(Fuente: Bloomberg, via UTDT)
Posts Tagged ‘trades
En este episodio, Iván y Martin le tratan de explicar la situación Macro y de Mercado (Bonos-CDS) a Gaston. Son 10 minutos de conceptos muy útiles.
Para una mejor visualización, mejor HD.
19
May
11
Invertir en Volatilidad
Schaeffers Research tiene un post donde analiza un trabajo de Morningstar donde compara dos portfolios uno con equity y cash y otro que tiene esos componentes más derivados del VIX. Para concluir con:
Well, that’s a downer. I think the point would be not to leverage, and accept the lower return/lower risk. Or, simply allocate less to volatility.
But truthfully, it’s more about the concepts here than actually replicating this portfolio. Remember — it’s all simulated to begin with. We only know how these actual volatility derivatives behaved in the last five years; the simulations have their own margins of error.
Basically, this all tells me that properly allocated and relatively frequently hedged VXZ provides a decent portfolio hedge over time.
13
Dec
10
Humor du Jour: Opinologos
(Fuente: http://www.nbtrades.com, via Cosas que Pasan)
30
Nov
10
Acciones y Tendencias
Una nota de media mañana. Dinamic Hedge tiene un enumerativo post sobre -ciertas- tendencias que se observan en el mercado de acciones de USA.
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Mutual Fund Monday: Mondays are considered a favored day for institutional buying. I’m not sure if there is any hard evidence for this, but it is certainly an observable phenomenon in the last couple years. I rarely fade an into Monday rallies.
4-Year Presidential Cycle: This is a long-term seasonality play that could be categorized under market cycles. I pay very close attention to this one. The major premise being that the second year of a presidential cycle can produce a meaningful bottom in the stock market. The fourth quarter of the second year of a presidency typically produces large gains and the third year produces positive gains in all quarters. This is in effect right now.
2-Year Tech Product Cycle: This one can also be categorized as more of a market cycle rather than seasonality. Technology drives productivity. Semiconductors roughly double their computational capacity every 18 months. This continuous advancement of computational capacity drives new innovative product cycles. This relentless product cycle translates into roughly two-year observable market phenomenon where technology stocks create relative highs every two years. Take a look at a chart of the Philadelphia Semiconductor Index SOX, to see what I mean.
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Si desea profundizarse en el tema: Efectos Calendarios
16
Nov
10
Cuando vender…
Trade to Learn tiene un breve post sobre cuando es conveniente salirse de una posición. Personalmente, me quedo con:
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If you find yourself asking asking the “experts” on twitter or on blogs about your positions, its best to sell it right now and move on.
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21
Sep
10
Paper: Bonos y manejo activo
Gains from Active Bond Portfolio Management Strategies
Abstract:
The belief that excess returns can be achieved by correctly timing changes in yields and/or yield spreads motivates active bond portfolio management strategies. Given the rich literature linking yield spread patterns to both the business cycle and changes in short-term interest rates, we motivate and demonstrate the efficacy of simple spread-trading strategies tied to both. Using thirty-four years of fixed income returns, we demonstrate that straightforward rules would have led to superior risk-adjusted performance relative to standard fixed-income benchmarks. Furthermore, the strategies tied to short-maturity interest rates are based on the use of past information only.
Link al Paper
Value and Momentum in Frontier Emerging Markets
Abstract:
We document the presence of economically and statistically significant value and momentum effects in the new emerging equity markets in the world, the so-called frontier emerging markets. We are the first to investigate the characteristics of individual stocks in these markets. Our unique data set consists of more than 1,400 stocks over the period 1997 to 2008 and covers 24 of the most liquid frontier emerging markets. Our results serve as out-of-sample evidence for the existence of value and momentum effects that have previously been reported for developed and emerging markets. Further, we provide empirical evidence that value and momentum strategies within frontier markets are negatively correlated, and are uncorrelated with the same value and momentum strategies in developed and emerging markets. Our mean-variance spanning tests indicate that investors who expand their investment opportunity set with value and momentum investment strategies based on stocks from frontier markets can significantly improve the efficiency of their investment portfolio.
Link al Paper
The cost of access to real time pre & post trade order book data in Europe
This report has been deliberately written as a primarily observational piece of work, as opposed to a commentary with a strong point of view. The emphasis is very heavily on facts and figures wherever they could be found. What these facts and figures mean is obviously very important – this report is designed to prompt further discussion, argument and clarification. The facts and figures we have outlined represent a snapshot in time and given the recent crisis we have all lived through in the last two plus years (i.e. the Credit Crunch Crisis) and the changing regulatory environment prompted by MiFID and RegNMS back in 2007 it would be interesting to see how that has affected market data pricing and market data in general. On the subject of pricing trends, currency fluctuation between key currencies such as The Euro, The US Dollar and the British Pound have also had significant mathematical impact in recent years. The ever changing nature of how markets do business, with the significant increase of more black box activities, might suggest some kind of statistical correlation analysis – a bit like ‘Freakonomics’ – to ascertain what is the cause and what is the effect? Market Data is often quoted as being a typical Bank’s second largest expenditure item after Headcount/Payroll – this prompts ever greater need to study and understand the whys and wherefores of market data in all its manifestations – pricing being only one dimension, but an often overlooked and misunderstood one.
Link al Paper
WHY DOES THE TREASURY ISSUE TIPS? THE TIPS–TREASURY BOND PUZZLE
Abstract
We show that the price of a Treasury bond and an inflation-swapped TIPS issue exactly replicating the cash flows of the Treasury bond can differ by more than $20 per $100 notional. Treasury bonds are almost always overvalued relative to TIPS. Total TIPS–Treasury mispricing has exceeded $56 billion, representing nearly eight percent of the total amount of TIPS outstanding. TIPS–Treasury mispricing is strongly related to supply factors such as Treasury debt issuance and the availability of collateral in the financial markets, and is correlated with other types of fixed-income arbitrages, These results pose a major puzzle to classical asset pricing theory. In addition, they raise the issue of why the Treasury issues TIPS, since in so doing it both gives up a valuable fiscal hedging option and leaves large amounts of money on the table.
Link al Paper
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