大摩量化警告：动量崩塌、杠杆ETF大量抛售美股，接盘的散户寥寥无几！

Core Viewpoint - Momentum consensus trading experienced a "collapse-like" reversal on February 5, driven by concentrated long position liquidation and passive selling from leveraged ETFs, leading to a rapid amplification of declines, with a notable absence of retail buying support [1][4][5] Group 1: Market Dynamics - The recent decline exhibited a structural characteristic of "index relative restraint, internal market volatility," with selling pressure concentrated in the Nasdaq, technology, and semiconductor sectors, which had previously led the market [1][4] - Approximately 75% of stocks outperformed the S&P 500 during the decline, indicating that the pain was concentrated in a few crowded momentum trades rather than a broad market downturn [2] - The momentum index MSZZMOMO fell about 7.7% in a single day, marking an extreme volatility event, primarily driven by long positions [4] Group 2: Sector Performance - Selling pressure was heavily focused on previously leading sectors such as AI, national security, and Bitcoin mining stocks, while cyclical, chemical, and banking sectors showed relative strength, indicating a rotation away from high-beta themes [4][5] - The leveraged ETF rebalancing contributed approximately $18 billion in selling pressure, particularly affecting the Nasdaq and technology sectors, with significant impacts on several popular stocks [5] Group 3: Retail Investor Behavior - Retail buying was notably absent, with net buying intensity at its lowest in the past year, primarily occurring during market rebound periods [6][7] - The lack of retail participation has directly suppressed momentum factors, as the stocks favored by retail investors overlap significantly with those used in momentum strategies [9] Group 4: Future Outlook - Short-term technical rebounds may occur, but Morgan Stanley suggests a "sell on the rebound" strategy due to ongoing deleveraging and weak retail demand ahead of the tax season, which could exacerbate future selling pressure [1][10][13] - Historical data indicates that after significant declines in the momentum index, stock performance tends to be negative in the following 1-2 months, with a median decline of approximately 22% [10]