本月欧洲政府债券出现的抛售潮凸显了对冲基金日益增长的作用如何使一个系统性重要的市场变得更加脆弱 — — 这是监管机构密切关注的风险。
A sharp selloff in European government bonds this month shows how hedge funds' growing role is making a systemically important market more vulnerable — a risk regulators are watching closely.
表面上看，法国10年期国债收益率升至24年高点的原因很明确：政府债务负担日益加重，高能源成本推动通胀上升，以及全球数据中心热潮为资本提供竞争，推动了经济增长。
On the surface, the reasons for a surge in French 10-year yields to 24-year highs were clear: a growing government debt burden, inflation fanned by high energy costs, and competition for capital from a global data-centre boom that is lifting economic growth.
但一些投资者表示，这些变动的规模和速度表明，对冲基金正在通过快速平仓交易来加剧市场波动。
But some investors said the scale and speed of the moves showed hedge funds were fuelling volatility in the market as they rapidly unwound trades.
在法国国债收益率相较于德国国债的溢价出现异常大的单日上涨超过10个基点（bp）以及两日累计近25个基点的跳升之前，没有明显的触发因素 — — 这是自欧元区债务危机以来最大的涨幅。收益率上升意味着债券价格下跌。 , .欧洲央行估计，对冲基金目前占据约13万亿美元欧洲政府债券市场交易量的一半以上，而2020年这一比例为30%。国际货币基金组织表示，自2022年以来，对冲基金对主权债券的敞口已超过翻倍，但未给出具体总额。
No obvious trigger preceded the unusually large daily yield increases of over 10 basis points (bps) and nearly 25 bp two-day jump in the premium investors demand to hold French debt over German bonds, the most since the euro zone debt crisis. Yields rise as bond prices fall. , . The European Central Bank estimates that hedge funds account for more than half of trading in the roughly $13 trillion European government bond market, up from 30% in 2020. The International Monetary Fund says hedge fund exposure to sovereign bonds has more than doubled since 2022, without giving a total.
“对冲基金群体已经规模急剧扩大，”皮杰特财富管理公司固定收益策略负责人Lauréline Renaud-Chatelain表示。“它们正为债券市场带来更大的波动性，并且可能解释了为什么在缺乏真实催化剂的背景下，（法国国债的）抛售如此剧烈。”根据国际货币基金组织的数据，对冲基金管理的资产规模超过40万亿美元，其中包括它们用于杠杆操作和通过衍生品获取敞口的借入资金。它们很少披露投资细节，并且既会押注资产价格上涨，也会押注价格下跌。
"The hedge fund community has ballooned," said Lauréline Renaud-Chatelain, fixed income strategy lead at Pictet Wealth Management. "It's bringing a lot more volatility to the bond market and potentially explains why the (French) sell-off was severe in a context where we lacked a real catalyst." Hedge funds oversee over $40 trillion, including the borrowed funds they use to leverage their bets and exposure through derivatives, according to the IMF. They rarely share details of their investments and will bet on asset prices falling as well as rising.
对冲基金在主权债券交易中的角色之所以重要，是因为它影响政府的融资成本，而这又可能进一步影响企业和房主的借贷成本。
Their role in sovereign debt trading matters because it impacts governments' funding, which in turn can affect borrowing costs for companies and homeowners.
国际货币基金组织（IMF）在10月表示，对冲基金交易活动的增加可能“在压力时期放大价格错位和流动性紧张”，并引用了对冲基金的借贷行为以及众多基金持有类似头寸的拥挤交易。
Increased hedge fund trading activity can "amplify price dislocations and liquidity strains during periods of stress," the IMF said in October. It cited hedge funds' borrowing and crowded trades, in which many funds hold similar positions.
欧洲证券和市场管理局（ESMA），即该地区的金融监管机构，拒绝对此事发表评论。
The European Securities and Markets Authority, the region's financial watchdog, declined to comment for this story.
埃尔伦资本管理公司（Erlen Capital Management）的管理合伙人布鲁诺·施内勒（Bruno Schneller）表示，该公司投资于对冲基金，而对冲基金青睐的某些策略对价格和波动率的变化敏感。
Certain strategies popular with hedge funds are sensitive to price and volatility changes, said Bruno Schneller, managing partner at Erlen Capital Management, which invests in hedge funds.
这些策略包括现货-期货基差交易和杠杆套利交易。在基差交易中，对冲基金试图从债券证券与期货之间的微小价格差中获利。套利交易则涉及在低利率货币中借入现金，以押注其他资产。
These include cash-futures basis trades and leveraged carry trades. In a basis trade, hedge funds seek to profit from the narrow price difference between bond securities and futures. A carry trade involves borrowing cash in a currency with low interest rates to bet on other assets.
施内勒表示：“当情况发生变化时，投资者可能需要相对较快地减少敞口……这可能导致市场走势出现自我强化的潜在风险。”
When things change, "investors may need to reduce exposure relatively quickly ... creating the potential for market moves to become self-reinforcing," said Schneller.
但他警告称，鉴于基本面驱动因素——尤其是在法国——不应将近期波动完全归因于对冲基金。
But he cautioned against attributing the recent volatility solely to hedge funds given fundamental drivers, notably in France.
他指出，2027年总统大选前的政治角力可能阻碍法国降低高赤字的努力，而这是导致市场动荡的一个因素。
Political jostling ahead of 2027's presidential election could hinder efforts to reduce France's high deficit, one factor which has rattled markets.
另类投资管理协会（Alternative Investment Management Association）的政府事务全球负责人吉里·克罗尔（Jiri Krol）表示，该协会是私募市场行业组织，对冲基金是债券市场最重要的流动性来源之一。
Jiri Krol, global head of government affairs at the Alternative Investment Management Association, a private markets industry group, said hedge funds were one of bond markets' most important sources of liquidity.
他说：“就近期市场动态而言，我们警告不要基于对特定市场参与者角色的轶事证据，做出仓促、笼统的结论。”
"As for recent market dynamics, we caution against hasty, broadbrush pronouncements based on anecdotal evidence about the role of particular categories of market participant," he said.
施内勒补充道，随着其他买家撤退，对冲基金在政府债券市场中的份额有所增加。央行正在缩减资产负债表，养老金计划的变化正在降低对主权债务的需求，而监管规则意味着银行能够持有的债券数量减少。
Hedge funds have taken a greater share of government bond markets as other buyers retreat. Central banks are shrinking balance sheets, changes in pension schemes are reducing demand for sovereign debt, and regulatory rules mean banks can hold fewer bonds.
他们的参与有助于在政府借款增加的时代让市场平稳运行，而他们更频繁的交易活动提升了流动性。
Their participation can help markets function smoothly in an era of increased government borrowing, while their more frequent trading activity boosts liquidity.
“每个人在某种程度上都欣赏对冲基金所扮演的角色，” 富达国际首席投资官、固定收益部门负责人玛丽昂·勒莫赫德克说。
"Everyone kind of appreciates the role hedge funds play," said Marion Le Morhedec, Fidelity International's chief investment officer, fixed income.
但热门的对冲基金交易往往拥挤不堪，通常由债务融资，而基金的短期焦点意味着如果市场走势与其相反，它们可能会突然大规模撤出，耗尽流动性并加剧价格波动。
But popular hedge fund trades are crowded and are typically funded by debt, while funds' short-term focus means they can suddenly exit en masse if markets move against them, draining liquidity and exacerbating price moves.
“在这些情况下，对冲基金会完全抽干市场，” 勒莫赫德克说。”对我来说，100%的解释（即10月初流动性低迷的原因）就是这一点。” 当被问及对冲基金可能带来的系统性威胁时，华尔街巨头摩根大通的首席财务官周二对分析师表示，该行业长期以来一直是“系统的风险来源，这一点人人皆知，包括对冲基金自身”。
Hedge funds "completely wipe out the market in those circumstances," Le Morhedec said. "For me, 100% of the explanation (of early October's low liquidity) is this." Asked about the systemic threat posed by hedge funds, the chief financial officer of Wall Street giant JPMorgan told analysts on Tuesday the industry has been "a source of risk for the system for a long time now, and everyone knows that, including the hedge funds themselves".
他们的杠杆属于“已知未知”的范畴，杰里米·巴纳姆说。“这并不意味着没有风险，但我们大致知道它是什么。” 10月初，短期债务波动尤为剧烈。法国2年期国债收益率飙升，德国国债因避险资金流入而下跌，两者之间的利差扩大了21个基点，为2012年以来单日最大幅度。
Their leverage is "in the category of known unknowns," Jeremy Barnum said. "It doesn't mean it's riskless, but we kind of know what it is." In early October, short-dated debt was particularly volatile. France's 2-year bond yield surged, Germany's plunged on safe-haven inflows and the gap between the two widened 21 bps, the most in a day since 2012.
对冲基金在借款进行投注时，常以法国政府债券作为抵押品。法国国债占欧元区政府债券中用于回购市场融资质押的2500亿欧元的约1000亿欧元（合1120亿美元），法国银行数据显示。
Hedge funds often use French government bonds as collateral when borrowing to fund their bets. French debt makes up about €100 billion ($112 billion) of the €250 billion in euro zone government bonds that have been pledged for borrowings in the repo market, Bank of France data shows.
英格兰银行也在关注回购市场，这是金融机构在压力时期的重要融资渠道。其估计，在 gilt 回购市场中的2000亿英镑净借款中，有850亿英镑（合1130亿美元）来自对冲基金。
The Bank of England is also watching the repo market, a crucial source of funding for financial firms at times of stress. It estimates £85 billion ($113 billion) of the £200 billion net borrowing in gilt repo markets is from hedge funds.
一位欧洲大型债券投资者对路透社表示，对冲基金的作用已成为监管机构与该公司会面时的关键议题。
One big European bond investor told Reuters that hedge funds' role has become a key topic for regulators when they meet with the firm.
皮克特的雷诺-沙特兰表示，法国债券在10月初的流动性自2008年以来最差。
Pictet's Renaud-Chatelain said liquidity in French bonds in early October had been the worst since 2008.
流动性不佳会使交易变得更加困难，经纪人也会收取更高的费用。在极端情况下，他们可能根本不提供报价，导致市场陷入停滞。
Poor liquidity makes trading harder and brokers charge more. In extremis, they may not provide prices at all, causing markets to seize up.
国际货币基金组织周二发布的一份单独报告称，市场在应对近期压力方面表现良好，然而路透社采访的六位基金经理表示，总体而言，波动尚未影响他们的策略，有时甚至带来了机遇。
A separate IMF report on Tuesday said markets have managed recent stress well, however, and the half-dozen fund managers Reuters spoke to said that in general the volatility had not yet affected their strategies, and at times created opportunities.
“波动有时是好的……（法国债务）相对于信用风险变得相对便宜，”标准人寿首席信贷官米凯拉·巴里莱蒂说。“我们审慎看待OATs（法国国债），但在抛售期间，我们实际上略微增加了持仓。”
"Volatility sometimes is good ... (French debt) became relatively cheap compared to the credit risk," said Michela Bariletti, chief credit officer at Standard Life. "We look at OATs (French bonds) cautiously but during the sell-off, we actually added a bit."