高盛最新分析指出，7月美股市场底层波动远超表面平静，拥挤交易遭遇集中清算。[1]虽然标普500指数守住近期高点，本周波动区间仅3.5%，距高点不到2%，但高盛旗舰动量篮子日均波动却接近10%。[1]这种巨大反差反映出市场参与者正经历剧烈的头寸调整。
去杠杆潮冲击范围广泛。[1]高盛TMT动量篮子在6月22日创造145%的年内涨幅后，随即经历有记录以来最严重的回撤。[1]韩国股票杠杆ETF资产规模从6月高点530亿美元急剧缩水至150亿美元，全球科技敞口经历五年多以来最大规模卖出。[1]基本面多空客户对动量因子的杠杆敞口已降至过去一年区间第28百分位。[1]
高盛对冲基金业务负责人Tony Pasquariello指出，"过去一个月，一只重锤砸穿了共识仓位"。[1]纳斯达克100指数虽然较6月高点回落8%，但年内仍上涨12%。[1]高盛认为美股牛市前景仍有支撑，但风险回报已不再便宜，后续上行弹性明显减弱。[1]
Goldman Sachs analysis reveals that despite superficial calm in July's equity markets, underlying volatility has intensified sharply as crowded trades face forced liquidation. The S&P 500 has held close to recent highs, fluctuating within just 3.5% and remaining less than 2% below its peak [1]. However, Goldman's flagship momentum basket experienced daily volatility approaching 10%, far exceeding the index's stability [1]. The firm's TMT momentum basket reached a year-to-date gain of 145% by June 22, only to subsequently endure its most severe drawdown on record [1].
The liquidation wave has hit leveraged positions globally. South Korean stock leveraged ETFs saw their assets decline from a June peak of $53 billion to $15 billion [1], while global technology sector exposure experienced its largest selloff in over five years [1]. The Nasdaq-100 index has pulled back 8% from its June highs, though it remains up 12% for the year [1]. Fundamental long-short investors have dramatically reduced their momentum factor leverage, bringing such exposures down to the 28th percentile of the past year's range [1].
Despite these dislocations, Goldman Sachs maintains a constructive outlook on the broader U.S. equity bull market. Nevertheless, the firm cautions that risk-reward dynamics have deteriorated and upside flexibility has narrowed considerably. Tony Pasquariello, head of Goldman Sachs' hedge fund business, characterized the market action bluntly: "Over the past month, a sledgehammer has smashed through consensus positions" [1]. The recent volatility signals that while the bull market foundation remains intact, the environment has become significantly more challenging for investors navigating crowded trades.