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JPY
US500

美股暗流涌动如何未雨绸缪

Jerry Chen
Jerry Chen
Research Strategist
17 Aug 2021
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标普500指数又双叒叕刷新了历史新高!

进入8月以来这已经成为了常态,同样强劲的还有道琼斯指数,纳斯达克则略显疲态,持续在高点附近徘徊。

流动性,这一去年支撑美股强势上涨的最根本的因素依然在发挥作用。在通胀和消费者信心指数接连不及预期之后,美联储缩表和加息的预期也被相应推迟。今晚的零售销售是本周的焦点数据。

与此同时,美股可能正在见证史上最强劲的财报表现。FactSet数据显示,在已经公布财报的公司中,有87%的每股收益好于预期。如果这是最终的数字,将成为有这项统计以来的最高水平。

是否一切都如看起来那么完美呢?希望如此!但风险似乎正在逐渐聚集。

下图中,标普500指数(蓝线)持续走高,而隐含波动率即VIX指数(黄线)则跌至去年2月以来的新低15附近,指数的5天的实际波动率(紫色)甚至趋近于零值。如此低的波动率和8月(欧美度假季)清淡的成交量有直接的关系。这是否是暴风雨前的平静呢?历史数据显示,8月通常是一年中股市表现最糟糕的时候。

另外,仅用1年半(史上最快速度)就实现翻番的标普500已经有近200天没有出现过5%的回撤了,远超平均的94天(高盛)。图中所标示的近一年来的回调幅度更是逐渐减弱。物极必反,一旦波动率回升,股市恐怕将面临一轮“深度”回撤,届时RSI指标的顶背离也将得到修正。

股市的外部环境也充满了变数。美国的新增新冠病例和住院人数都达到了6个月来的新高,1万亿美元的基建法案和3.5万亿美元的预算框架还将面临激烈的辩论。尤其是当拜登的阿富汗撤军搞得一地鸡毛的时候,其任何立法都将不可避免的遭到共和党的掣肘。更重要的是,美联储内部鹰派呼声渐强,收紧货币政策似乎只是时间问题。

虽然标普持续创下新高,但最近支撑股指上涨的都是防御型板块,如公用事业、必需品消费等,而此前领涨的周期股和科技股则表现不佳,板块轮动是在暗示经济已经见顶了吗?

在VIX低位运行的同时,作为避险货币的日元(以及瑞郎)在过去一个月的涨幅领跑所有主要货币(包括美元指数),日元的贸易加权汇率已经升至4月以来的最高水平。

日元的走强通常意味着投资者对可能升高的避险情绪和股市波动率进行风险对冲。考虑到日本近期较好的GDP和经常账户余额,日本的机构和公司更有意愿增加外汇对冲或将资金撤回本国市场。

除了关注美/日在109.20和108.40附近的支撑,澳/日同样已经逼近了80的关键区域。如果风险情绪上升引发美债收益率持续下跌,汇价或将加速下探。值得注意的是,日线图上均线正在形成死叉形态。

AUDJPY

除了日元本身,澳元也遭受多方压力。不仅是中国经济放缓导致大宗商品价格回落,澳洲主要城市的封城也是一大利空因素。

继续关注日系货币的走势,因为它或许将向我们展示那些容易被忽略的市场动向。


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