In-depth discussion of the black swan deduction framework of the cryptocurrency market: taking the March 12 incident as an example

October 18, 2020

The March liquidity crisis may happen again, but it is less likely to happen, or even if it happens, its intensity will be much smaller than last time.

Original title: “Framework for the Black Swan Event in the Crypto Market”
Written by: Chain Hill Capital

This article is divided into three parts. The first part discusses the external factors that directly caused the black swan in the crypto market in March, that is, the accumulated liquidity of U.S. stocks; the second part analyzes the more market micro-factors behind the crash to present a more complete story; and finally; One part proposes a “encrypted market black swan event deduction framework” suitable for the current environment, and discusses the factors that have a significant impact on the possibility of a similar market crash in the near future.

The first part of the fragile US stock liquidity

The monetary easing policy and the current major market factors of US stocks have formed a market incentive cycle. When uncertain events occur, each link creates or aggravates the fragility of market liquidity. The Fed chose to intervene in the financial industry in 2008 and directly intervened in the market through monetary policy to resolve liquidity pressures, thus opening a “bull market” for more than a decade. Until the new crown epidemic interrupted the carnival, the once powerful momentum turned into a violent backlash, and the market collapsed instantly. This time, the Fed still chooses to extend a “helping hand” to rescue the market, and a new cycle begins…

From the flash crash in 2010 to the flash crash in February 2018, to the four circuit breakers in March 2020, the frequency of flash crashes in the US stock market seems to be getting higher and higher. However, these crises have been accompanied by a decade-long financial rise in US stocks from 2010 to 2020.

Fed policy is clearly the dominant factor in this phenomenon. At the beginning of the financial crisis in 2008, the Federal Reserve continued to introduce quantitative easing policies, which led to increasing investor risk appetite. When the market is under pressure, investors generally seek to deleverage and reduce risks, leading to rapid liquidity drying up.

During the biggest global credit crisis in modern history in 2008, in order to stabilize the market and economy, the Federal Reserve and central banks around the world began an era of experimental monetary easing. These monetary policies have had two major impacts: (1) Incentivizing investors to take greater risks by reducing short-term interest rates; (2) Increasing investment confidence in risk-taking through market stability programs.

This kind of monetary policy transmission usually does not go through the expected channel, but influences the long-term real interest rate by guiding the demand curve of income-oriented investors to move outwards, thereby causing investors to bear more interest rate risks and reduce the term premium. Considering that many investors (including pension funds, endowment funds, insurance companies and individual investors) have fixed dollar debt, the reason for this transmission is obvious. When U.S. Treasury bonds can no longer reach the return target, investors must take incremental risks to seek higher returns. In Figure 1, we can see the change over time of the asset portfolio that provides an expected return of 7.5%. Compared with investors in 1989, investors looking for a 7.5% return must now take close to six times the risk (measured by standard deviation).

Figure 1. Data source: callan.com

Increasing demand for high-risk assets will in turn reduce the risk premium and raise asset prices. This can be seen from the valuation level of US stocks.

From 2010 to 2020, the S&P 500’s return rate was 191.13%, and its Shiller PE index (compared to profits over the past ten years adjusted for inflation) has continued to rise, currently at 30.25, which is higher than the historical average of 17.1. The historical extremes before the Great Depression were comparable.

Figure 2. Data source: gurufocus.com as of September 25, 2020

Another long-term valuation indicator for the stock market is “market capitalization/GDP”. Figure 3 shows the Wilshire 5000/GDP ratio. In recent years, the valuation of US stocks has been much higher than the historical average, and has exceeded the stock market bubble periods of 2000 and 2007.

Figure 3. Data source: fred.stlouisfed.org Deadline: September 28, 2020

The S&P 500 Shiller PE indicator and Wilshire 5000/GDP indicate that stock market valuations continue to rise and are at historically high levels.

At the same time, in the past ten years (as of the outbreak), the growth rates of the US Industrial Production Index and Manufacturing Output Index were 18.9% and 16.1%, respectively. According to research conducted by the Zhongtai Securities Research Institute, “The level of investment in science and technology measured by the proportion of R&D expenditure in revenue, in addition to the growth in biotechnology (33%) R&D expenditure, includes the Internet and semiconductors (R&D accounts for 15%) The proportion of industry R&D expenditures, including software, software and consumer electronics (12%), did not increase significantly, or even declined slightly. This also shows that the bull market in the US stock market in the past decade was not driven by endogenous growth such as manufacturing or technology. It is based on the valuation push up.

Figure 4. Data source: fred.stlouisfed.org Deadline: August 1, 2020

Figure 5. Data source: Zhongtai Securities Research Institute

The above evidence reflects that the risk curve of investors has been greatly improved. In addition to monetary policy guidance, there is also market risk perception, especially the Fed’s confidence in being the lender of last resort and supporting market liquidity. Figure 6 (comparison of the Fed’s plan/action announcement dates during the 2008 financial crisis and the 2020 COVID-19 crisis) proves that this confidence is not completely unfounded: the Fed spent more than a year in 2008 with tools used in 2020 It was quickly adopted in less than a month.

Figure 6, Data source: Federal Reserve, JP Morgan

The Fed’s policy may completely distort the market and introduce new risk factors. Specifically, investors’ increased risk appetite may lead to non-linear reactions related to market fluctuations. These non-linear reactions are usually pro-cyclical under market pressure, that is, as market volatility increases and liquidity decreases (2 In essence, they are also two sides of the same coin), investors seek to reduce risk, thereby putting further pressure on market prices and liquidity. This led to the flash crash of US stocks mentioned at the beginning of the article. The common feature is the rapid decrease in the depth of liquidity in a short period of time (the depth of the order book is greatly reduced, and the bid-offer spread is significantly expanded), which is a liquidity crisis.

Use the industry term “Risk on/risk off” currently popular on Wall Street to explain it simply. When the market is risk on, investors generally have no fear of risk, and a large influx of risky assets such as stocks, commodities, financial derivatives, etc.; when the market is risk off, investors sell risky assets in large quantities in order to avoid risks and acquire US dollars And treasury bonds. In a market dominated by “Risk on/risk off”, the volatility of risk assets is highly correlated, and the market is full of uncertainty.

In addition to loose monetary policy, there are two other contributing factors to the increasing frequency of liquidity crises.

(1) The growth of passive investment and index investment has caused certain distortions to the market

The first effect is to create price momentum. First, active managers are increasingly using indexes as performance benchmarks. This led investors to “withdraw funds from underperforming fund managers, leading them to sell underperforming stocks.” On the contrary, “Managers who perform well receive funds and increase their holdings of assets that perform well.” Secondly, the marginal trading when investors switch from active investment to passive investment also promotes price momentum. By observing the average holdings of Value, Momentum, Size, and Quality ETFs, it can be found that active funds basically reduce their holdings of the stocks with the largest market capitalization in the S&P 500 Index. Therefore, when the market shifts to passive investment, smaller market capitalization stocks will have marginal selling pressure, while large stocks will have marginal buying pressure. Over time, this pressure may cause large-cap stocks to continue to outperform small-cap stocks. These two reasons contribute to price momentum.

Such price momentum may pose a risk to market stability. Market participants focus on convergent (such as value or mean reversion) strategies that have a stabilizing effect on prices, because winners are sold and losers are bought. Concentrating on divergent (such as momentum or trend) strategies can destabilize prices, because winners are bought and losers are sold. Passive and indexed strategies (including so-called “smart beta” ETFs) are divergent strategies, because recent winners will account for a larger proportion, while recent losers will account for a smaller proportion. Therefore, as the funds from a convergent strategy to a divergent strategy (momentum or index strategy) continue to increase, positions will become more crowded, which will have an unstable impact on individual stocks and cross-sector asset pricing.

The second impact is the potential impact on the market microstructure. The job of active fund managers is to identify those stocks that they consider to be undervalued and buy these stocks. For passive funds, the transaction is not to discover the correct value of the stock, but to track the index, while minimizing the impact of the transaction on the market and executing the transaction as effectively as possible (keeping the ETF price linked to its net asset value). This may also have an unstable impact on the market. Because “market makers cannot distinguish between price changes caused by asset-related factors and other factors unrelated to assets”, they cannot synchronize their prices in time, which may cause further price distortions. In fact, stocks with a relatively high proportion of passive fund shareholders show significantly higher volatility, higher transaction costs, higher “return synchronization”, and a decline in “future return on earnings” and a decline in analyst coverage , There is even evidence that ETFs may even bring new sources of noise to the market. In a healthy market environment, other participants will step in and repricing. However, in a troubled market environment, there may not be enough liquidity (or willingness) to intervene and correct this behavior. If the market is dominated by index traders who cannot distinguish between asset prices and their values, the problem may be exacerbated.

(2) Leverage exacerbates the liquidity structure imbalance

The driving characteristics of the modern market structure include electronic liquidity providers and high-frequency traders. High-frequency trading companies usually trade with high leverage. In the current increasingly complex market environment, fast trading may lead to the risk of a procyclical spiral, especially when the market becomes more and more concentrated in some large trading companies. Because high-frequency trading relies on leverage to provide liquidity, they often have to reduce capital investment due to risk budget constraints in volatile markets, resulting in a procyclical decline in available margin.

In addition, the growth of the complex derivatives market and its related levers has also led to an explosive increase in liquidity demand in the tail event, thereby further intensifying market pressure. When there is systematic (usually convex) hedging pressure in the options market, leveraged ETP, and reverse ETP, the market will also experience structural imbalance. Because hedging (especially the use of derivatives) is usually a convex function, and in many cases, as the market falls, its liquidity requirements increase. In contrast to this is the liquidity supply curve, which is concave relative to market pressure. Therefore, during the period of market pressure, when liquidity shortage meets high liquidity demand, a catastrophic mismatch may occur in the market, leading to liquidity drying up.

In summary, loose monetary policy, the rise of passive investment, and the increased leverage of liquidity structure imbalances have a common potential risk factor: liquidity. When they are combined, a market incentive cycle is formed: when chaos occurs in the market, a chain reaction will occur, leading to the collapse of the entire market structure.

Figure 7 summarizes how the market incentive cycle formed between the three works. It should be noted that the market incentive cycle has no absolute starting point or end point. When uncertain events occur, each link creates or aggravates the fragility of market liquidity. The Fed chose to intervene in the financial industry in 2008 and directly intervened in the market through monetary policy to resolve liquidity pressures, thus opening a “bull market” for more than a decade. Until the new crown epidemic interrupted the carnival, the once powerful momentum turned into a violent backlash, and the market collapsed instantly. This time, the Fed still chose to extend a “helping hand” to rescue the market, and the new cycle began.

Figure 7

The second part of the black swan event of the crypto market and its ecology and structure

The history of BTC price correlation

In the first few years of Bitcoin, its audience was only a small part of the population, including cryptopunks, technology developers, illegal traders, and liberals. These audiences are usually not those who make money in the traditional market.

As the price continued to break through, Bitcoin began to attract the attention of some traditional investors. For example, Social Capital, a California investment company, invested in Bitcoin in 2013 and has been holding it ever since.

But such cases were extremely rare at the time. Until this time, there was still a firewall between investors in traditional markets and Bitcoin investors. Therefore, the correlation between Bitcoin and mainstream financial assets has been extremely low for a long time. Figure 8 shows the correlation between various encrypted assets including Bitcoin and gold, multiple national currencies, bonds, commodities, and stock markets from 2013 to 2019. Overall, the largest correlation between encrypted assets and other asset classes is 0.31, the smallest correlation is -0.22, and the average correlation is 0.07. Taken individually, the largest correlation between Bitcoin’s other asset classes is 0.18, the smallest correlation is -0.16, and the average correlation is 0.01.
Figure 8. Data source: Grayscale Investments

Beginning in 2017, the isolation between traditional markets and Bitcoin has changed. The world’s first regulated Bitcoin fund was officially launched, opening the door for institutional clients; the Winklevoss brothers tried to launch a Bitcoin ETF; the Wall Street Journal first listed Bitcoin As a legal investment asset, not just confined to the dark things on the margins of society; CBOE and CME Bitcoin futures are online, institutional investors and traditional investors join the Bitcoin army…

As of the first quarter of 2020, there are 150 Bitcoin hedge funds worldwide (Figure 9), of which 63% were established after 2018. Among the client composition of these hedge funds (Figure 10), approximately 90% are family offices (48%) or high-net-worth individuals (42%). Endowment funds, VCs, and funds of funds account for a relatively small proportion.

Figure 9, Data source: pwc

Figure 10, data source: pwc

Among the clients of the world’s largest crypto asset trust fund Gray Investment (with a management scale of more than US$5 billion), more than 80% are institutional investors (Figure 10).

Figure 10, data source: Grayscale Investments

According to a survey published by Fidelity Investments in June 2020, 36% of large institutional investors own digital assets such as Bitcoin. Looking ahead to the next five years, 91% of respondents believe that there should be at least 0.5% of investment exposure is allocated to digital assets.

As more and more high-net-worth individuals and institutional investors flock to Bitcoin to allocate risk exposure, the firewall between traditional markets and Bitcoin investors is broken. This means that many people who trade in the crypto asset market now also trade in other markets. Will this development lead to a stronger correlation between Bitcoin and other assets?

Indeed, since 2019, we seem to have increasingly felt the correlation between Bitcoin and traditional assets.

Due to the US-China trade tensions, escalating Iranian conflicts, and market concerns about COVID-19, the correlation between Bitcoin and gold appears to be increasing (Figure 11). The current correlation between Bitcoin and gold is at a historically high level, which indicates that Bitcoin may perform more of a hedging function than before.

Figure 11, data source: Coin Metrics

After the outbreak of the global new crown epidemic in 2020, the correlation between Bitcoin and the U.S. stock market soared to a historical high of 0.597. The previous high was 0.32. And the correlation between the two has been maintained at a high level since March. This seems to indicate that the connection between the crypto market and the traditional market has strengthened, and a similar response has been made to external events.

Figure 12, data source: Coin Metrics

The third part of the deduction framework of the black swan event in the crypto market and thinking about the future

In the first two parts, this article discussed the macro and micro factors that caused the black swan in the crypto market in March this year. Summarized as follows:

The monetary easing policy and the current market structure of U.S. stocks have formed a market incentive loop around popularity, which has led to the fragility of U.S. stocks’ liquidity;
More and more traditional market investors are entering the crypto market, and the connection between the crypto market and the traditional market is becoming closer than ever; when the uncertainty of the epidemic puts pressure on the market, investors sell in order to avoid risks. Risk assets, including hard assets represented by gold. Because the crypto market has fewer trading restrictions and is easier to liquidate than any traditional asset, the short-term selling pressure of crypto assets is greater than other traditional assets; and this sell-off is mainly from short-term traders, who often hold them for speculative purposes Crypto assets, therefore, are more susceptible to market sentiment;
The market structure factors of crypto assets themselves, including reverse contracts, technical limitations, and the immaturity of market infrastructure, further amplify the price drop.

The plunge in March has left many crypto market investors with lingering fears. Due to the recent increase in the correlation between crypto assets and U.S. stocks, the crypto market pays more attention to U.S. stocks than ever before. In addition, there are many uncertainties in the current macro environment, including whether there will be a second outbreak of the epidemic, the US presidential election, and geography. Political crisis, etc., it seems that any disturbance in the external environment will trigger market concerns about the reappearance of 312.

It is true that multiple factors including U.S. stocks caused the crypto market turmoil in March, but the exact same situation may not recur in the future. Because the interaction between the macro and micro factors that affect the crypto market is very complex and is still developing dynamically. However, it is very meaningful to establish a thinking framework based on past experience. It helps us to recognize the current market environment and the possibility of black swan occurrence. Therefore, this article proposes a “encrypted market black swan event deduction framework” suitable for the current environment (Figure 19).

Before 2020, the crypto market has experienced large and small plunges. However, past black swan incidents often only involved the ecology of encrypted assets themselves, such as the theft of the early Mentougou exchange, the 94 regulatory incident, and the Bitcoin hard fork. As encrypted assets are gradually accepted by traditional investors, the relationship between the encrypted market and the traditional market has become closer, and the structure of encrypted asset investors has become more diverse and complex. Therefore, the impact of risk events that affect traditional assets on encrypted assets will inevitably be greater and greater. The “Crypto Market Black Swan Event Deduction Framework” explores the conditions and factors that constitute the black swan event based on the current environment.

Figure 19

In this deduction framework, different types of risk events, the structure of encrypted investors, the narrative of encrypted assets, and the different possibilities of the three factors of the encrypted market infrastructure have formed different permutations and combinations. When certain conditions are met, certain This combination may lead to a black swan event in the crypto market.

If this framework is used in the deduction of the 312 incident, its path lies in the liquidity crisis section: long-term loose monetary policy –> market risk on –> uncertain events (epidemic) –> market risk off (Short-term) –> Due to the liquidity crisis, risky assets, speculative products, and even hard assets such as gold will be sold, because encrypted assets have also been sold, and the market has plummeted –> Problems with the structure of the encrypted market and infrastructure Further magnify the black swan effect.

One thing that needs special attention is that in the case of a liquidity crisis, it is meaningless to consider the structure of encrypted investors and the narrative of encrypted assets, because at least so far, the safe-haven assets of the liquidity crisis are still US dollars (yen, The Swiss franc is acceptable, but not as effective as the US dollar). This was fully demonstrated in March, when other safe-haven assets such as gold and U.S. debt were sold off. Perhaps, under the continued loose monetary policy, the credit of the US dollar will eventually go bankrupt. At that time, this framework will be rewritten.

But at the current stage, the dollar’s monetary policy is still the biggest risk variable in the black swan event caused by the liquidity crisis. The continued easing of the U.S. dollar policy is good for crypto assets, because the properties of high-growth technology stocks and digital gold are good tools to hedge against the depreciation of the U.S. dollar; even for speculators, they also have good hype value. However, if the epidemic recurs or the Fed tightens monetary policy, causing the liquidity crisis to recur, then market fluctuations similar to 312 will occur again.

Whether other types of risk events will lead to a black swan event in the crypto market depends on the structure of crypto investors and the narrative of crypto assets. Specifically, only when encryption is dominated by value investors and its hedging value is widely recognized, can it be avoided in risky events such as economic crises or geopolitical events.

Therefore, to determine whether there will be a black swan incident like 312, we need to focus on the following issues.

Will the Fed stop releasing water?

At present, the question we face is, when will the world get rid of the new coronavirus? How will the global economy recover? Will the global supply chain be disrupted for a long time? No one can answer these questions, but it is clear what the Fed will do.

Looking back at the last crisis, the Fed’s script is simple:

The first stage: a crisis occurs and a large amount of liquidity is injected quickly
The second stage: the initial release of water, which stabilized after a few months
The third stage: a full 7-year systematic quantitative easing plan

From 2008 to 2018, the total assets of the Federal Reserve increased from less than US$1 trillion to US$4.5 trillion (Figure 20). The direct consequence is to increase investor risk appetite, thereby enhancing the “monetary nature” of the financial market (that is, using the market as a savings tool). The subsequent impact is that the market and the real economy are getting closer and closer, which creates reflexivity between the two. Therefore, the Fed is not only maintaining market stability, but also becoming more and more important in maintaining economic stability. Therefore, it is increasingly difficult for the Fed to separate from the market in the short term. The Fed tried to “normalize” monetary policy in 2018, but failed.

Figure 20, data source: BOARD OF GOVERNORS of the FEDERAL RESERVE SYSTEM

In the crisis 12 years after 2008, we seem to see history repeating itself. Since the intervention began in 2020, the net asset value increase on the Fed’s balance sheet has been absolutely staggering: it reached US$2.9 trillion in a few months (Figure 20), and it took five years to add so much assets after 2008. However, if you look at the growth rate, the game of releasing water has just begun…

Figure 21, data source: BOARD OF GOVERNORS of the FEDERAL RESERVE SYSTEM

So far in this round of release, the Fed’s balance sheet has expanded by 67% (Figure 21), and in the same period after 2008, it has expanded by 150%. In the seven years after 2008, the total balance sheet of the Fed finally increased by nearly 400%.

Now that the market is getting bigger and bigger, achieving the same goal requires injecting more liquidity. Therefore, focusing on the growth rate of the balance sheet seems more meaningful than focusing on the net value. If the Fed continues to adopt the same policy, the total balance sheet may grow to $15 trillion in the next ten years.

The liquidity injected by the Fed can at best only push up investor risk appetite and pour into financial assets again. The S&P 500 index recovered quickly after March, reached its pre-pandemic level in mid-August, and then rose to a new high (Figure 22).

Figure 22, data source: fred.stlouisfed.org

The record low level of mortgage interest rates and pent-up demand drove real estate sales, and the housing sector also experienced a similar V-shaped rebound. The total US real estate market value in the second quarter increased by approximately US$458 billion from the previous quarter.

However, it should be noted that 45% of Americans do not own stocks, while about 33% of Americans do not own houses. The V-shaped recovery is the recovery of the wealthiest Americans, and those who do not have large assets or income continue to struggle. The employment of high-paid workers has basically returned to the level before COVID, but the employment of low-paid workers is still difficult (Figure 23). Therefore, this is a “K-shaped” recovery.

图23，数据来源：CNBC

未来有两种可能性。

第一种可能性是美元流动性危机再次爆发。前所未有的货币宽松政策虽然迅速稳定了市场，但它同时也在不断加强市场激励循环，使得流动性越来越脆弱。一旦受到新的刺激，如冬季疫情重起，或者大选带来货币和财政政策改变，美元流动性危机有可能会再次爆发。但本文认为，疫情复发带来的市场冲击确实很可能产生流动性危机，但这次的力度相对上次会小很多，因为，首先三月份以来美元已经扩张了67％；其次是美联储释放出的信号主调是「在当前形势之下，不应当优先担忧预算赤字问题，积极的财政和货币支持政策做过头的风险反而较小「，因此，当市场预期是长期的积极财政和货币政策，对未来流动性的担忧就不会像三月份那么严重，单独就流动性因素考虑，市场risk off 的情绪就不会大规模发生。另外，美联储的这些信号也降低了美国总统大选给货币和财政政策带来的改变的可能性。因此，综合考虑以上因素，三月份的流动性危机有再次发生的可能，但是发生的可能性较小，或者即使发生，其力度相对上次也会小很多。

第二种是美联储放水失效，更广泛的经济和金融危机爆发。流动性危机往往出现在经济或金融危机初期。目前来看，美联储没有上限的放水对实体经济复苏的促进显然有限。长远来看，这必然导致美元贬值和重大的通货膨胀压力。如果疫情迟迟得不到控制，经济衰退将无可避免。届时，可能爆发更广泛的经济和金融危机。对应《加密市场黑天鹅事件推演框架》，图中的」不确定性事件「因素将转化为其他危机。

比特币未来的叙事

比特币有很多面孔。对一些人来说，它是汇款时不受外汇管控的抗审查的交换媒介。对于另外一些人来说，它是进行投机和投资的工具。本文认为关于比特币最重要的两个叙事是「数字黄金」和「科技股」。

数字黄金

从本质上讲，比特币是一种能够提供货币独立性的替代货币体系，这使得比特币具备对冲资产的属性。并且，这是迄今为止唯一一个实行通缩政策的货币系统，因此它具备比黄金更好的通胀对冲属性。比特币是「数字黄金」一直以来都是加密市场最为推崇的叙事，很多人相信比特币是为抵御全球经济危机的动荡而建立的。

的确，在过去的历史中，比特币是相对独立且不相关的资产。但是三月份的暴跌以及比特币跟美股创新高的相关性水平使得很多人开始质疑比特币的避险资产属性。因为，如果比特币要成为真正的避险资产，它必须具有强大的抵御能力，可以对抗其他金融市场的波动，尤其是在这种动荡时期。

这种观点并不完全准确，因为在前面两部分内容中，我们已经论述了这次市场危机是美元流动性危机，这种情况下连黄金也受到了波及。区分不同类型风险事件对应的不同避险逻辑是很有必要的。作为一个不受任何主权国家控制的货币系统，比特币是一种对冲金融体系、经济和政治制度崩溃的保险。这一点不应该因为它在本次流动性危机中的表现而被否认。并且前面也分析过，对于这次加密市场崩溃，其当时的市场结构和基础设施也有不可推卸的责任。

当然，不可否认，相比于黄金，大众对比特币作为避险资产的认知度和接受度还有很长很长的路要走。庆幸的是，我们已经看到了一些鼓舞人心的变化。在经历了3 月份的暴跌之后，反而有更多的主流机构和群体看到了比特币的避险价值。

华尔街传奇对冲基金经理保罗·都铎·琼斯（Paul Tudor Jones）在5 月份宣布将持有比特币作为宏观对冲。保罗过去并不特别热衷于比特币，但在见证了美联储的漫天放水之后，保罗说」比特币让我想起了1976 年刚进入这一行时的黄金”。在致投资者的一封信中，保罗提出：” 我们正在目睹巨大的货币通胀——各种形式的货币空前膨胀，这在发达国家前所未有。最好的利润最大化策略是下注最快的马，如果硬要我预测，我打赌它是比特币。 “

作为一支规模近400 亿美元的对冲基金的管理者和传奇交易员，保罗的意见比其他人的更具有参考价值。相信其他对冲基金经理也将不得不关注比特币和加密资产这一新兴事物。

除了投资机构，具有先见的企业也迈出了重要的一步。今年8 月，一家传统行业巨头MicroStrategy 宣布将采取新的财政储备政策，将持续把比特币作为主要财政储备资产。在随后的一个月内，MicroStrategy 花了近4 亿美元购入了约38250 枚比特币。这是全球第一家公开宣布将比特币作为资产配置的上市公司。MicroStrategy 投资比特币的原因也很简单，他们对宏观经济感到担忧，认为比特币是优于现金的可靠的价值存储。购买比特币而非黄金的理由是比特币比黄金更「硬」。

也许，接下来会有越来越多的企业加入到配置比特币的队伍。10 月8 日，由Twitter 首席执行官Jack Dorsey 创立的支付公司square 宣布已购买5000 万美元的比特币。该公司首席财务官表示」我们认为比特币有可能在未来成为更普遍的一种货币「

从极客手里的代码，到顶级投资机构眼里的对冲资产，再到主流企业财务报表上的资产储备，或许，比特币在成为「数字黄金」的道路上已经从0 走到了1。

科技股和风险资产

单独从比特币的价格历史来看，处于增长阶段的比特币的价格走势就像科技股——两者都受到网络（用户数，节点数，交易量）增长的驱动。此外，作为一种革命性技术，比特币的风险特征与科技股的十分相似：如果比特币发挥其潜力，其价值可能是巨大的，但与此同时，它也能完全失败，从而毫无价值。

这种看法有其道理，因为事实上比特币既是一种加密货币又是一种技术。比特币的底层技术是互联网那样的新事物。它可能成为普及的全球全新的支付手段、也可能成为替代黄金的价值储存工具，还可能成为下一代金融体系。因此，比特币等加密资产可能正在互联网经历过的90 年代的Dotcom 股票市场阶段，互联网技术在此阶段表现出非常多易变的资产类别，其中也包括各种投机性股票。

就像改变世界的任何其他技术一样，早期阶段的比特币和加密资产仍然是一种高增长高风险的资产。这也是为什么到目前为止，比特币价格呈现出如此高波动率和高回报率的特点。Chainalysis 的研究表明，华尔街的机构投资者正越来越多地进入比特币和加密市场。一些知名的股市短线交易员也对比特币产生了兴趣——他们正四处寻找令人兴奋的股票替代品。当投资者和交易员将比特币看作科技股的时候，他们会采用股票市场的思维对加密市场做出反应，而他们的行动也将体现在比特币的价格当中。

那么，比特币到底是什么呢？对于单个参与者来说，它是支付手段、避险资产、科技股、另类投资、下一代金融系统中的某一个或着多个；对于整个市场来说，比特币是以上所有的这些事物。当然，在某个阶段，一定会有一个或多个叙事主导市场。这个/ 些主导叙事会引导投资者行为，从而决定市场如何对外界做出反应。

科技股和数字黄金是目前主导比特币和加密市场的两个叙事。从发展阶段来看，比特币现阶段可能2/3 是科技股（包含投机品属性），1/3 是数字黄金，这两个具体的比例只是非常主观的感受。随着越来越多主流投资机构、企业，以及个人把比特币作为对冲法币贬值和经济政治系统性风险，它的叙事重点会越来越偏向数字黄金。但这还有「从1 到100」的路要走。

当然，关于比特币的叙事和认知是不断发展的，未来，它还有其他更多的可能。

比特币未来叙事如何发展极其重要，因为它决定了当外部风险事件发生时，对于加密市场来说是风险还是机遇。只有当比特币作为避险资产的共识度和接受度达到一定水平时，它才能应对更多种类型的外部风险，真正发挥避险作用。在此之前，它可能更多的表现为风险资产。下图整理了历史上不同类型危机中黄金的表现，作为比特币未来避险表现的参考。

数据来源：广发证券

总结

基于对最近一次加密市场黑天鹅的外部和内部原因的研究，本文提出了一个适用于当前环境的「加密市场黑天鹅事件推演框架」，用于帮助投资者识别当前加密市场所面临的风险和黑天鹅发生的可能性。最后，文章对推演框架中两个重大的影响因素进行了探讨，包括美联储政策的未来走向，以及比特币叙事的发展。

对于近期再次发生类似黑天鹅事件的可能性，本文的看法是，三月份的流动性危机有再次发生的可能，但是发生的可能性较小，或者即使发生，其力度相对上次也会小很多。但加密资产当前的主导叙事可能还是高增长高风险资产，也就是说风险性投资和投机在主导市场定价。再加上312 事件中暴露出的市场结构或基础设施问题需要更长的时间才能完善。因此，如果再次发生美元流动性危机，加密市场很可能会再次受到波及。

但我们接下来要更多的考虑流动性以外的危机的可能性，以及比特币叙事接下来的发展方向。庆幸的是，我们已经从保罗·都铎·琼斯、MicroStrategy 和square 等案例中看到了主流人群对比特币认知的转变和行动，相信随着比特币作为避险资产的共识不断增强，它可以应对更多种类型的外部风险，并从中受益。

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