According to潮向 Research, a Goldman Sachs report dated July 29 noted that the global aggregate leverage ratio is at the 93rd percentile over a five-year historical lookback, while hedge fund long/short ratios have declined from 5.7x to 3.2x, indicating deleveraging progress exceeding 90%. In July, U.S. equity funds saw net inflows of $34 billion. The S&P 500 has fallen below its short-term trigger level of 7,453 points; further downside could trigger concentrated selling by CTA strategies. Goldman Sachs estimates that systematic strategies hold approximately $196.3 billion in U.S. equity long positions, with CTA positioning at the 44th percentile. Goldman Sachs anticipates that U.S. equities will primarily trade in a range during August. Share buybacks will serve as a key source of buying support, with about 31% of S&P 500 constituents currently in their buyback windows, and over 90% of companies expected to emerge from their blackout periods by mid-August. Seasonal outflows, quantitative selling, and institutional caution are capping upside potential. Goldman Sachs recommends counter-trend diversification strategies and IWM put options as hedging tools.
Goldman Sachs Report: U.S. Equity Deleveraging Near Completion; August Expected to See Range-Bound Volatility
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Summary
Goldman Sachs noted that U.S. equity deleveraging is nearing completion, with market volatility expected to remain range-bound in August. Global account leverage is at the 93rd percentile, and hedge fund long-short ratios have declined to 3.2x. U.S. equity funds recorded a $34 billion net inflow in July. The S&P 500 fell below a key trigger level, which could prompt CTA selling. Systematic strategies hold $196.3 billion in U.S. equity long positions. Buybacks and seasonal outflows may cap upward movement. Goldman recommends a diversified inverse strategy and IWM puts for hedging.
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