美股不会再有迅速单边行情
SPX 500指数的组成主要包括金融板、石油板、制药板和科技板。DJI在这四个板块的基础上，只不过加了AA/KO/WMT这些传统行业Tickers，但由于它们的市值相对不大，所占SPX 500的比重并不大。DJI 30大概占有SPX权重的40%。科技板里除了DJI的HPQ/T/IBM等在NYSE交易的Tickers，其它基本都在Nasdaq交易，组成了有期指对应的NDX。
较大的行情必然会有对应的SPX/DJI/NDX联动。NDX的假科技股在起始于7月底的这波调整中表现强势，比如SBUX/COST，指明了后市的方向。但能涨多快多高？
胡立阳历经7年时间和走访了15个新兴国家，并研究了各国二十多年的股市发展后，得出结论：股市与经济没有必然的联系，股市带动经济而不是股市反映经济。市场与经济的关系应该是，主力操纵股市，股市超前经济。在“投资”或交易策略上，必须特别注意到两点：
1，市场转折由主力控制，在市场转折点趋势无效，无法顺势而为；
2，随后形成趋势，才能谈市场有效和顺势而为。
这两点说明了为何判断大势对于交易或“投资”至关重要。
目前，SPX的潜在上涨动力主要来自正处新低的“行情发动机”金融板，NDX联动的主要动力则潜在地来源于MSFT/INTC/CSCO/GOOG等长期箱体震荡的超大盘股。DELL/YHOO/EBAY等等的业务已经饱和，事实上已经走向了传统企业，基本不能指望有突破和题材。这些超大盘股如果试图创新高给NDX指数提供动力，只有两个可能：一是个体公司有题材和业务突破，比如AAPL；ORCL盘子稍小一些，比较勉强，不能算是领涨股，尽管突破了盘整创了近几年新高；Internet和所谓Cloudy Computing里主力资金选择了AMZN作为领涨股，但对指数的动力支持有限。二是这波滥印钞票引起的通胀效应进入流通，引起物价上涨，从而所有股价普涨。
科技股里的题材，还是世纪之交的Internet，只不过泡沫性要低多了。所以，可见的将来，美股指数不会象Internet Boom期间那样增长迅速了。相比于Internet Boom前，现在的美国，经济环境更由大公司控制，各行业和社会运行都更被彻底瓜分。中小公司，特别是能IPO的中小公司越来越少，造成指数没有新成份股进入。同时，已有大权重股由于盘子太大而不容易推高，所以，指数总体难创新高，只能用时间来抵御通胀。所以，交易股票的投资者只能找活跃的中小盘股进行收益扩大化。
在此基础上，以指数当Benchmark的方法，会使得各基金的表现更趋于同化。因为，首先，长时间框架内（比如一年内）指数变化率更缓慢，更小了（比如，2011年到截止10月15日的9.5个月，∆SPX=1225-1260=-2.8%，∆DJI=11645-11600=0.4%）。其次，长时间框架下，中小时间框架的反向趋势数量和幅度都增多，从而指数更动荡，即单位时间的振幅和双向震荡的次数都增加（比如，SPX从2011年8月初到10月中，最大单日振幅与收盘变化达到了80点，连续几日的短线行情最大达到150点，频频超过100点；较之2007年7月前每日振幅大都3-5点，多至10点已属罕见，市场属性已经云泥之别！），这增加了主力资金的操纵收益，客观上作为市场跟随者的各基金损失增大。主力资金应该也是没办法了才出此下策，因为大收益的长时间大行情很难有酝酿和操作的条件了，所以不得不强行凶狠地抢劫。
由于长时间框架指数变化率降低，也使得“投资”收益率变低，这迫使少数求得表现超越指数的基金的回报两极分化，因为它们必须更多地以交易(Instead of “投资”)的指导思想操作，做得好则收益好，做得差则更坏。这本质上还是因为这样的市场属性对主力资金操纵更有利。
代之于单边强势上涨，适当时间框架内，次级反向趋势相对于主趋势的幅度和时间长度都增加，也就是指数波动性将增加。Hence, the premiums of options of indice ETFs and indice futures将显著增加。伴随参与活跃的中小盘股，Nakedly Wring Futures Options将也是一个更相对可取的交易策略。
市场波动率一变大，基金的表现在统计上立竿见影地变差。附录是2011年7月底开始的剧烈调整后，2011年9月2日JPM发表的基金表现统计报告：
Appendix:
Funds Trailing Stock Market by Most Since 1998, JPMorgan Says
Funds Trailing Stock Market by Most Since 1998, JPMorgan Says
Stock mutual funds are having their worst year since 1998 relative to their benchmarks, as higher volatility makes it harder to pick stocks, according to JPMorgan Chase & Co. (JPM)
Among 2,806 funds tracked by the brokerage, 47 percent underperformed their benchmarks by more than 2.5 percentage points this year, the most since the 55 percent recorded in 1998. Only 13 percent of the funds beat the market by the same margin. The underperformance accelerated last month, with the proportion of trailing funds almost doubling from July, according to JPMorgan data.
U.S. stock price swings widened at the fastest rate since the 1987 crash in the month through Aug. 23 as investors weighed stalling economic growth against the prospect of additional stimulus from the Federal Reserve. The volatility helped drive August options volume to a record 550.1 million contracts on demand for a hedge against equity losses, according to the Chicago-based Options Industry Council.
“The turbulence of markets in August caused a rapid deterioration of active manager performance,” Thomas J. Lee, JPMorgan’s chief U.S. equity strategist, wrote in the report dated yesterday.
The Standard & Poor’s 500 Index plunged 6.7 percent on Aug. 8, before surging 4.7 percent, dropping 4.4 percent and jumping 4.6 percent in the next three days. The benchmark gauge fell as much as 2.3 percent today as a government report showing employment stagnated stoked concern the economy may fall into a recession.
High-Beta Preference
The trailing funds are likely to increase holdings in companies that move the most relative to the benchmark, known as high-beta stocks, to boost performance, Lee said. That preference may result in a year-end rally, he said.
Since 1995, there had been nine years when more funds trailed than those that beat from Jan. 1 through Aug. 31. The market rallied in the last four months of a year in all but 2008, with the S&P 500 rising 8.5 percent on average, JPMorgan data showed.
“When active managers trail, there is a tendency for markets to rise into” the end of the year, Lee wrote. “Intuitively, when there are more trailing, there will be logically an attempt to outperform, which should be driven by risk-taking.”
To contact the reporter on this story: Lu Wang in New York at lwang8@bloomberg.net
To contact the editor responsible for this story: Nick Baker at nbaker7@bloomberg.net
