-size:18px; }\nh4{ font-size:16px; }\nh5{ font-size:14px; }\nh6{ font-size:12px; }\np,ul,ol,blockquote,dl,table{ margin:1.2em 0; }\nul,ol{ margin-left:2em; }\nul{ list-style:disc; }\nol{ list-style:decimal; }\nli,li p{ margin:10px 0;}\nimg{ max-width:100%;display:block;margin:0 auto 1em; }\nblockquote{ color:#B5B2B1; border-left:3px solid #aaa; padding:1em; }\nstrong,b{font-weight:bold;}\nem,i{font-style:italic;}\ntable{ width:100%;border-collapse:collapse;border-spacing:1px;margin:1em 0;font-size:.9em; }\nth,td{ padding:5px;text-align:left;border:1px solid #aaa; }\nth{ font-weight:bold;background:#5d5d5d; }\n.symbol-link{font-weight:bold;}\n/* header{ border-bottom:1px solid #494756; } */\n.title{ margin:0 0 8px;line-height:1.3;color:#ddd; }\n.meta {color:#5e5c6d;font-size:13px;margin:0 0 .5em; }\na{text-decoration:none; color:#2a4b87;}\n.meta .head { display: inline-block; overflow: hidden}\n.head .h-thumb { width: 30px; height: 30px; margin: 0; padding: 0; border-radius: 50%; float: left;}\n.head .h-content { margin: 0; padding: 0 0 0 9px; float: left;}\n.head .h-name {font-size: 13px; color: #eee; margin: 0;}\n.head .h-time {font-size: 12.5px; color: #7E829C; margin: 0;}\n.small {font-size: 12.5px; display: inline-block; transform: scale(0.9); -webkit-transform: scale(0.9); transform-origin: left; -webkit-transform-origin: left;}\n.smaller {font-size: 12.5px; display: inline-block; transform: scale(0.8); -webkit-transform: scale(0.8); transform-origin: left; -webkit-transform-origin: left;}\n.bt-text {font-size: 12px;margin: 1.5em 0 0 0}\n.bt-text p {margin: 0}\n</style>\n</head>\n<body>\n<div class=\"wrapper\">\n<header>\n<h2 class=\"title\">\nThe causes and effects of the liquidation of hedge funds' leveraged market-the guilt lies with the central government?\n</h2>\n<h4 class=\"meta\">\n\n泷韬全球宏观2021-03-30 10:17\n\n</h4>\n</header>\n<article>\nLiquidation: risk transmission pathWe are also the witnesses of this hedge fund liquidation incident.In the news, except for one Chinese concept media stock that we hold long positions (but there is a short pairing of US stock media), about 80% of the other Chinese concept stocks, education stocks, and media stocks have been shorted in advance, but we didn't get the \"final judgment day\" on Friday-because since the second quarter of last year, US stocks have seriously manipulated the market, become A-shares, and often have short squeezes. Therefore, for the sake of risk management, we are short sellers.We're not sure who liquidated the position, but it doesn't matter. Although the development of this event has its chance, it also has its inevitability. First try to analyze the causes and effects of this incident.We believeTwo main reasons：<ul><li>Rising inflation expectations have hit the best-performing technology and high-valuation sectors in U.S. stocks last year;</li><li>Biden inherited Trump's China policy and comprehensively surrounded the economy, military, and finance, including financial attacks on Chinese concept stocks.</li></ul>Risk transmission path：<ol><li>Inflation expectations → US Treasury yields rises → U.S. technology stocks, growth stocks fall</li><li>US Treasury yields rises → U.S. dollar rises → emerging markets fall → Hong Kong stock technology (group stocks) falls, Chinese concept stocks fall</li><li>U.S. legislation expels Chinese concept stocks → Hedge funds' positions in Chinese concept stocks fluctuate → margin call → U.S. stock media (VIAC, DISCA) was liquidated</li><li>The above stock styles overlap with ARK's positions, and ARK is lying down</li></ol>The most unlucky thing is ARK-itself due to rising inflation expectations, ARK's positions have been hit hard. The hedge funds that were killed this time were liquidated \"Black Swan\"Adding insult to injury to ARK-due to the high overlap of holding styles, lying down the gun. The ARKK fund fell another 2.5% on Monday.<img src=\"https://static.tigerbbs.com/7818c693c24d61b57b70faca5156b3ca\" tg-width=\"1080\" tg-height=\"607\" referrerpolicy=\"no-referrer\">Source: Longtao Global Macro<img src=\"https://static.tigerbbs.com/a40eb82d6d3f95802f5e8b958146e331\" tg-width=\"1080\" tg-height=\"507\" referrerpolicy=\"no-referrer\">TME/ARKK Resonance Source: Longtao Global Macro<img src=\"https://static.tigerbbs.com/5ec841250b6e29e5c0a28774b85415fe\" tg-width=\"1080\" tg-height=\"509\" referrerpolicy=\"no-referrer\">VIAC/TME Resonance Source: Longtao Global MacroTraceability: the doting of global central mothers → increase leverage and hold groupsWhy hedge funds dare to release leverage, tracing back to the source-that is, central banks of various countriesSince the release of water to rescue the market in 2008, the problem has never been solved, so it is necessary to continuously release water to suppress the volatility of assets-drinking poison to quench thirst, which is actually the central bank's put option, suppressing short-term volatility and leaving volatility to the future。But this behavior<ul><li>On the one hand, advocating asset bubbles and suppressing fluctuations is equivalent to increasing the Sharpe ratio of assets and attracting more people to accelerate their entry into the market, which is embodied in increasing leverage and hot fund sales;</li><li>On the other hand, it is seen through by people who have a deep understanding of the policy, or capital groups, the latterLeverage unscrupulously, plunder wealth from the future, the poor, and the whole society, widen the gap between the rich and the poor, and bring greater instability to the economy-the profit is your own, the loss is the state's, or kidnapping the whole society to bear the responsibility-and then kidnapping the central bank to release water again。</li></ul>In fact, it is the central bank that condoned the excessive speculation of capital, the 2007-2008 subprime debt crisis, the leverage bull in 2015, the US technology stock bubble in 2020, the junk stock bubble, and the current real estate bubble... It's all the same way. We're in the next paragraphQ1 2020 Quantitative CrisisThere is detailed elaboration.The doting of the central bank has encouraged hedge funds to take risks and manipulate stock prices by leveraging and holding groups. Liquidated by Goldman Sachs this timeVIAC is a group ticket leveraged by hedge funds, before the stock fell, there was a continuous short squeeze. Fortunately, the major shareholders promptly cut off the market maker's leeks and issued additional stocks, which optimized liquidity and led to enlarged volatility. The monster revealed its true form.<img src=\"https://static.tigerbbs.com/53ae48ec2db994291cd48250e2542ab5\" tg-width=\"1080\" tg-height=\"512\" referrerpolicy=\"no-referrer\">VIACIf we want to break this a vicious circle, the central bank can only reduce excessive intervention, appropriately increase the law of asset fluctuations, and return the option to the market.Impact and lessons: Partially similar to LTCM + 2015 A-share stock market crash + 2020Q1 quantitative crisisWe don't think this incident is a nuclear bomb crisis like Lehman Brothers, but its impact may be used for reference:<ul><li>LTCM crisis;</li><li>A-share leveraged stock market crash in 2015;</li><li>Q1 2020 Quantitative Crisis。</li></ul>In 1998,LTCMThe combination is very complicated, and it is not the legendary gambling of several bonds. The general combination is as follows:Fixed Income Arbitrage:Short US swap spreadEuro Cross-SwapLong US mortgages hedgedSwap curve JapanItalian swap spreadFixed income VolatilityOn-the-run/off-the-run spreadJunk bond arbitrageEquity:Short equity volatility 空 SP500 and France CAC40 volatilityRisk arbitrageEquity relative value long Russian low valuation stocks/short high valuation stocksEmerging MarketsLong emerging market sovereigns Multi-Russia, Latin America Treasury BondLong emerging market currencyLong emerging market equity hedged to S&P 500 多 新 兴 市 场/空 SP500Other:Yield curve tradesShort high-tech stocksConvertible arbitrageIndex arbitrageWe no longer translate one by one, but only focus on the key points. On the surface, LTCM is a multi-strategy, as if there is no correlation between each strategy. But in fact, in the Asian financial crisis and the Russian financial crisis, risks began to link and strengthen each other:<ul><li>On August 1998, Russia defaulted on its debt, causing stocks and bonds, and foreign exchange to plummet, severely hitting the bond and equity exposure of LTCM emerging markets;</li><li>In panic, in order to avoid risks, people buy high-valued and high-liquidity stocks, sell low-valued and low-liquidity stocks, and more Russian low-valued stocks/short high-valued stocks match losses at both ends; For the month, LTCM lost $1.85 billion;</li><li>The Russian crisis led to the LTCM crisis, risks spread to Europe and the United States, stock markets plummeted, and volatility skyrocketed. LTCM sold a large number of vega on SP500 and CAC40, even accounting for 30% of the CAC40 options market, with huge losses superimposed liquidity risks.</li></ul>It's not just the internal risk resonance of the LTCM portfolio; LTCM's strategy also highly overlaps with other investment banks. In July 1998, the Salomon arbitrage unit that had previously incubated LTCM was liquidated, resulting in damage to the long positions of LTCM (Michael Lewis, New York Times, July 1998), which lost 10% that month.At that time, there were other investment banks who had strategies similar to LTCM, and some even predicted that LTCM would close their positions and close their positions first. Victor Haghani, a partner at LTCM, recalls: \"It was like there were people out there who had exactly the same position as us, except that they were three times bigger and they were liquidating them in a centralized way(it was as if there was someone out there with our exact portfolio,... only it was three times as large as ours, and they were liquidating all at once.)\"--Who can guarantee that the self-operated investment bank in this liquidation does not copy the combination of liquidation at all?Does this feel a lot like GS, MS concentrated on bulk transactions before the market opened last Friday?<img src=\"https://static.tigerbbs.com/e4a7f37fec95f81af5e1e33132fce1cc\" tg-width=\"1080\" tg-height=\"512\" referrerpolicy=\"no-referrer\">LTCM: SPX/MOEX Russia 1998 Financial CrisisQ1 2020 Quantitative Crisis: We explained last year that due to the financial crisis induced by the epidemic, the inter-bank repo market was deleveraged, and hedge funds, especially quantitative hedge funds, have released huge leverage through the repo market, which is rumored to be more than 5-10 times. Rising volatility and superimposed deleveraging have led to large-scale losses for hedge funds, especially quantitative funds-including risk parity funds.Ironically, at the end of 2019, just after a repo market liquidity dried up, many hedge funds suffered losses. So quickly they repeat their mistakes.More ironically,, in March 2020, the U.S. government vigorously intervened in the financial market, especiallyTrump interviews hedge fund giants on March 24 to discuss economic resumption（？ Do you need to discuss returning to work with a hedge fund manager?), the market began to rebound that day. The hedge funds participating in the meeting magically reversed their performance in 2020, turning from losses to profits. Among them, there were many short sellers in the first quarter and those who lost money by leverage in the first quarter.Therefore, we said in the previous paragraph that the liquidation of hedge funds' leveraged positions is, in the final analysis, the Federal Reserve kidnapped the world and released water to suppress the volatility of U.S. stocks and saved the curse laid by highly leveraged hedge funds.<img src=\"https://static.tigerbbs.com/a8efa93e8e1e6616561a7a7bd0bc3e8d\" tg-width=\"1080\" tg-height=\"611\" referrerpolicy=\"no-referrer\">Source: Longtao Global Macro<img src=\"https://static.tigerbbs.com/5add9b4c54748148bece67f1e9d5f747\" tg-width=\"750\" tg-height=\"4595\" referrerpolicy=\"no-referrer\">15-year leveraged bull and LTCM, A-shares and Hong Kong stocks plummeted this month, and the leveraged market was liquidated last weekThere are similarities-the two mainstream strategies in the market at that time were also highly overlapping, increasing systemic risks:<ul><li>In 2015, small-cap growth, technology, junk stocks and pseudo-market neutral buying small-cap/short-cap quantitative fund styles highly overlapped;</li><li>In 2021, the \"Mao Index\" represents the frothy blue-chip grouping, which highly overlaps with the style of some quantitative funds buying large-cap/shorting small-cap;</li><li>Also, the stock style that was liquidated last week as we mentioned earlier overlaps with ARK stock selection.</li></ul>So, the lesson<ol><li>From the perspective of risk management,Don't think that irrelevant assets or strategies in the market can be leveraged or superimposed on alpha-because it is likely that 1 you don't understand the underlying logic of the strategy, 2 even if they are not correlated in principle, when volatility amplifies or liquidity is exhausted, they are easily highly correlated。</li><li>Don't blindly use leverage because of the historically high Sharpe characteristics of assets or strategies, and don't blindly use high leverage because the underlying assets of multiple strategies or strategies are low beta。 Both investors and Prime Brokers are a warning.</li><li>The central bank and the government should maintain their independence, pay more attention to the interests of the lowest class of society, and don't be kidnapped by politicians and powerful people, and blindly rescue the market. In the end, it may be difficult to make peace with their desires, endless pits; Moreover, it aggravates the gap between the rich and the poor, laying hidden dangers for the economy, and leading to being forced to be kidnapped by powerful groups again. For example, in the United States, in 2020, the wealth of the Top 20 hedge funds and technology giants hit a record growth rate in history-when millions of poor people were threatened by diseases, and when they lost their jobs. Don't envy the U.S. government for giving money to the whole people, that is, they use seigniorage to ransack the wealth of the world, especially China, to beggar-thy-neighbors.</li></ol>Impact of the event:At first I thought this was a partial event, and it might not be a big problem, but when I saw more and more Prime Brokers suffering losses (also similar to LTCM, 17 counterparties lost 3-5 billion US dollars: LTCM itself estimated that its top 17 counterparties would have suffered various substantial losses-potentially between $3 billion and $5 billion in aggregate-and shared this information with the fourteen firms participating in the consortium. The firms in the consortium saw that their losses could be serious, with potential losses to some firms amount to $300 million to $500 million each. -Berkeley University), I think this may be just the tip of the iceberg.Major investment banks may implement stricter risk control in the future, which may cause other assets to gradually release volatility and restore their original appearance. We will carefully observe the continued transmission of risks。Note that this is only in the first quarter, but due to the rise in inflation expectations in the United States, the real inflation and water collection have not yet come, and so many monsters have already appeared in the market.If inflation continues to be high in the second quarter, I cannot rule out the possibility of greater storms. In the long term, there are U.S. tax increases, U.S. dollar return, antitrust, and a series of uncertainties waiting.Smart decision makers: ChinaLooking back at Chairman Guo's speech in early March, we have to admire the wisdom and foresight of Chinese policy makers-predicting the financial risks of the United States in advance and warning A shares, so that A shares were not implicated in this liquidity crisis.Guo Shuqing: The financial markets of developed countries in Europe and the United States are seriously contrary to the real economy, and they are worried about the bursting of foreign asset bubbles. China. com reported that the State Council Information Office held a press conference at 10 a.m. on March 2 (Tuesday). Secretary of the Party Committee of the People's Bank of China and Chairman of the China Banking and Insurance Regulatory Commission Guo Shuqing introduced the situation of promoting the high-quality development of the banking and insurance industries and answered reporters' questions. American International Market News Service: Compared with major western economies, China has taken the lead in normalizing policies, especially monetary policies. What kind of impact will the difference in policy pace between China and foreign countries have on China's policies and markets? Recently, there are some worries that capital inflows and asset bubbles may lead to imported inflation. Do you think there is any reason for these worries? Thank you. Shuqing Kwok:... Developed countries in Europe and the United States, countries with severe epidemics, and some developing countries have all adopted proactive fiscal policies and extremely loose monetary policies. We can all understand that, because after all, to stabilize the economy, macro policies must take these measures. But there may be more considerations in terms of intensity and consequences, because after all, there will be some side effects, and now these side effects have gradually appeared.First, the financial market. The financial markets of developed countries in Europe and America are running at a high level, which seriously runs counter to the real economy. The financial market should reflect the situation of the real economy. If it is too different from the real economy, problems will arise, and sooner or later it will be forced to adjust. Therefore, we are very worried about when the financial market, especially foreign financial asset bubbles, will burst。Second, after the increase of liquidity, because the economy has been highly globalized, China's economy is closely linked with that of other countries, and the amount of foreign capital flowing into China will increase significantly，... China's economy is still growing in recovery at present, our asset prices are very attractive, and the spread is relatively large compared with other countries, so the inflow of foreign capital is inevitable....On the one hand, it encourages the cross-border flow of capital elements and becomes more and more open. On the other hand, we can't cause too much volatility in the domestic financial market...--Source: China.com Looking back at this news, I think the people who manipulate the stock price and the sheep who are greedy to buy Baotuan funds should understand why this year's spring dream is so easily broken. Many of the so-called personal alpha are just a wave in the macro tide.On the other handThe Federal Reserve, due to being kidnapped by the interests of interest groups and political parties, has instead caused the U.S. stock market to reproduce the A-share speculation from 1998 to 2015, the backdoor listing of junk stocks, and the malicious long-term leverage market scandals and farce-deserve it。\n<div class=\"bt-text\">\n\n\n source：<a href=\"http://mp.weixin.qq.com/s/cfsX_mUQZzNlIqOjW2SjEg\">泷韬全球宏观</a>\n\n\n</div>\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"https://static.tigerbbs.com/9b91d2081cb120cded92ed6dfb71e582","relate_stocks":{".SPX":"S&P 500 Index",".DJI":"道琼斯",".IXIC":"NASDAQ Composite"},"source_url":"http://mp.weixin.qq.com/s/cfsX_mUQZzNlIqOjW2SjEg","is_english":false,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1117103484","content_text":"爆仓：风险传导路径这次对冲基金爆仓事件，我们也算亲历者。新闻里说的被强平股票，除了有一支中概传媒股我们持有多头（但有美股传媒空头配对），其余中概股，教育股，传媒股的名单里，大概80% 我们都已经提前做空，只是没有拿到周五“最终审判日”那一天 —— 因为去年二季度开始，美股人为操纵市场严重，A股化，经常有逼空行为，所以为了风险管理，我们空头不敢长期持仓，只能不断按性价比调换。我们并不确定是谁爆仓，但无关紧要。该事件的发展虽然有其偶然性，但也有其必然性。先尝试分析一下这次事件的传导前因后果。我们认为两大主因：通胀预期上升，打击美股去年表现最好的科技，高估值板块；Biden继承Trump的对华政策，从经济、军事、金融全面包围，包括对中概股金融打击。风险传导路径：通胀预期 → 美债利率上涨 → 美股科技股、成长股下跌美债利率上涨 → 美元上涨 → 新兴市场下跌 → 港股科技（抱团股）下跌，中概股下跌美国立法驱逐中概股 → 对冲基金中概股持仓波动放大 → margin call → 美股传媒（VIAC, DISCA）被平仓以上股票风格和ARK持仓重叠，ARK躺枪最倒霉的是ARK —— 本身因为通胀预期上升，导致ARK持仓大受打击。这次平空杀出来的对冲基金被强平“黑天鹅”对ARK雪上加霜 —— 由于持仓风格高度重叠，躺枪。周一ARKK基金再跌2.5%。来源：泷韬全球宏观TME/ARKK共振 来源：泷韬全球宏观VIAC/TME共振 来源：泷韬全球宏观溯源：全球央妈的溺爱 → 加杠杆、抱团对冲基金为什么敢放杠杆，追根溯源 —— 就是各国央行从2008年放水救市，从来没有解决问题，所以需要不断地放水来压制资产的波动性 —— 饮鸩止渴，实际就是央行看跌期权，压制短期波动率，把波动留给未来。但这种行为一方面鼓吹资产泡沫，压制波动，等同于提高了资产的Sharpe比率，吸引更多的人加速入市，具体体现在加杠杆和基金热卖；另一方面被深层理解政策的人，或者资本集团看破，后者肆无忌惮地放杠杆，向未来，向穷人，向全社会掠夺财富，加大贫富差距，给经济带来个更大的不稳定性 —— 赚了是自己的，亏了是国家的，或绑架全社会承担 —— 进而可以绑架央行再次放水。实际上，是央行纵容了资本的过度投机行为，2007-2008次债危机，2015年杠杆牛，2020年美股科技股泡沫，垃圾股泡沫，当前的地产泡沫... 都是一个路数。我们在下一段2020年1季度量化危机有详细阐述。央行的溺爱，鼓励了对冲基金铤而走险，通过放杠杆和抱团操纵股价。这次被高盛清盘的VIAC就是一只被对冲基金加了杠杆的抱团票，在该股下跌前，连续逼空。幸亏大股东及时割庄家韭菜，增发股票，优化了流动性，导致波动率放大。妖怪现出原形。VIAC如果想打破这种恶性循环，央行只有减少过度干预，适当加大资产波动规律，把选择权还给市场。影响和教训：局部类似 LTCM + 2015A股股灾 + 2020Q1 量化危机我们并不认为该事件是雷曼兄弟那种核弹级危机，但是其影响也许可以借鉴:LTCM危机；2015年A股杠杆盘股灾；2020年1季度量化危机。1998年，LTCM的组合非常复杂，并不是传说里的几个债券对赌，大致组合如下：Fixed Income Arbitrage：Short US swap spreadEuro Cross-SwapLong US mortgages hedgedSwap curve JapanItalian swap spreadFixed income VolatilityOn-the-run/off-the-run spreadJunk bond arbitrageEquity：Short equity volatility 空SP500和法国CAC40波动率Risk arbitrageEquity relative value 多俄罗斯低估值股票/空高估值股票Emerging Markets:Long emerging market sovereigns多俄罗斯，拉美国债Long emerging market currencyLong emerging market equity hedged to S&P 500 多新兴市场/空SP500其它：Yield curve tradesShort high-tech stocksConvertible arbitrageIndex arbitrage我们不再一一翻译，只抽重点。表面看起来，LTCM是多策略，好像各个策略间没有相关性。但实际，在亚洲金融危机和俄罗斯金融危机里，风险开始互相联动和强化：1998.8，俄罗斯债务违约，导致股票和债券、外汇暴跌，严重打击了LTCM新兴市场的债券和股票敞口；恐慌里，人们为了避险，买高估值高流动性的股票，卖低估值低流动性的股票，多俄罗斯低估值股票/空高估值股票 配对两头亏损；当月，LTCM亏损18.5亿美元；俄罗斯危机导致LTCM危机，风险传入欧美，股市大跌，波动率暴涨。LTCM在SP500和CAC40上卖出了大量的vega, 甚至占到CAC40期权市场的30%，巨亏叠加流动性风险。不只是LTCM组合内部风险共振；LTCM的策略还高度和其他投行重叠。1998.7，之前孵化LTCM的Salomon套利部门清盘，导致LTCM的多头受损（Michael Lewis，New York Times，July 1998）, 当月亏损10%。当时，还有其他投行自营盘也有类似LTCM的策略，甚至有人预判到LTCM要平仓，抢先平仓。LTCM的合伙人Victor Haghani回忆：\"就好像外面有人和我们有完全同样的持仓，除了他们规模比我们大三倍，而且他们集中清盘（it was as if there was someone out there with our exact portfolio,... only it was three times as large as ours, and they were liquidating all at once.）\" —— 谁能保证这次清盘的投行自营盘，一点没有复制爆仓的组合？这是不是觉得很像GS, MS在上周五市场开盘前就集中大宗交易倒货？LTCM: SPX/MOEX 俄罗斯1998金融危机2020年1季度量化危机：我们在去年已经解释过，由于疫情诱发金融危机，导致银行间回购市场去杠杆，而对冲基金，尤其量化对冲基金通过回购市场放了巨大的杠杆，坊间传闻5-10倍以上。波动率上升，叠加去杠杆，导致对冲基金，尤其量化，大面积亏损 —— 这其中包括风险平价基金。讽刺的是，在2019年底，刚刚经过一次回购市场流动性枯竭，导致不少对冲基金亏损。这么快他们重新犯错。更加讽刺的是，2020年3月，美国政府大力介入金融市场，，尤其Trump在3.24约谈对冲基金巨头探讨经济复工（？需要和对冲基金经理探讨复工吗？），当天市场开始一骑绝尘的大反弹，参会的对冲基金在2020年业绩神奇反转，从亏损转盈利，其中不乏一季度的空头和一季度放杠杆亏损的人。所以我们在上一段说，这次对冲基金杠杆盘爆仓，归根结底还是美联储绑架全世界放水压制了美股波动率，救了高杠杆对冲基金埋下的祸根。来源：泷韬全球宏观15年杠杆牛和LTCM, 本月A股、港股抱团股暴跌，上周杠杆盘清盘也有类似之处 —— 当时市场上2大主流策略也高度重叠，增加了系统性风险：2015年，小盘成长，科技，垃圾股 和 伪市场中性的买小盘/空大盘量化基金风格高度重叠；2021年，“茅指数”为代表泡沫化蓝筹抱团，和部分量化基金买大盘/空小盘风格高度重叠；还有我们前文说的上周被清盘的股票风格和ARK选股重叠。所以，教训从风险管理的角度，不要以为市场里不相关的资产或策略，就可以上杠杆，或叠加alpha —— 因为很可能 1 你不懂策略底层的逻辑，2 即使原理上不相关，在波动率放大或流动性枯竭的时候，它们很容易高度相关。不要以为资产或策略的历史上高Sharpe特征，就盲目上杠杆，不要以为多策略底层资产或策略间低beta，就盲目上高杠杆。无论投资者还是Prime Brokers，都引以为戒。央行和政府要保持其独立性，多关心社会最底层的利益，不要被政客、权贵绑架，盲目救市，最后可能是欲壑难平，补不完的坑；而且加剧贫富差距分化，给经济埋下隐患，导致再次被迫被权贵集团绑架。比如美国2020年，Top20对冲基金和科技巨头们的财富创史上增速记录 —— 在数以百万计的穷人被疾病威胁健康和生命，在他们失去工作的时候。别羡慕美国政府给全民发钱，那是他们用铸币税洗劫全球，尤其中国的财富来以邻为壑。事件影响：开始我认为这是个局部事件，可能问题不大，但是当我看到越来越多的Prime Brokers中招亏损的时候（也是和LTCM相似处，导致17家交易对手亏损30-50亿美金：LTCM itself estimated that its top 17 counterparties would have suffered various substantial losses — potentially between $3 billion and $5 billion in aggregate — and shared this information with the fourteen firms participating in the consortium. The firms in the consortium saw that their losses could be serious, with potential losses to some firms amounting to $300 million to $500 million each. —— Berkeley University），我想，这也许只是冰山一角。各大投行也许未来会执行更严格的风控，也许会导致其他资产逐步释放波动率，恢复本来的面目。我们将会小心谨慎观察风险的继续传导。注意，这还只是在1季度，只是由于美国通胀预期上涨，真的通胀和收水还没来，市场里已经这么多妖孽现原形。假如2季度通胀继续高企，我不能排除更大风浪的可能性。远期还有美国加税，美元回流，反垄断，一系列不确定性等待。聪明的决策者：中国现在回头看3月初郭主席的讲话，我们不得不佩服中国决策者的智慧和远见—— 提前预判断美国金融风险，预警A股，使得A股没有被牵连到这次流动性危机中。郭树清：欧美发达国家金融市场与实体经济严重背道而驰，担心国外资产泡沫破裂中国网报道，国务院新闻办公室3月2日（星期二）上午10时举行新闻发布会，人民银行党委书记、中国银保监会主席郭树清介绍推动银行业保险业高质量发展有关情况，并答记者问。美国国际市场新闻社:对比西方的主要经济体，中国已经率先开始政策正常化，尤其是货币政策，请问中外的政策步调差异会对中国的政策和市场产生一些什么样的影响？最近有些担心说，资本流入和资产泡沫有可能导致输入性的通货膨胀，您觉得这些担忧有没有理由？谢谢。郭树清:... 欧美发达国家、疫情严重的国家和一些发展中国家，都采取了积极的财政政策和极度宽松的货币政策，我们都能理解，因为毕竟要把经济稳下来，宏观政策必须采取这些措施。但是力度上、后果上可能要考虑的更多一些，因为毕竟还会产生一些副作用，现在看这些副作用已经逐步显现。一是金融市场，欧美发达国家金融市场高位运行，和实体经济严重背道而驰。金融市场应该反映实体经济的状况，如果和实体经济差别太大，就会产生问题，迟早会被迫调整，所以我们很担心金融市场，特别国外金融资产泡沫哪一天会破裂。二是流动性增加以后，由于经济已经高度全球化，中国的经济和其他国家的经济密切相连，外国资本流入中国数量会明显增加，... 中国经济目前还是恢复性增长，我们的资产价格有很大的吸引力，和其他国家相比利差比较大，外国资本流入是必然的。... 一方面鼓励资本要素跨境流动，越来越开放。另一方面，我们又不能造成国内金融市场太大的波动...—— 来源：中国网回看这则新闻，我想抱团操纵股价的人和贪婪买抱团基金的羊群们，应该明白为什么今年春梦这么容易碎的原因。所谓个人的alpha，很多不过是宏观大潮里的一朵浪花。反观美联储，由于被利益集团和政党利益绑架，反而让美股重现了1998-2015年的A股做庄炒作，垃圾股借壳上市，杠杆盘恶意做多等丑闻闹剧 —— 咎由自取。","news_type":1,"symbols_score_info":{".IXIC":0.9,".DJI":0.9,".SPX":0.9}},"isVote":1,"tweetType":1,"viewCount":3859,"commentLimit":10,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"symbols":[],"verified":2,"subType":0,"readableState":1,"langContent":"EN","currentLanguage":"EN","warmUpFlag":false,"orderFlag":false,"shareable":true,"causeOfNotShareable":"","featuresForAnalytics":[],"commentAndTweetFlag":false,"andRepostAutoSelectedFlag":false,"upFlag":false,"length":4,"xxTargetLangEnum":"ORIG"},"commentList":[],"hasMoreComment":false,"orderType":2}