If there is anything today's violent reversal in the market demonstrated, where this morning's inexplicable levitation (well, maybe explicable now that "terrible news is great news" again) was smashed with stocks plummeting once Trump tweeted that the China trade war ceasefire is dead, and the US would impose "a small additional Tariff of 10% on the remaining 300 Billion Dollars of goods and products coming from China into our Country", it is that algos, quants, and systematic funds remain the marginal price setters of the US stock market.
今日上午，美股一路高歌，直到川普总统一条推特将之终结。推特说到，与中国的贸易战停火已经腹死胎中，美国将要对中国剩余的出口到美国的3000亿美元货物征收“一个小小的10%的关税”，股市随之狂泻。这种暴力反转说明，算法、宽客和系统化基金仍然是美国股市的基础定价者。
Indeed, as Bloomberg's Andrew Cinko said when commenting on today's early morning levitation, it "looks more like it's being driven by ETF flows or perhaps quant- or multi-strategy firms. That's money that tends to go out as quickly as it came in, leaving the S&P vulnerable to a reversal as the bid dissipates." Ironically, just minutes later we got definitive proof of just how fast the passive, or algo money, flees in the milliseconds following Trump's tweet.
实际上，正如彭博社的安德鲁·辛科在评论今天上午股市飘升时所说的那样，“看起来更像是由ETF流动或可能是量化或多策略公司所驱动。这种资金来的快去的也快， 随着出价的消散，标准普尔指数很容易出现逆转。“ 具有讽刺意味的是，几分钟之后，我们得到了明确的证据，证明在特朗普的推文之后，被动或算法资金在几毫秒内跑的有多快。
So with the question of who did all the buying and subsequent selling today laid to rest, it makes further sense to ask what happens next, now that the ETFs, quants and generally math PhDs are in charge.
所以，今天谁做了大量买入和大量卖出的问题解释清楚了后，有必要再问下一步会发生什么，现在的ETF和宽客基金一般都是数学博士在掌舵。
Well, according to Nomura's quant insight team led by Masanari Takada, the answer is nothing good.
嗯，根据野村高通Masanari领导的野村定量洞察团队的说法，答案并不好。
As Takada writes in his FOMC post-mortem analysis, in his baseline scenario, he expects selling of equities by CTAs and other such market participants "to not go beyond the clearing out of long positions; we would not expect these investors to start staking out new short positions unless the US economy were to suffer an obvious loss of momentum." Which is precisely what Trump's restart of the US-China trade war virtually assures.
正如高田在其FOMC的验尸分析中（8月31日FOMC会议结束）所写，在他的基线情景中，他预计CTA和其他此类市场参与者出售股票“不会超出多头头寸的清算;我们不认为这些投资者会增加新的空头头寸，除非美国经济明显失去动力。“ 这正是川普重启美中贸易战的事实所证实的。
Looking over the positioning of various speculative traders, Nomura says that it appears that the selling of US equities has been led by trend-following algos (CTAs, risk-parity funds). For the moment, then, the selling thus appears to be mostly technically driven.
看看各种投机交易商的定位，野村证券表示，美国股市的抛售似乎是由追随趋势的算法（CTA，风险平价基金）引领的。 因此，目前，股票的卖出似乎主要是技术驱动的。
As the Nomura quant notes, "trend-following CTAs seem to be prioritizing exits from long positions in US equity futures. Having recently built up sizable net long positions in both S&P 500 futures and NASDAQ 100 futures, CTAs are now paring those positions in response to uptick in volatility and shift in market tone that followed the FOMC meeting."
正如野村证券指数所说，“趋势跟踪CTA似乎优先考虑美国股票期货多头头寸的退出。最近在标准普尔500指数期货和纳斯达克100指数期货中建立了相当大的净多头头寸。由于在FOMC会议之后，波动性和市场基调的变化都在上升，CTA现在正在削减这些头寸作为回应。“
However, the selling by CTAs is as of yet just a matter of profit-taking. According to Takada, the average break-even line for CTAs' net long position in S&P 500 futures is at around 2,960, below which the selling will accelerate in linear fashion. Which is precisely where the S&P is trading as of this moment.
然而，CTA的销售仅仅是获利了结的问题。 高田表示，标准普尔500指数期货中CTA净多头头寸的平均收支平衡线约为2,960，低于此线，卖盘将以线性方式加速。 这正是标准普尔目前正在交易的地方。
Furthermore, the net long position itself is only about 15% smaller now than it was at the most recent peak on 16 July. Similarly, CTAs' net long position in NASDAQ 100 futures breaks even at around 7,220 on average, and the position has shrunk by only around 11% since the 11 July peak.
此外，净多头头寸本身仅比7月16日的最近高点小约15％。 同样，CTA在纳斯达克100期货的净多头头寸平均在7,220点左右突破，而且自7月11日的峰值以来，该位置仅萎缩了约11％。
Risk-parity funds are mostly waiting out the rise in volatility in DM equity markets, although they are slightly more inclined to sell than to buy. However, if stock market volatility were to rise in a more pronounced fashion in August, Nomura is certain that they would likely take urgent steps to rebalance their portfolios by selling equities and buying bonds.
风险平价基金主要是等待DM股票市场波动的上升，尽管它们更倾向于卖出而不是买入。 然而，如果股市波动在8月份以更加明显的方式上升，野村证实他们可能会采取紧急措施，通过出售股票和购买债券来重新平衡他们的投资组合。
Meanwhile, when looking at global macro hedge funds, as of August 1st, it still seems possible that the steep drop in US equities will turn out to be just a matter of temporary undershooting, but what happens over the next two or three days should bring some clarity. Of particular importance is whether global macro hedge funds and other fundamentals-oriented investors pile in to buy a perceived dip in US equities over the next few trading days.
与此同时，截至8月1日，在关注全球宏观对冲基金时，美国股市的大幅下跌似乎可能只是暂时的下跌，但未来两三天会发生什么应该带来 一些清晰度。 特别重要的是，全球宏观对冲基金和其他基本面因素投资者是否会在未来几个交易日内购买美国股市的下跌。
While fundamentals-focused global macro hedge funds seem to still be bullish on US equities, their swing to bullishness in July can be explained by a combination of the dovish turn that the Fed took in June and the improvement observed in the US economic surprise index.
虽然基本面集中的全球宏观对冲基金似乎仍然看好美国股市，但7月份看涨的趋势可以通过美联储6月转向的温和转向和美国经济意外指数的改善来解释。
Yet, despite looking bullish on US equities now, macro-oriented market participants that had latched onto the dovish tone that the Fed struck in June may take the July FOMC meeting outcome as a reason to become less optimistic about US equities. If the market loses some of the buying support it has been getting from macro-oriented funds and longer-term investors, systematic selling pressure could gain the upper hand for a while. In that event, the US stock market as well as the global stock market could, true to form, be faced with the customary August volatility shock.
然而，尽管现在看好美国股市，但宏观导向的市场参与者已经锁定美联储在6月份达成的温和基调，可能会将7月FOMC会议结果作为对美国股市变得不那么乐观的理由。 如果市场失去一些来自宏观基金和长期投资者的买盘支撑，系统性抛售压力可能会暂时占据上风。 在这种情况下，美国股票市场以及全球股票市场可能会面临8月惯常的波动性冲击。
So once the stops are taken out, Nomura then sees the S&P 500 being taken down into the 2,850-2,900 range. Meanwhile, Takada also warns that "the US rates market may well start moving in a way that pressures the Fed to cut policy rates again in September", a way such as this for example, which saw the 2Y yield plummet after the Trump tweet...
因此，一旦止损被取消，野村证券随后将标准普尔500指数下调至2,850-2,900区间。 与此同时，高田还警告说，“美国利率市场可能会开始以一种压力促使美联储在9月再次降低政策利率的方式”，例如这种方式，在特朗普推文之后，2Y收益率暴跌。..
... lending indirect support to the US stock market.
And here comes the punchline, because according to the Nomura quants, "if the latter half of August brings increasingly clear signs that the pick-up in US economic indicators is running out of steam, there could be a global run of stock-selling by CTAs and fundamentals-oriented investors alike." In that event, Takada believes there would be a plausible tail risk of US stocks sinking into crisis-driven market conditions in September comparable to those that prevailed at the time of the Lehman crisis. If this were to happen "the Fed, having fallen behind the curve, would be dragged into making an emergency rate cut of at least 50bp."
根据野村证券的说法，“如果8月下半月带来越来越明显的迹象表明美国经济指标的回升已经失去动力，那么全球股票卖盘可能会出现以下情况。 CTA和面向基本面的投资者都一样。“ 在这种情况下，高田认为，美国股市9月份陷入危机驱动的市场状况的风险可能与雷曼兄弟危机时的情况相当。 如果发生这种情况“美联储已经落后于曲线，将被拖入至少50个基点的紧急降息。”
Some more details on how this August risk off/September crisis scenario would look like:
关于8月风险/ 9月危机情景如何看似的更多细节：
Fluctuations in CTAs' net long position in S&P 500 futures tend to be restricted to a range that is consistent with US economic growth momentum. Although CTAs' trades are driven by technical considerations in the short term, it appears that they seldom stray far beyond the constraints imposed by fundamentals over the longer term. The US ISM Manufacturing PMI for July came in just below expectations, but because it held near the same level in August, Nomura estimates that CTAs' net position in S&P 500 futures (indexed) should fall in a range with a lower end of 0.09, still in net long territory. In other words, selling of equities by CTAs will go no further than the complete liquidation of outstanding longs, provided that there is no clear downward break in US economic growth momentum.
CTA在标准普尔500指数期货中的净多头头寸的波动往往被限制在与美国经济增长势头一致的范围内。 尽管CTA的交易在短期内受到技术考虑的推动，但似乎它们很少远远超出基本面在长期内施加的限制。 7月美国ISM制造业采购经理人指数略低于预期，但由于8月份保持在同一水平附近，野村估计CTA在标准普尔500指数期货（指数）中的净头寸应该在0.09的下限范围内， 仍然在净长的领土。 换句话说，如果美国经济增长势头没有明显下滑，那么通过CTA出售股票将不会比未完成多头的完全清算更进一步。
Incidentally, just prior to the FOMC meeting, CTAs had been leaning towards closing out long positions in 10yr UST futures (TY). However, the average cost of CTAs' recently accumulated longs corresponds to a 10yr UST yield of around 2.06%, so we yields below this would not be conducive to such selling.
顺便提一下，在FOMC会议召开之前，CTA一直倾向于关闭10年期UST期货（TY）的多头头寸。 然而，CTA最近累计多头的平均成本相当于10年期UST收益率约为2.06％，因此我们低于此收益率将不利于此类抛售。
So having gone over NOmura's baseline forecast scenario, Takada lays out the risk scenario, which in the aftermath of Trump's tweet, now appears will come true as any hope of a trade deal between the US and China has been crushed. According to the Nomura quants, if the latter half of August brings increasingly clear signs that the pick-up in US economic indicators is running out of steam, fundamentals-oriented investors could well decide to join CTAs in selling off stocks. In this scenario, Nomura warns that "the possibility of US stocks sinking into crisis-driven market conditions in September comparable to those that prevailed at the time of the Lehman crisis stands as a plausible tail risk."
因此，考虑到NOmura的基线预测情景，Takada列出了风险情景，在特朗普的推文之后，现在看来将会实现，因为美中贸易协议的任何希望都已被粉碎。 根据野村证券的数据，如果8月下旬出现越来越明显的迹象表明美国经济指标的回升已经失去动力，基本面导向的投资者很可能决定加入CTA以抛售股票。 在这种情况下，野村证实“美国股市在9月份陷入危机驱动的市场状况的可能性与雷曼兄弟危机时的情况相当，这可能是一种看似合理的尾部风险。”
Nomura concludes by noting that if this were to happen, the Fed, having fallen behind the curve, would most likely be dragged into making an emergency rate cut of at least 50bp.
野村最后指出，如果发生这种情况，美联储已经落后于曲线，很可能会被迫进行至少50个基点的紧急降息。
The problem is that - just like during the financial crisis of 2008 - by then it would be too late to stop what may soon be the biggest crash in capital markets history. 问题在于 - 就像在2008年的金融危机期间那样 - 到那时为止，阻止资本市场历史上最严重的崩盘将为时已晚。
今日上午，美股一路高歌，直到川普总统一条推特将之终结。推特说到，与中国的贸易战停火已经腹死胎中，美国将要对中国剩余的出口到美国的3000亿美元货物征收“一个小小的10%的关税”，股市随之狂泻。这种暴力反转说明，算法、宽客和系统化基金仍然是美国股市的基础定价者。
Indeed, as Bloomberg's Andrew Cinko said when commenting on today's early morning levitation, it "looks more like it's being driven by ETF flows or perhaps quant- or multi-strategy firms. That's money that tends to go out as quickly as it came in, leaving the S&P vulnerable to a reversal as the bid dissipates." Ironically, just minutes later we got definitive proof of just how fast the passive, or algo money, flees in the milliseconds following Trump's tweet.
实际上，正如彭博社的安德鲁·辛科在评论今天上午股市飘升时所说的那样，“看起来更像是由ETF流动或可能是量化或多策略公司所驱动。这种资金来的快去的也快， 随着出价的消散，标准普尔指数很容易出现逆转。“ 具有讽刺意味的是，几分钟之后，我们得到了明确的证据，证明在特朗普的推文之后，被动或算法资金在几毫秒内跑的有多快。
So with the question of who did all the buying and subsequent selling today laid to rest, it makes further sense to ask what happens next, now that the ETFs, quants and generally math PhDs are in charge.
所以，今天谁做了大量买入和大量卖出的问题解释清楚了后，有必要再问下一步会发生什么，现在的ETF和宽客基金一般都是数学博士在掌舵。
Well, according to Nomura's quant insight team led by Masanari Takada, the answer is nothing good.
嗯，根据野村高通Masanari领导的野村定量洞察团队的说法，答案并不好。
As Takada writes in his FOMC post-mortem analysis, in his baseline scenario, he expects selling of equities by CTAs and other such market participants "to not go beyond the clearing out of long positions; we would not expect these investors to start staking out new short positions unless the US economy were to suffer an obvious loss of momentum." Which is precisely what Trump's restart of the US-China trade war virtually assures.
正如高田在其FOMC的验尸分析中（8月31日FOMC会议结束）所写，在他的基线情景中，他预计CTA和其他此类市场参与者出售股票“不会超出多头头寸的清算;我们不认为这些投资者会增加新的空头头寸，除非美国经济明显失去动力。“ 这正是川普重启美中贸易战的事实所证实的。
Looking over the positioning of various speculative traders, Nomura says that it appears that the selling of US equities has been led by trend-following algos (CTAs, risk-parity funds). For the moment, then, the selling thus appears to be mostly technically driven.
看看各种投机交易商的定位，野村证券表示，美国股市的抛售似乎是由追随趋势的算法（CTA，风险平价基金）引领的。 因此，目前，股票的卖出似乎主要是技术驱动的。
As the Nomura quant notes, "trend-following CTAs seem to be prioritizing exits from long positions in US equity futures. Having recently built up sizable net long positions in both S&P 500 futures and NASDAQ 100 futures, CTAs are now paring those positions in response to uptick in volatility and shift in market tone that followed the FOMC meeting."
正如野村证券指数所说，“趋势跟踪CTA似乎优先考虑美国股票期货多头头寸的退出。最近在标准普尔500指数期货和纳斯达克100指数期货中建立了相当大的净多头头寸。由于在FOMC会议之后，波动性和市场基调的变化都在上升，CTA现在正在削减这些头寸作为回应。“
However, the selling by CTAs is as of yet just a matter of profit-taking. According to Takada, the average break-even line for CTAs' net long position in S&P 500 futures is at around 2,960, below which the selling will accelerate in linear fashion. Which is precisely where the S&P is trading as of this moment.
然而，CTA的销售仅仅是获利了结的问题。 高田表示，标准普尔500指数期货中CTA净多头头寸的平均收支平衡线约为2,960，低于此线，卖盘将以线性方式加速。 这正是标准普尔目前正在交易的地方。
Furthermore, the net long position itself is only about 15% smaller now than it was at the most recent peak on 16 July. Similarly, CTAs' net long position in NASDAQ 100 futures breaks even at around 7,220 on average, and the position has shrunk by only around 11% since the 11 July peak.
此外，净多头头寸本身仅比7月16日的最近高点小约15％。 同样，CTA在纳斯达克100期货的净多头头寸平均在7,220点左右突破，而且自7月11日的峰值以来，该位置仅萎缩了约11％。
Risk-parity funds are mostly waiting out the rise in volatility in DM equity markets, although they are slightly more inclined to sell than to buy. However, if stock market volatility were to rise in a more pronounced fashion in August, Nomura is certain that they would likely take urgent steps to rebalance their portfolios by selling equities and buying bonds.
风险平价基金主要是等待DM股票市场波动的上升，尽管它们更倾向于卖出而不是买入。 然而，如果股市波动在8月份以更加明显的方式上升，野村证实他们可能会采取紧急措施，通过出售股票和购买债券来重新平衡他们的投资组合。
Meanwhile, when looking at global macro hedge funds, as of August 1st, it still seems possible that the steep drop in US equities will turn out to be just a matter of temporary undershooting, but what happens over the next two or three days should bring some clarity. Of particular importance is whether global macro hedge funds and other fundamentals-oriented investors pile in to buy a perceived dip in US equities over the next few trading days.
与此同时，截至8月1日，在关注全球宏观对冲基金时，美国股市的大幅下跌似乎可能只是暂时的下跌，但未来两三天会发生什么应该带来 一些清晰度。 特别重要的是，全球宏观对冲基金和其他基本面因素投资者是否会在未来几个交易日内购买美国股市的下跌。
While fundamentals-focused global macro hedge funds seem to still be bullish on US equities, their swing to bullishness in July can be explained by a combination of the dovish turn that the Fed took in June and the improvement observed in the US economic surprise index.
虽然基本面集中的全球宏观对冲基金似乎仍然看好美国股市，但7月份看涨的趋势可以通过美联储6月转向的温和转向和美国经济意外指数的改善来解释。
Yet, despite looking bullish on US equities now, macro-oriented market participants that had latched onto the dovish tone that the Fed struck in June may take the July FOMC meeting outcome as a reason to become less optimistic about US equities. If the market loses some of the buying support it has been getting from macro-oriented funds and longer-term investors, systematic selling pressure could gain the upper hand for a while. In that event, the US stock market as well as the global stock market could, true to form, be faced with the customary August volatility shock.
然而，尽管现在看好美国股市，但宏观导向的市场参与者已经锁定美联储在6月份达成的温和基调，可能会将7月FOMC会议结果作为对美国股市变得不那么乐观的理由。 如果市场失去一些来自宏观基金和长期投资者的买盘支撑，系统性抛售压力可能会暂时占据上风。 在这种情况下，美国股票市场以及全球股票市场可能会面临8月惯常的波动性冲击。
So once the stops are taken out, Nomura then sees the S&P 500 being taken down into the 2,850-2,900 range. Meanwhile, Takada also warns that "the US rates market may well start moving in a way that pressures the Fed to cut policy rates again in September", a way such as this for example, which saw the 2Y yield plummet after the Trump tweet...
因此，一旦止损被取消，野村证券随后将标准普尔500指数下调至2,850-2,900区间。 与此同时，高田还警告说，“美国利率市场可能会开始以一种压力促使美联储在9月再次降低政策利率的方式”，例如这种方式，在特朗普推文之后，2Y收益率暴跌。..
... lending indirect support to the US stock market.
And here comes the punchline, because according to the Nomura quants, "if the latter half of August brings increasingly clear signs that the pick-up in US economic indicators is running out of steam, there could be a global run of stock-selling by CTAs and fundamentals-oriented investors alike." In that event, Takada believes there would be a plausible tail risk of US stocks sinking into crisis-driven market conditions in September comparable to those that prevailed at the time of the Lehman crisis. If this were to happen "the Fed, having fallen behind the curve, would be dragged into making an emergency rate cut of at least 50bp."
根据野村证券的说法，“如果8月下半月带来越来越明显的迹象表明美国经济指标的回升已经失去动力，那么全球股票卖盘可能会出现以下情况。 CTA和面向基本面的投资者都一样。“ 在这种情况下，高田认为，美国股市9月份陷入危机驱动的市场状况的风险可能与雷曼兄弟危机时的情况相当。 如果发生这种情况“美联储已经落后于曲线，将被拖入至少50个基点的紧急降息。”
Some more details on how this August risk off/September crisis scenario would look like:
关于8月风险/ 9月危机情景如何看似的更多细节：
Fluctuations in CTAs' net long position in S&P 500 futures tend to be restricted to a range that is consistent with US economic growth momentum. Although CTAs' trades are driven by technical considerations in the short term, it appears that they seldom stray far beyond the constraints imposed by fundamentals over the longer term. The US ISM Manufacturing PMI for July came in just below expectations, but because it held near the same level in August, Nomura estimates that CTAs' net position in S&P 500 futures (indexed) should fall in a range with a lower end of 0.09, still in net long territory. In other words, selling of equities by CTAs will go no further than the complete liquidation of outstanding longs, provided that there is no clear downward break in US economic growth momentum.
CTA在标准普尔500指数期货中的净多头头寸的波动往往被限制在与美国经济增长势头一致的范围内。 尽管CTA的交易在短期内受到技术考虑的推动，但似乎它们很少远远超出基本面在长期内施加的限制。 7月美国ISM制造业采购经理人指数略低于预期，但由于8月份保持在同一水平附近，野村估计CTA在标准普尔500指数期货（指数）中的净头寸应该在0.09的下限范围内， 仍然在净长的领土。 换句话说，如果美国经济增长势头没有明显下滑，那么通过CTA出售股票将不会比未完成多头的完全清算更进一步。
Incidentally, just prior to the FOMC meeting, CTAs had been leaning towards closing out long positions in 10yr UST futures (TY). However, the average cost of CTAs' recently accumulated longs corresponds to a 10yr UST yield of around 2.06%, so we yields below this would not be conducive to such selling.
顺便提一下，在FOMC会议召开之前，CTA一直倾向于关闭10年期UST期货（TY）的多头头寸。 然而，CTA最近累计多头的平均成本相当于10年期UST收益率约为2.06％，因此我们低于此收益率将不利于此类抛售。
So having gone over NOmura's baseline forecast scenario, Takada lays out the risk scenario, which in the aftermath of Trump's tweet, now appears will come true as any hope of a trade deal between the US and China has been crushed. According to the Nomura quants, if the latter half of August brings increasingly clear signs that the pick-up in US economic indicators is running out of steam, fundamentals-oriented investors could well decide to join CTAs in selling off stocks. In this scenario, Nomura warns that "the possibility of US stocks sinking into crisis-driven market conditions in September comparable to those that prevailed at the time of the Lehman crisis stands as a plausible tail risk."
因此，考虑到NOmura的基线预测情景，Takada列出了风险情景，在特朗普的推文之后，现在看来将会实现，因为美中贸易协议的任何希望都已被粉碎。 根据野村证券的数据，如果8月下旬出现越来越明显的迹象表明美国经济指标的回升已经失去动力，基本面导向的投资者很可能决定加入CTA以抛售股票。 在这种情况下，野村证实“美国股市在9月份陷入危机驱动的市场状况的可能性与雷曼兄弟危机时的情况相当，这可能是一种看似合理的尾部风险。”
Nomura concludes by noting that if this were to happen, the Fed, having fallen behind the curve, would most likely be dragged into making an emergency rate cut of at least 50bp.
野村最后指出，如果发生这种情况，美联储已经落后于曲线，很可能会被迫进行至少50个基点的紧急降息。
The problem is that - just like during the financial crisis of 2008 - by then it would be too late to stop what may soon be the biggest crash in capital markets history. 问题在于 - 就像在2008年的金融危机期间那样 - 到那时为止，阻止资本市场历史上最严重的崩盘将为时已晚。
(by Tyler Durden 零对冲博客)
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