JPMorgan Chase: A sharp decline in momentum trading may lead hedge funds to reduce risk exposure, with a high possibility of "reducing positions and lowering leverage."

華爾街見聞
2026.02.07 02:08
在動盪中，動量交易（Momentum Trade，一種買入近期贏家並賣出輸家的流行量化方法）遭遇三年來最糟糕的一天。摩根大通的主經紀商業務表示，考慮到目前頭寸過於擁擠，如此劇烈的跌幅可能導致對沖基金削減其風險敞口。“股票多空策略和多策略基金的表現此前特別依賴於科技股的超額收益（alpha），” 由 John Schlegel 領導的團隊寫道。“波動進一步加劇以及 ‘減倉降槓桿’（de-grossing）的可能性似乎很高。” 摩根大通團隊估計，多策略管理機構 2 月份（將）下跌 1.9%，而股票多空基金（可能會）跌 1%。量化基金則處於輕微虧損狀態。
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