超1000亿美元蓄势待发！美股或迎巨量买盘

Core Insights - A significant influx of capital, potentially exceeding $100 billion, is expected to enter the stock market within the next month, as indicated by Nomura's volatility-control fund model, marking the highest prediction since the model's inception in 2004 [1][3] - The S&P 500 index is nearing its first historical closing high since February, reflecting a recovery in the market [1] - The model's predictions are primarily driven by an anticipated decline in realized volatility over the next three months, following a period of heightened volatility during the market downturn in late March to early April [1][2] Volatility-Control Funds - Volatility-control funds are a subset of systematic funds that utilize algorithms and preset parameters for decision-making, often employing leverage and frequently adjusting market exposure [1] - These funds typically measure realized volatility to determine their stock market allocation, and their exposure may not directly involve purchasing stocks, as many trade options and futures in the derivatives market [1] Historical Performance - Historical data suggests that when the model indicates potential large-scale buying by systematic traders, the stock market tends to experience strong returns in the following 1-2 months, with significant excess returns [3][4] - The median returns over various time frames show a consistent pattern of positive performance, with a median return of 12.1% over one year [4] Market Dynamics - The recent calm in the market has reinforced the perception of a "safe return to the market," which may encourage systematic fund managers to increase their exposure [1] - However, there are warnings regarding the stability of such funds, as their influx could lead to a new wave of selling if volatility rises again, reminiscent of the sharp sell-off in August triggered by yen carry trade unwinding [5]