大摩量化分析师：7月下旬美股资金流入开始放缓，投资者应为“8月5%回调做好准备”

Core Viewpoint - The pace of capital inflow into the US stock market is slowing, making it more susceptible to external shocks, despite a 25% increase in the S&P 500 since April's low [1]. Group 1: Capital Inflow Trends - Retail investor demand for US stocks is following a seasonal slowdown, with daily inflows dropping from $3.5 billion at the beginning of the month to $1.5 billion currently, and expected to continue decreasing as summer progresses [2]. - Systematic strategies have remained significant buyers, maintaining daily purchases exceeding $5 billion, but are projected to halve to $2.5 billion by the end of the month [6]. Group 2: Market Dynamics and Events - Historical data indicates that the strong seasonal performance of the stock market in early July typically weakens until August [4]. - A large number of companies are currently in their stock buyback quiet period, which is expected to ease by early August [8]. - Multiple potential market-moving events are converging at the end of July, including the Federal Reserve's decision, non-farm payroll data, and the approaching deadline for tariff policies [12]. Group 3: Earnings Reports and Market Reactions - In the last week of July, companies representing 40% of the S&P 500's market capitalization will report earnings, with previous research indicating that simultaneous earnings releases from large-cap companies tend to yield greater absolute returns, slightly skewed towards negative outcomes [14]. - An estimated $17 billion in asset allocation supply pressure is anticipated, which could trigger market pullbacks in response to any noise from earnings reports, macro data, or tariff policies [17]. Group 4: Hedge Fund Positioning - Hedge funds currently maintain a net exposure of 51%, which is at the historical median level, with a year-to-date profit buffer of 4.9% for US long-short strategies [10]. - The moderate positioning of hedge funds leaves room for upward movement, suggesting that further accumulation may occur before any market downturn [10].