Posts Tagged ‘trades

05
Aug
11

Gráfico du Jour: ¿Tranquilo? los retornos del S&P cambiaron de signo 11 veces!!!!!

(Fuente: Bloomberg, via UTDT)

22
Jun
11

Fun & Finance: capítulo 10, Crisis Griega

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.

(…)

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.

(…)

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:

(…)

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.

(…)

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




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"It is hard to be finite upon an infinite subject, and all subjects are infinite." Herman Melville

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