The USD Link

Was Friday's dollar rally a sign that the economic illogic of the past months and the dollar risk trade is coming to an end? Or was it only some seasonal profit taking? Three connected markets, currencies, gold and Treasuries, had significant price reversals after the jobs release. Each market moved in the direction that associates an expanding US economy with higher interest rates and a stronger dollar.

In the currencies the dollar index gained 1.7%, the yen depreciated 3.1% against the dollar, more than in any single session since last October, and the euro dropped more than two hundred and fifty points. Gold fell $79 from its record high of the day before and Treasuries sank farther than any day since the summer. The Dow gave back most of its 150 point gain after reaching a new high for 2009.

The Employment Situation Report from the Bureau of Labor Statistics (BLS) was an unexpected dose of positive news. Payrolls shrank by 11,000 in November, far less than the 125,000 most economists expected. It was the best reading in over two years. The unemployment rate improved 0.2%, to 10.0%, equally unpredicted. The 11,000 reduction in payrolls was small enough so that the BLS officially considered the payrolls unchanged for the month. The American economy may well have produced jobs in November when the revisions are calculated next month.

For many currency traders Non Farm Payrolls (NFP) was a simple indicator to convert year end profit. But if the United States economy really is in rehabilitation and markets are beginning to reassert traditional economic and interest rate linkages then the price directions established Friday should continue. The dollar would not remain wedded to the risk trade, gold (and commodities) will lose much of their trading luster, Treasury prices will decline further and US interest rate will climb. A higher dollar, lower Treasuries and lower gold are rational and historical reactions to an improving economy.

For the past ten months the anomaly has been dollar. Since March the currency markets have been selling the greenback whenever risk falls and rewarding the dollar when risk rises. This has produced the odd and illogical equation of poor US economic results generating a strong dollar and the reverse.

In the context of the financial crash last fall and the almost universal fear of capital loss that reaction was logical; in the current economic conditions it is not. But for a number of reasons this response has been hard for traders to shake. First, in the back of many traders’ minds, if not in reality, lurks the possibility of a reoccurrence of last fall’s dollar panic. Second, in the absence of a credible US economic recovery there is no reason to buy the dollar; the Federal budget deficits and very low interest rates are good, if currently disconnected, reasons to sell. And lastly there are the reliable trading profits from the risk aversion trade.

The euro has been unable to break above 1.5140 for two related reasons: the EMU economy offers no better potential for recovery than the US; the ECB seems no closer to a rate policy change than the Fed.

Normally economic growth influences the currency markets through the central bank rate policy. Economic expansion, in time, brings on inflation and a higher Fed Funds rate; the dollar rises.

But since the financial crash the Fed had deliberately and carefully broken that expansionary--inflation link. Mr. Bernanke fears deflation and the effect of tight money and rising interest rates on incipient economic growth. The Fed Chairman has said so often that rates will stay low for an extended period that the markets have taken it as fact; the Fed will not raise rates. This belief has dulled the normal anticipation that economic recovery and improving statistics would put into the dollar--at least until Friday.

Mr. Bernanke has not changed his tune but traders may have gotten tired of listening. The currency markets have had similar positive dollar reactions to improved US economic news several times in the past six months. But each time traders returned to the risk trade, selling the dollar on good US information. The dollar did not gain any long term benefit from encouraging US prospects.

But on Friday it was not only the currency markets that responded normally and logically; so did gold and, most interestingly, so did Treasuries. If bond traders feel free to sell then there is no better long term predictor of a Fed rate increase.

We shall see in the weeks ahead if this positive American news sustains. The recent US ISM numbers, manufacturing and services, were unexpectedly weak. Retail sales and the holiday shopping season do not appear to be generating the kind of strong results that prompt anticipatory business expansion; there is still much to worry about in the real estate market.

The dollar could turn out to be a leading indicator, provided the economy continues to recover. If the currency, gold and Treasury markets are no longer waiting for an official change in Fed policy, Mr. Bernanke may not have to make up his mind traders will do it for him. But the odds are still that Friday’s moves were an early present-- from traders to themselves.

美元的反彈

自從12/4 出乎意料好的NFP之後, 美元氣氛就變的困難了
對於FED的政策預期從2010年不會調息, 變成2010六月就可能開始調高利率
同時間歐洲的數字開始低於預期
USD與EUR之間彼此的消長就已經開始變的明顯了
希臘和西班牙的rating我認為不是issue,.
今天稍早奧地利將幾家銀行國有化讓EUR 再跌一百點

Enough reason to sell EUR
After a soft factory orders reported in Germany on Monday, industrial production dipped in Germany and was flat the UK in data reported overnight for October.
The EUR has hardly traded on relative fundamentals this year. The EUR has benefitted from general improvement in risk appetite and a willingness of the market to see the USD as the preferred funding currency and suffering due to FX reserves diversification.
However, since the stronger than expected US employment report, the USD has lifted. It has also received support from some unwinding in risk appetite. The sharp retracement in the price of gold also lends support for the USD, suggesting the market sentiment towards the dollar has improved.
Given the specific risks around EUR (specifically the sovereign rating of Greece), a flattening of economic recovery, and a high probability that risk appetite remains under pressure into year end, near term risk suggests further downside for EUR.

At this stage the EUR is still maintaining a series of higher highs and higher lows since its low for the year in March. Although it has broken below its range that prevailed over the last month. It will encounter support at its last major low on 3-Nov at 1.4626, and resistance at the bottom of its old range (around 1.48). A break below 1.4626 would be a significant set-back. Selling towards 1.48 with a stop above is an appropriate short term strategy. Longer term we may find 1.40/45 region holds and is the staging point for recovery.

為什麼過去八個月以來Risk on , USD falls 的corelation 被打破?
要想一想

55天移動平均

從三月中美元轉弱開始, 55日移動平均便是很好趨勢強度的指標, EUR在這八個月的時間裡只有四月20日幾天的時間裡曾經在55天SMA下方, AUD在七月中一度跌落但都立即拉回. 其它貨幣可以自行參考.
現在情況有點不一樣了.如上表所示, SEK的規律性還不夠高 , 但過去八個月NZD可從來沒有一天的收盤是低於55天的SMA.11/20是第一次,本週便一直與55天線掙扎, 有三天收在SMA下, 今天則正式宣告55天線失守..
可以理解中長線的部位已經鬆動了. 接下來便是AUD. RBA 十二月會議到底調不調可能已經不重要了. 要小心AUD跟著NZD下殺, trigger 是什麼並不重要, 就像現在也沒有多少人知道NZD為什麼跌破?

參考信報11/27 蘇子的外匯動態報導

隨時再殺美元淡友

昨 天是美國感恩節假期，但滙市卻出現大屠殺的恐怖場面，近期表現相對窄幅的美元兌日圓失守今年的87.11低位，創出今年新低。美元兌日圓失守87關口後已 成功觸發大量止蝕沽盤入市，使滙價破位後可以一下子跌至86.55水平，隨後滙價乏力反彈至86.9水平以上，便再被美元淡友瘋狂狙擊，最後美元兌日圓跌 至86.27低位才止跌回升。

由於日圓佔美滙指數成分達13.6%，故美元兌日圓近二個交易天的急跌，成功令到美滙指數明顯跌破74.7至75重要支持區。昨天亞洲市美滙指數最低曾見74.17水平。

不過，美滙指數要靠美元兌日圓急跌才能成功失守上述的重要支持區，這卻令筆者感到美滙指數的跌勢已到了尾聲。按照常理，美滙指數若進一步破關而下， 應該由歐羅兌美元急升所帶動才對，但前晚歐羅兌美元升破上月23日的1.506高位，再創今年高位後的升勢並不顯著，滙價破位後幾經辛苦才在美國市下半段 時間升至1.5144高位，破位後升幅達100點子也沒有，完全欠缺破位後應有的單邊市氣勢！

前晚歐羅兌美元所造的高位剛好與20星期保歷加通道的頂部阻力相若，由於滙價未能一舉突破此阻力，故不利短期走勢，昨天亞洲市及歐洲市早段歐羅兌美 元更返回1.51關口之下波動，即使昨天亞洲市美滙指數受到美元兌日圓拖累而急跌，但歐羅兌美元仍乏力升破前晚的1.5144高位，與美滙指數的表現呈背 馳不利訊號。故小心一旦美元兌日圓止跌回升，返回88阻力關口之上波動，而其他非美元貨幣亦見掉頭回落，屆時美滙指數勢必出現一個強而有力的反彈浪。

這二天歐羅兌美元突破1.506關鍵阻力，美元兌日圓失守87.11的今年低位，美元兌瑞郎亦下破1算心理關口，最低曾見0.9915水平。以上滙 價的破位，肯定令到本來看好美元的投資者被迫作出止蝕行動。外滙市場有一個特性，便是往往在美國長假期前後時間出現殺倉情況，昨天美國感恩節假期，滙市卻 出現大幅波動，相信不少早前一直死守下去的美元好倉已經被大規模屠殺了。

另外，投資市場有一個特性，便是殺完好倉後再殺淡倉，即是好淡通殺！由於市場上的美元好友已被殺得八八九九，故小心滙市隨時出現一個反轉的形態，即 美元急跌後再突然大幅回升，使眾多美元淡友走避不及。一旦市場上陸續有美元淡友需要作出止蝕時，屆時便是美元出現逆轉回升的時刻。

短期內若美元逆轉回升，相信非美元貨幣，包括日圓勢必出現一個最少三個月以上的下跌浪。至於環球股市及商品市場相信在美元回升後亦會出現顯著的調整。

執筆時美滙指數已經自74.17低位回升至74.6水平，如昨晚美滙指數在74.7以上收市，可視為美元逆轉回升的首個警號。
執筆時美滙指數已經自74.17低位回升至74.6水平，如昨晚美滙指數在74.7以上收市，可視為美元逆轉回升的首個警號。

呼應前面所說的黃金多頭現象

In a bull market, worrying about an idea being too crowded with like-minded investors is not very productive. More likely than not, it will help to eliminate you from a winning position.
At some point, when the gold market is finally reaching a top, it will, in fact, be too crowded. But we're almost nine years into this bull market in gold, and to me it seems that there are more people of the mind that "the trade" is too crowded than there are who say it isn't.

We'll know gold is overcrowded when . . .

For the long-gold trade to really become too crowded, certain events will need to occur:

• Goldman Sachs (GS, news, msgs) will have had "bus tours" to a bunch of mines, like the tours it and other companies have arranged for different industries, particularly technology.
• The public will have to be involved in a major way, and we'll see ads on Bubblevision encouraging people to buy gold instead of prodding them to sell their jewelry, as is the case these days.
• Banks will need to find a way to put money into gold -- because no modern mania has ever ended without the banks finding a way to lose money in it.
• We will most likely need to see a frenzy of mergers and acquisitions, and a leveraged buyout or two.
• Last, BusinessWeek will have to put gold on the cover, telling us how it's the wave of the future, or some variation of that theme.

I put this list together somewhat tongue-in-cheek, but over the past couple of decades, most of these events have occurred before a big mania has ended -- be it energy in the late 1970s and early '80s, stocks in the late 1990s or real estate in the middle of this decade.
So it seems to me that what's crowded is not the long-gold trade but more likely the camp of folks who think it's too crowded.

Dollar cries out: 'Et tu, Mauritius?'

At the intersection of yellow dog and greenback, it's worth noting that the tiny island of Mauritius became the third central bank to buy gold in the past month -- specifically, 2 metric tons worth $71.7 million from the International Monetary Fund (following in the footsteps of India and Sri Lanka).I don't know what the fourth central bank will be, but I'm pretty sure there will be one.
Meanwhile, the Buttonwood column in last week's Economist, "Paper promises, golden hordes," cited the small quantity of gold that actually exists: "Two hundred metric tonnes of gold" -- that's what India bought -- "would occupy a cube of a little more than two metres on a side; it would fit into a small bedroom."
(For folks who might not know, all the gold that's ever been found would fit into two Olympic-size swimming pools!)
The column noted the psychological sea change that appears to be taking place at the central-bank level: "For bullion bulls, the implication is clear: central banks no longer trust the creditworthiness of other governments. And if they have lost confidence, private investors should do the same."
I think that pretty much sums up how the groupthink process gets started. Of course, that idea will have cut a wide swath through all levels of asset managers (witness my scenario above) before gold finally becomes too crowded and tops out.

Gold sky at morning, bonds take warning

The corollary of folks wanting to buy gold -- i.e., having no faith in dollars and other colored paper -- also has implications for the bond market. It's what I have alluded to with my shorthand nickname "the funding crisis." That the Buttonwood column took this up for discussion is potentially an early sign that the concept of a funding crisis may now be going mainstream (at least sophisticatedly so):
"Developed-country governments have attempted to control bond yields through quantitative easing and to support stock markets through ultra-low interest rates. But they cannot support their currencies as well without risking problems in the bond and equity markets. Gold's surge may indicate that investors fear the next stage of the crisis will occur in the foreign-exchange markets."
Fleckenstein on video: Bull market or just bull?
That is a succinct warning of what I believe will likely be next year's serious problem for the xera, where weakness is no longer described as just excess volatility but a genuine cause for concern.

We'll know that it's time to start paying close attention to a potential funding crisis when the bond market trades lower in lock step with the dollar trading lower. That will be an indication that the foreign-exchange market is calling the tune -- the implications being higher interest rates and, I would think, lower price-to-earnings ratios and, ultimately, a weaker economy. Dollar weakness is so widespread lately that even the Icelandic króna and the Latvian lats have been rallying against it, which suggests to me that the belief in our green paper as the world's reserve currency is being questioned seriously everywhere.

仍然沒等到USD轉強

Thanksgiving week, 上個星期CITI的Technicals 所說的週線反轉信號本週迄今仍未發生

CITI 所說週線轉弱的觀察點, 括號裡是週五收盤水準GBP 1.6515 (1.6510-15), AUD 0.9195( 0.9150/55), NZD 0.7265 ( 0.7240/45), EURAUD 1.6175 ( 1.6239) EURNZD 2.0343 ( 2.0491 )

""週一尾盤﹐中國銀行業監管機構對銀行發出嚴厲警告﹐要求其嚴格遵守資本充足率規定﹐否則將面臨處罰。這再次顯示出中國政府擔憂中國金融體系在經過一年的大肆放貸後可能正在積聚風險。""
""上海證交所美元計價的B股指數跌7.3%﹐至242.03點﹐因自從美國總統奧巴馬(Barack Obama)結束訪華後﹐有關中國將允許人民幣升值的預期已經消退。在週二下跌前﹐該指數本月累計上漲了25.6%。""
由於中國的因素, AUD 今天跌的比歐元多, 但由於AUD佔USD INDEX權數小, USD 轉強的跡象並不明顯.而雪梨股市因為收盤較早. 並沒有反應中國股市最後一個小時2.8%的跌幅
明天會怎麼開,是跟隨美股的平淡反應或中國, 值得觀察.依目前AUD在0.9190的水準來猜,似乎憂慮跟隨下跌的空頭比較佔上風.

USD index 的訊號

儘管USD index 本週創新低, 但Stochastic 與candle chart 的triple momentum divergence 指示USD index 有上漲的可能
Mean reversion, 55天與200天移動平均乖離過大,有修正的必要.
注意看2008十一月也曾有一次Stochastic的背離
source: CITIFX

經濟學人11/18討論人民幣

A yuan-sided argument

Nov 18th 2009 | HONG KONG
From The Economist print edition

A yuan-sided argument

Why China resists foreign demands to revalue its currency

Shutterstock

How Will Niagara Falls Fit Through into a Garden Hose

如題,黃金,白銀的供需失衡像是尼加拉瀑布的水灌入家裏的水管了

資金集中化

前一篇所引用認為黃金漲勢將休息的三點理由,其中之一是其他貴金屬如白金和銀並沒有跟隨黃金漲勢.

其實不只是金價,其他金融市場也是如此.

11/10美國退伍軍人節,這位spider trader認為股票即將見頂, 他說

Lets get technical

以及美元反彈的可能

A short seller's dream

這體現了資金集中化的現象,使得被市場集中的對象漲勢不歇,吸引關注的眼光

為什麼有這樣的現象?

當消費者/投資人越來越精於盤算,每一塊錢都得作最有效的使用,不管是用在平日的支出(只買領導品牌的東西)或是投機上(最快或最可能獲得回報的標的). 所以Apple的I-Pod相關產品繼續熱賣; GS 和JP領先美國金融股的回升(領導品牌); 黃金的一枝獨秀,澳幣的漲勢不衰(當對其他資源的需求沒有如黃金般被放大檢視,或當全世界央行都在干預美元弱勢,只有RBA說尊重資金流動,強勢澳幣有助緊縮紓緩通膨,等於放任澳幣走升).

同時也別忘了當去年底的風暴讓不支倒地者的市佔率被存活下來者接收,

Best Buy (BBY) and other electronic retailers had to benefit from Circuit City disappearing. That is Schumpeter's creative destruction at work. Not very good for total employment, but it does help the profitability of the survivors.


金融圈裏, JP Chase 接收Washington Mutual, Barclays 買下Lehman Bros,這些deal 現在看來都是非常棒的投資.
Barclays' Remarkable Bargain

在台灣最新版的例子就是鴻海吃下了奇美電

ETF的大受歡迎,讓權值股在資金追捧下偏離基本面,可能也是道瓊指數強於S&P,S&P又強於Russel的另一個理由

黃金、REIT及ETF價格為何脫離實際?

Are ETFs causing a emerging market bubble?

Speculative investments in gold seen broadening

這樣集中化的現象,過去的投資經驗說""漲勢不健康"",少數強勢終將無以為繼,漲勢結束.但到底""多集中""才是臨界點?

後記,芝加哥Fed Charles Evans說超低利率將可能維持到2010年以後,

Charles Evans: Accomodative policy likely beyond 2010

這可以說是截至目前為止最露骨的"泡沫遊戲請繼續"的官方言論.應該會為接下來的漲勢再提供燃料.

黃金的正反面辯論

黃金自進入十一月以來就像衝天的火箭一般一發不可收拾連續十個交易日金價只有
昨天(11/12)才有第一個像樣的拉回,但今天就完全把昨天的黑棒補回來

看多黃金的arguments

Gold: the Big Picture
http://www.washingtonsblog.com/2009/10/gold-big-picture.html

短線看空的人則說

http://seekingalpha.com/article/172786-3-reasons-not-to-believe-in-gold-s-recent-rally?source=article_sb_picks

在NY電視購物頻道注意到收購黃金的廣告大約是一個月前的事,當時黃金價格剛突破每盎司一千元的大關. 看到這些對黃金demand supply 的arguments,才知道目前這個多頭漲勢後面有多強的論述基礎,現在這樣的行情像是最後階段的噴出嗎?好像還不是.

這篇的觀察方法有點意思,值得留下來

SOMETHING BIG IS ABOUT TO HAPPEN?

http://pragcap.com/something-big-is-abou-to-happen

10 November 2009 by TPC

David Rosenberg notes the incredible lop sided trading environment. The dollar short/long equities trade has become the no-brainer trade and is beginning to appear crowded. David notes:

Looking at the latest Commitment of Traders (COT) report, we can see some pretty interesting (and potentially disturbing) trends taking place (data for November 3rd):

• The only areas where the speculators (non-commercial accounts) are net short are in Treasuries and in the U.S. dollar. Everything else has massive net speculative longs and hence near-term vulnerable to a reversal.

• There is still a NET speculative short position in both the 10-year Treasury note of 85,551 contacts (on the Chicago Board of Trade). There are 95,648 net short contracts on the long bond too.

• But there are 29,608 net LONG positions on the 30-day Fed funds contract —down from the highs, but it means that Fed tightening is completely off the radar screen. At the same time, there are 152,311 net longs on the 2-year Treasury note, so it would seem as though we have a crowded trade among the speculators on a bear curve steepening trade.

• There is a significant net long position on the S&P 500 to the tune of 208,448 contracts on the Chicago Mercantile Exchange (CME).

• There is also a huge net speculative short position on the U.S. dollar (the ‘carry trade’). For example, on the CME, we have 24,389 net speculative long CAD positions; 50,264 net speculative long contracts on the Australian dollar, and 28,036 net longs on the Euro. These are huge numbers. What happens if/when the U.S. dollar ever undergoes a countertrend rally?

• The largest speculative long positions are in the commodity space (this is near-term bearish) … 271,564 gold contracts (a record) on the Commodity Exchange (COMEX); 44,312 net longs on silver (near-record but not quite), West Texas Intermediate oil contracts on the New York Mercantile Exchange (also a record); 10,871 net long copper contracts (a new cycle high); 5,538 net speculative long contracts on the Goldman Sachs Commodity Index.

Who knows how long the short dollars/long equities trade can go on, but I know when a trade is this crowded it’s generally best to step to the side and let the speculators have their fun. These sorts of lop-sided trading environments rarely end well.

失業率10.2%, 趴兔

法意很快找到前一次10.2%失業率的market implication,
http://www.wretch.cc/blog/phigroup/16086283

搭配Wallstreet Journal的反面例證

1983牛市捲土重來﹖

現

在的情形開始有點像1983年：股市在飆升﹐失業率突破10%﹐科幻電視連續劇《V星入侵》又上演了。

股市投資者不由得期待1983年重演。這一年﹐正是一場歷時18年的大牛市的開端。

目前為止﹐股市行情很像八十年代早期。1982年8月到1983年10月﹐標準普爾500指數大漲69%。今年3月9日以來﹐該指數躍升58%。兩個時代都經歷了深度衰退﹐而在深度衰退過後﹐股市往往都會快速反彈。

可惜的是﹐其他相似之處很少。

現在市場的估值已經遠不像當時那麼低。八十年代的牛市開始的時候﹐標普500指數往績市盈率不到7倍。即使在上漲69%過後﹐其市盈率也僅僅達到10倍。

最近的這一輪上漲行情開始的時候﹐本益比為13倍﹐現在已經膨脹到接近19倍﹐而其長期平均水平為16倍。

失業率頭一次達到10.2%是在1983年4月﹐當時已經在準備下降了。而現在看來﹐未來幾個月失業率可能還要保持漲勢。

另外﹐1980年代牛市開始的時候﹐美聯儲(Federal Reserve)的基準利率為11%﹐這意味著它只要下調利率﹐就能夠再次提振市場。而在今天﹐聯邦基金目標利率處在接近於零的水平。

當時美國的嬰兒潮一代正處在掙錢能力和消費能力都最高的時候﹐現在這些人已經損失了數萬億美元的淨資產﹐退休金與醫療福利也都不確定。

1983年的時候﹐美國消費者一輪為期20年的負債積累還沒有開始。當時的家庭負債佔可支配收入的62%﹐這是自六十年代就一直保持的水平。

現在這一比率是122%﹐這還是在過去兩年債務增長停滯的情況下。

現在的監管與稅收前景或許也跟1983年不同。歷史證明﹐如果提高稅收、嚴格監管﹐市場能夠承受﹐但華爾街各公司會痛苦不已。

Miller Tabak首席經濟策略師格林豪斯(Dan Greenhaus)上週五告訴客戶說﹐通脹率在上升﹐失業率在上升﹐稅收在增加﹐監管在加強﹐而債務在下降﹐1983年可不是這等情形。
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我自己的感覺比較接近下面這一篇Wallstreet Journal

美聯儲撐腰 股市有遠慮無近憂

先

說壞消息：經濟疲軟。

再說好消息：經濟疲軟。

奇怪的是﹐讓很多投資者對長期前景感到擔憂﹐而讓部分投資者對短期前景感到鼓舞的﹐都是經濟疲軟這個相同的問題。其原因在於﹐艱難的經濟形勢要求美聯儲(Federal Reserve)將其短期利率目標維持在接近於零的水平﹐並繼續向金融體系注入大量資金。

這對股市來說是好事﹐因為來自美聯儲的資金最終會進入金融市場﹐也因為廉價資金會讓融資成本保持在低水平﹐從而推高公司的利潤。

上週四﹐因週三美聯儲宣佈將把利率保持在低水平﹐股市大幅上漲。週五失業率達到10.2%的消息傳來﹐股市還是實現了一定幅度的上漲。10月末11月初﹐市場多次劇烈起伏﹐原因之一在於﹐政府干預能不能讓經濟增長勢頭保持下去﹐讓投資者感到擔憂。

道瓊斯工業股票平均價格指數(Dow Jones Industrial Average)上週五收於10023.42點﹐較一週以前上漲3.2%﹐較年初上漲14.2%。

摩根士丹利(Morgan Stanley)的經濟學家對全球現金流在整體經濟活動中的比重進行了衡量。受全球各國央行注入的大量資金推動﹐現在這個指標已經達到30年前摩根士丹利開始追蹤該指標以來的最高水平。

所以﹐雖然銷售、就業和信貸等基本經濟引擎依舊萎靡不振﹐但廉價資金的持續擴張﹐意味著股市中的一個基本支柱仍然毅立不倒。

一些投資者擔心﹐到某一天﹐所有這些干預可能會帶來不可持續的赤字﹐或在垃圾債券、發展中國家股市或大宗商品市場中催生新的泡沫。但這是以後的問題。

美 國投資管理公司Cumberland Advisors的總裁科托克(David Kotok)說﹐我們先吃飯﹐再作餐後演說。一段低利率時期就在前面﹐這是市場喜歡的。科托克重倉投資股市﹐表示市場可以一直漲到明年春季或夏季。他相信 ﹐即便銷售收入的改善仍舊不多﹐但在公司成本削減措施的推動下﹐利潤也可以繼續高於預期。

投資者對形勢的看法大相徑庭。一些人非常悲觀﹐相信政府的巨額赤字和巨額借款會很快扼殺市場的反彈﹐並導致嚴重的通貨膨脹﹐而如果刺激措施過快退出﹐又會導致通貨緊縮。另外一些人則持樂觀態度﹐他們相信﹐經濟和股市正在進入一輪懷疑派無法理解的為時長久的復蘇。

一些人夾在兩派之間﹐對今後的事情感到擔心﹐但當前仍在努力獲利。這群人數量驚人。

最近幾十年的歷史可供參照。低利率可以帶來繁榮﹐但如果利率過低的局面持續得太久﹐則有可能帶來痛苦。

最近的一個前車之鑒是1982到2000年的大牛市。1970年代﹐由於嚴重的通貨膨脹﹐股市受到壓制。1981年﹐美聯儲將隔夜利率目標上調至20%﹐打破了通脹循環。通脹率終於逐步下降﹐在這種情況下﹐美聯儲得以穩步下調利率﹐孵育了經濟的長期增長和股市的長期上揚。

這一大牛市最後在2000年終結。一些投資者認為﹐這是因為美聯儲讓利率和資金成本過低﹐催生了科技股泡沫﹐後來又有房地產泡沫。

2001年到2003年的歷次降息﹐幫助形成了2007年前的一輪牛市﹐但這輪牛市中獲得的漲幅﹐在不到兩年的時間里旋即灰飛煙滅。

接下來幾個月﹐投資者可能會緊盯美聯儲發出的信號﹐看它打算在利率方面採取何種措施。

首先﹐美聯儲將開始修改常規政策聲明中的措辭﹐逐步提升廉價資金時代結束的可能性。它會減弱購買債券、向經濟體注入現金的力度。最後它會加息。

隨著這一過程的展開﹐股市大幅下降的風險將會增加﹐投資者的緊張情緒也會隨之增加。這是因為美聯儲的動作是過早還是過晚﹐難以判斷。考慮到近期經歷的事情﹐央行人士和投資者都會擔憂出現泡沫的風險﹐以及操之過急、使經濟再度衰退的風險﹐就像1930年代晚期的美聯儲那樣。

摩根士丹利經濟學家安德烈奧普洛斯(Spyros Andreopoulos)說﹐這讓央行處於一種非常非常艱難的境地﹐因為你不希望在復蘇確立之前加息﹐同樣你也不希望讓新的資產泡沫產生。

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我也很厭惡央行為吹泡沫的人擦屁股,這樣的行為只是讓我孩子的未來更加危險,但身在這個與別人競爭績效的行業裡,只能盼望我的動作比別人快, 別成為最後一隻老鼠.

美國“無就業增長復蘇”又添新證

中文華爾街日報在11/6 NFP之前就做了這篇,放在這裡跟前一篇比較

投

資者可能會就這是否為一場沒有就業增長的經濟復蘇展開爭論﹐但事實已經給出了肯定的回答。

更多的證據將在週五上午出現﹐屆時美國勞工統計局(Bureau of Labor Statistics)將發佈10月份就業數據。經濟學家們估計﹐這個月的非農就業人數會減少175,000人﹐而失業率將升至9.9%﹐創下1983年以來的最高水平。

華爾街上的老生常談是﹐就業是一項滯後指標﹐但情況並非總是如此。這項指標的改善只是在以往兩次經濟衰退後出現的復蘇中才大幅滯後。

而在第二次世界大戰至1982年期間的8次經濟衰退中﹐平均而言﹐非農就業人數降至最低、失業率升至最高水平的情況都出現在經濟衰退結束後不到一兩個月。

假設像大多數經濟學家認為的那樣﹐本輪經濟衰退從技術上說已於2009年6月份結束﹐那麼當前的經濟復蘇已經是一場沒有就業增長的復蘇。

假如非農就業人數10月份繼續下降﹐那將是這一數據自6月份以來至少第四個月下降。鑒於首次申請失業救濟H數依然居高不下﹐非農就業人數停止下降可能還需幾個月。

High Frequency Economics的經濟學家謝弗德森(Ian Shepherdson)說﹐非農就業人數要有顯著增長﹐首次申請失業救濟人數的四週移動平均值需下降近15萬人才行﹐該數值目前為523,750人。而 美國首次申請失業救濟人數用了7個月時間才減少13.5萬人。照這個下降速度﹐如果謝弗德森所言不謬﹐美國非農就業人數可能至少要7個月後才能顯著增長。

經濟學家們平均預計﹐美國失業率將在2010年2月升至最高點﹐即經濟衰退假定結束後的八個月。

甚至這一預測可能也太過樂觀了。《華爾街日報》的最新調查顯示﹐經濟學家們預計﹐美國今後好幾個季度折合成年率的國內生產總值(GDP)增長率都將不足3%。

如 果經濟按這一速度增長﹐鑒於非農就業人數和GDP之間的歷史關係﹐在威斯康星大學(University of Wisconsin)的經濟學家陳庚辛(Menzie Chinn)看來﹐2010年整個第二季度﹐美國非農就業人數都將繼續下降。而失業率通常都會在非農就業人數觸底後升至最高點。

那些永久性失業者或並非出於個人意願從事非全職工作的人在美國人口中所佔比例已達創紀錄高點這一事實﹐還未被考慮進上述評估中。而這一事實表明﹐美國的勞動力大軍中還有大量閑散人員。這雖然對經濟增長是個巨大不利因素﹐但卻會使利率保持在低水平﹐低利率應該能使股市受益。

10.2%失業率,然後...

十月份的NFP減少19萬人,終於回到多頭盼望已久的20萬門檻以下,失業率也在千呼萬喚中正式攀上了兩位數.加拿大的就業數字則比預期的增加一萬人差了不少,實際是減少了四萬兩千人.加幣對美金由1.0650跳上1.0750.

因為去看洋基遊行,沒有整天坐在螢幕邊看行情.但在出發前觀察到期貨只是開低0.65%等待現貨市場的反應. 便在whiteboard上留言,認為這正是測試利空及持股信心的好機會.以10月21日銀行股大跌那天為例,在一片利多數字中只因為一個分析師調低Wells Fargo 的評等,就能讓Wells Fargo 跌5%,拖累大盤在兩個小時內下跌1.5&.(見10/24的文章)

如今這樣一個令人意外的數字,市場反應相對平淡,週線EUR停在公佈前的1.4870水準(星期五亞洲曾到過1.49殺到1.4820以下);AUD比公佈前的0.9150還要強(NFP公佈後AUD確實曾殺到0.911的低點,但週線停在0.9180);GBP1.6580殺到1.6520,週線收在1.6610; USDZAR 由公佈前7.52上到7.59,收在7.53.就表示市場持有部位的信心非常強勁.為什麼??或許是因為Fed表示仍將維持超低美金利率一段相當時間,讓美元空頭有恃無恐.

Weekend G7 meeting 一樣是non event,到亞洲星期一時間傳來IMF認為美元目前的價值仍然高估. (這有什麼好意外的?連我這種人都早就看空了)項莊舞劍,意在沛公.IMF是美國養的,現在只是替美國發聲要亞洲國家升值.

就像Fed 會後, Barclays Capital的Barry Knapp所說 "Game on for the carry trade"".

New York honors there newest champion

一向不喜歡湊熱鬧,但這是Yankees 九年來第一次拿World Championship,抱著姑且一看的心情跟同事一起去City Hall 前面人擠人.
是我少見多怪,或是NY City 真是辦Parade的高手?即使downtown只有不到五度的低溫,沸騰的情緒讓我從頭開心到最後.身處於面Broadway第一排的七樓裡,都能感受這樣high的感覺,站在大街上的人群該有多高興?看著碎紙片和捲筒衛生紙從大樓窗戶丟出來在風裡盤旋---紐約人,你們真的很幸福.

印度飆出黃金天價

黃金一天之內從1060以下飆上1085,印度向IMF買了200噸黃金,新聞一出黃金價格就如脫韁野馬,

The International Monetary Fund has sold 200 metric tonnes of gold to India’s central bank, making $6.7bn which it will use to shore up its long-term finances and subsidise loans to poor countries. India’s central bank is the first to buy from the IMF since the Fund put 403.3 tonnes of its stockpile up for sale in September. The IMF made more money than it initially expected, selling the metal to the Reserve Bank of India gradually over the past two weeks at an average market price of around $1,045 an ounce.

FT 的Lex 作了以下的comment
Most investors tend to make a virtue out of diversification. But when the asset holder is a central bank, and the assets in question are US Treasuries, few like to shout about it. Yesterday’s curt announcement from India’s Reserve Bank that it was swapping $6.7bn of dollars for 200 tonnes of gold from the International Monetary Fund’s vaults did not mention the D-word. The RBI purchases gold under IMF’s limited gold sales programme - Reserve Bank of India" exercise was described simply as “reserves management”. Move along, nothing to see.

True, this is modest in the context of a $286bn foreign exchange pool, Asia’s fourth largest. It raises the India’s Foreign Exchange Reserves share of gold from 3.6 per cent of reserves to just over 6 per cent. And it is opportunistic, as much as strategic. After years of net selling, other central banks have started to sit on their bullion. Precious metals consultancy GFMS forecasts net sales of just 50 tonnes this year, the lowest total since 1988. The IMF, which announced plans to offload 403 tonnes in September, is the only big seller around.But the exchange is telling, nonetheless. Since a balance of payments shock in the early 90s, the RBI had been steadily offloading its gold. The reversal of that trend burnishes the yellow metal’s credentials as the ultimate reserve currency. The decline in the dollar, down 15 per cent since March against six major currencies, is neatly mirrored by a 15 per cent rise in gold. RBI governor Duvvuri Subbarao may have asked himself a simple question: will the supply of gold rise as fast as the supply of dollar assets? Answer: almost certainly not.The unmasking of a new, deep-pocketed buyer took the gold market by surprise, pushing spot prices to within a whisker of the record nominal high of last month. But for the RBI, the push from the dollar was probably stronger than the pull from gold.

SCB 對黃金和這個消息的comment:

Gold has broken into new territory today, reaching a new all-time high of USD 1,087.80/oz in morning Asian trade. This move higher comes despite a weaker USD, indicating that gold is rallying in non-USD terms too (it is now only 6% off its all-time nominal high in EUR terms). The announcement that India had bought 200t from the IMF was bullish. Such a sale avoids open-market sales that would pressure prices, while drawing in a new buyer. India had not officially added to its gold reserves since 1998. While it is not entirely clear what the RBI's objectives were, the purchase continues the trend of central bank activity helping gold prices this year. Net selling by European central banks has eased, and buying by Asian central banks continues. Indeed, with gold constituting less than 2% of China's total reserves, there is plenty of upside for gold as a proportion of its reserves. Real interest rate markets have also been supportive - the US 5-year TIP yield has reached lows of 60-65bps recently. In our view, gold will continue to be driven higher by a weaker USD and the Fed's accommodative monetary policy stance, which we believe is causing investors to seek hard assets to allay concerns about the risks inherent in excessive liquidity.

Plus background to RBI decision

The IMF announced that it sold 200 tonnes (t) of gold to the Reserve Bank of India (RBI), almost half of the 403t allocation that it has approval to sell. Though the impact of this gold purchase is neutral for FX reserves (currently at USD 285bn), the quantity of gold bought is undoubtedly significant. The purchase boosts Indian gold reserves by 55% from 358t to 558t (or from USD 10.3bn to USD 17bn). Since India has not been a buyer of gold for its official reserves since the late 1990s, this huge purchase has sparked debate that the Reserve Bank of India (RBI) has started diversifying its reserves away from USD. The argument looks stronger if we analyze the drivers of changes in the FX reserves. In FY09, of the USD 58bn decline in India.s FX reserves (from USD 309.7bn), USD 37.9bn was due to valuation changes on huge fluctuations in currency markets. Hence, the argument that increased gold holdings would mitigate these external shocks cannot be denied. However, we need to keep in mind the fact that the overall share of gold in India.s FX reserves remains limited at 5.9% (up from 3.6% before this gold purchase). Hence, any buffer against short-term fluctuations remains limited.

印度的大動作引發一連串討論,過去兩三天擔心央行打壓泡沫的憂慮,對於商用不動產在未來銀行獲利 的恐懼都因為美元轉弱而消除.

就像Rubini說的,以美元為funing currency 的carry trade, 不僅幾乎是零利率, 實際報酬率可以高到60,70%.
http://money.udn.com/wealth/storypage.jsp?f_MAIN_ID=329&f_SUB_ID=3014&f_ART_ID=198130
美國人現在是生死存亡關頭,反正炒作是美國人的本事,炒作別人的資產,泡沫破掉死的是別人, Fed才不會把利率調高.有中美聯手,這個泡沫短時間內還有的吹.

美國版養老鼠咬布袋

Warrent Buffett Joins Goldman bid for Fannie Mae Tax Credits

http://online.wsj.com/article_email/SB125729682025626851-lMyQjAxMDI5NTA3NDIwOTQ2Wj.html

http://www.cnbc.com/id/33618173/site/14081545

為了獎勵不動產商投資平價房地產,政府對所謂low-income housing developments 有tax credits, Fannie Mae 的資產項目裡也有不少這種project, 如今不少project因為發展商破產變成不良資產,沒有income自然不能獲得taxc credits.

Goldman和Buffett把腦筋動到這塊肉上,想把這些對Fannie Mae 而言仍在流血的資產買過來. (八月份 Fannie Mae仍在認列損失), 看起來像是個win-win, 但是這些錢是從納稅人的口袋搬到了Goldman和Buffett 的口袋裡.而Goldman這隻老鼠去年底差點淹死,因為美國政府的善意介入活下來, 在賺了大錢之餘回過頭來要咬政府的布袋.

投資COMMODITY可以看這篇

前面一半是no brainer, 我喜歡的是後面的ETF list.
http://www.cnbc.com/id/33533541/

月線連七紅結束,CITIGROUP又成落水狗

今天報紙頭條為昨天GDP數字發布後股市大漲慶賀的墨水還沒乾呢, 今天股市硬是以比昨天漲點還大的跌點讓華爾街哀鴻遍野.

開盤前的數字, Consumer Spending 下跌, Personal Consumption Expenditure Index 上漲,
http://www.nytimes.com/2009/10/31/business/31markets.html?hp
http://www.nytimes.com/2009/10/31/business/economy/31econ.html?ref=economy

價格上漲加上支出減少, 如果不能轉嫁給消費者, 企業遭受的是雙重的打擊.

市場對十月三十一日股票的大跌歸納出經濟基本面與消息面兩個利空.基本面來說, 據商務部的數據, 九月份消費者的可支配所得與八月份相比持平, 但消費者硬是減少了0.5%的消費支出;消息面則來自CITIGROUP.在GS及JP已經還掉聯邦政府所注入資金,逃出政府營運規範後, CITIGROUP仍受制於450億美元的聯邦資金. (這點完全說明了GS在美國政壇呼風喚雨的能力以及美國政府的顢頇或更可怕的事實:官商勾結--想法後詳)

今天整體銀行類股下跌了近5%,
Big banks like Citigroup, which have rallied strongly this year as the financial crisis receded, tumbled sharply. Banking shares fell nearly 5 percent. Shares of Citigroup dropped 22 cents, or 5.1 percent, to $4.09, after an analyst raised concerns that the company might have to write off a big portion of nearly $38 billion of tax benefits.

Investors fear banks’ losses on loans will continue to worsen, particularly if unemployment keeps rising. A report due next week is expected to show that the jobless rate might be close to 10 percent. Others worry how banks will make up lost revenue as Washington cracks down on credit card penalties and debit card overdraft fees.

Questions about the ability of Citigroup to take advantage of certain tax benefits have swirled around the company for months. Tax accounting experts say that federal securities regulators have demanded that financial companies start marking down the value of those benefits if their profit outlook remains dim.

稅法我不懂,何況是美國的稅法.銀行利潤與tax credit的關係只能看日後發展結果.
http://www.cnbc.com/id/33552566

這裡我只想說對美國政府處理GS的個人想法.

去年底當美國政府向所有銀行不分好壞一律注資的時候, 所持的理由是若非如此, 可能造成市場對接受資金銀行狀況的想像, 加速被注資銀行股價的崩跌. 一年以後,當市況扭轉, GS要根據大好表現分紅, 急欲擺脫聯邦政府對薪資的限制時, 十億美元說還就還;如今市場果然對仍無法償還聯邦資金的銀行有疑慮造成CITI,BA三不五時被點名有重大問題.

如果去年美國政府的邏輯是對的,那為什麼相同的作法現在不延續?

GS的獲利本領無庸置疑,但是去年底如果沒有政府介入解除GS的流動性危機, 玩的太大的GS一樣要下臺鞠躬. (情況就像當年的LTCB.諾貝爾獎得主的hedge fund因為流動性問題,一夕冰消土崩.)一旦被海嘯吞沒,眾多破產的GS合夥人能這麼快翻身?在百分之10的美國就業人力仍爲失業所苦時,賺得盆滿缽盈的GS要高調還清政府注資,接著大舉分紅.過了河就要拆橋,讓別人活不下去. 而美國政府一聲不吭, 像一般民間借貸有借有還. ((當然各國政府的資金也不是白送的,8%的年利率,以現在的資金情況怎麼看也是高利貸 有辦法籌資的銀行當然要迫不及待以股換債,最近歐洲的ING就是如此)).然後說GS已經歸還政府資金, 政府無法對GS屬於私人企業行為的分紅置喙, 政府規範仍接受聯邦資金的七家金融機構薪資.

GS就這樣逃過市場生存法則的懲罰,美國政府的昨是今非, 實在讓我這個外國人瞠目結舌. 或許有支持GS的看法認為GS夠精明,能充分掌握政府 too big to fall的恐懼,把自己的命運與整體金融市場結合, 當然可以爲如此的具體表現獲取獎勵. 真是如此? 如果去年底的美國財政部長不是Henry Paulson,今天還有GS嗎?

任何事情玩到盡就可能反嗜, 英文叫Backfire, 我好奇GS這塊金字招牌會不會有朝一日栽跟斗---不是在市場風險裡, 而是一場階級革命...

只是不知道這個被狂牛症牛排和冰淇淋塞的腦滿腸肥,以為只要每天唱天佑阿美利加, 就可以胡搞瞎搞的阿美利加國國民,需要多久時間才能瞭解到真相.

沒有天天漲的股市,也沒有天天跌的美元

華爾街公佈第三季季報, 看到10/14 JP Morgan Chase, 10/15 Goldman拜trading 部門抑注的強勁獲利,也有仍然被不動產放款壞帳深深困擾的10/15 CITIGROUP和10/16 BOFA.
撇開科技業, 分析這些金融業的的結果, 如果不是有極堅強的trading , 沒有一個能逃過美國經濟仍在低檔掙扎的痛椘,當消費者付不出房貸時, 要怎麼寄望銀行賺錢?只是大家都被JP和GS的美麗數字給蠱惑.

但現在回過頭來想想, 我們可能有另一個股市上漲50%以上, credit spread 繼續tighten 同樣幅度的第四季, 讓GS和JP再有美好的另一季報嗎?這麼簡單的事實大家都沒想過?尤其當油價也終於向弱勢美元表態, 突破75元以後,企業要怎麼讓消費者從所剩有限的口袋裡掏出錢來?

要不是現在FED這麼積極地印鈔票,中國用力向全世界灑美金, 所有的央行都加入這個瘋狂派對,現在的一切美好當然不會這麼美好.APPLE 的樂觀可能是從競爭者的market share 中搶到的customer demand, 萬股皆漲的世代已經早結束了, 一切都要買領導品牌的現象沒有比現在更明顯了
英鎊在兩個星期前10/12被摜到1.58, 但隨著BOE 出乎意料的宣示可能不會再增加QE之後, 英鎊的軋空行情就勢如破竹.
是什麼引爆了美金的軋空?似乎是昨天的股市大反轉. 11.30NY時間是轉弱點. ING宣布要發行新股, 賣掉保險集團

ING may not have had a good crisis but it is at least making good use of it

New management at the Dutch financial group has moved quickly to simplify, shrink and retreat even more than intended only months ago – albeit with a helpful nudge from local and European authorities.
The central part of the latest restructuring is to pull out of bancassurance once and for all. ING plans to sell or float its insurance and investment management operations by 2013. The company has taken pride in the scale and earnings stability provided by the model it is abandoning, but the broader benefits never really delivered as advertised, and failed to compensate for the cost of a conglomerate discount. The downturn exacerbated the flaws: ING’s market capitalisation is just €24bn – the book value of the insurance business €22bn.

The group already had embarked on a “Back to Basics” turnaround plan in April. But it wasn’t basic enough for regulators. Though ING has already sold operations on four continents in a push to raise up to €8bn, it is now being forced to unload yet more. The US internet bank, ING Direct USA, and its $80bn of deposits will be sacrificed, also by 2013. Parts of the Dutch loan book – including 6pc of the country’s mortgage market – also will be spun off. This will leave ING as a bank focused on the Benelux region with considerably less international reach.
Meanwhile, the proceeds from a €7.5bn rights issue will be put to good use. Some E6bn will help to repay half the state’s capital earlier than expected, thereby reducing its cost. Instead of a 50pc exit premium, ING will instead pay a pro-rated 8.5pc coupon and a lower premium based on its share price. The deal gives Dutch taxpayers an accelerated return of at least 15pc. They’ll also get extra compensation for protecting €22bn of ING’s mortgage-backed securities. The original scheme has turned out to be too much of a bargain, and ING will shell out an extra E1.3bn fee. These twiddles look fair: taxpayers are being compensated for having propped up ING, but not so generously that the company is pointlessly crippled.
What ING spent 20 years building is being undone – at least on paper – in one. But without the crisis, it might not have found the right path so swiftly.
在大部分風險資產來自美元的carry trade, 股市回檔自然會引起美元空頭回補的聯想. 先看看能股市能回跌多少吧.

這次英鎊美元其實有些齊漲齊跌, 英鎊先兩個星期空頭回補, 然後是美元. 提醒永遠不要忘記獲利了結. 上星期GS 教大家T/P AUD, 改以long EUR來short USD. 結果EUR跌得並不比AUD少.今天早上的Gartment Letter:

THE US DOLLAR IS MATERIALLY STRONGER, and it is so relative to nearly
every major and minor currency marked here each day, save for the Russian Ruble and the British Pound Sterling. Further, as we note from the chart at the upper left this page, the EUR traced out an outside reversal to the downside yesterday; that is, having gone to a new multi-year high relative to the US dollar in early, quiet trade, the EUR moved lower and then
traded downward through the lows of the previous trading session marking a “classical” reversal to the downside. We do not, and we shall not, take this “reversal” lightly, for as we have said, the short side of the US dollar had become inordinately and almost incomprehensively one-sided in recent days and weeks, to the point where the slightest change in psychology would send the dollar soaring as short ran for cover. That day came yesterday.

利多不漲

今天公佈成屋銷售, Microsoft的數字也優於預期但股市卻是從開盤就一路跌到收盤,雖然不是收在最低卻也離最低不遠. 前天一根帶量的大黑棒被昨天更大量的一根紅棒包覆,讓我以為今天應該續創新高,但證明市場仍然比我高明.what's up? CNBC給了下面三點解釋:
1) while home sales were strong, many analysts believe the expiration of the first time homebuyer tax credit greatly inflated the figure, so it is being discounted heavily;

2) while the news is still good, the big advance in stocks in the last six months means you don't get as much of a pop when you are trading at 19x earnings, rather than the 16x earnings we were trading at a few months ago (market is tired);

3) perhaps the most important issue is the way the dollar is now being used. It's a dollar carry trade, with the dollar being used to buy other assets around the world, much as the yen was used previously.

What this means is that any signs of economic strength means a higher likelihood that interest rates will go up, which will increase the cost of using the dollar for the carry trade.

That causes the dollar to go up on short covering, which puts pressure on stocks.

以下這個現象很傳神地說明了目前居高思危的市場心態

The latest Thomson Reuters research into the U.S. earnings season, for example, shows that with a third of the S&P 500 index having reported, 78 percent have beaten expectations.

The figure is 90 percent for technology stocks and 59 percent for financials.

That said, it only took one Wall Street analyst sell recommendation this week—on a bank—to tip the whole market downwards for a day. The Dow drops 100 points on Wednesday after banking analyst Dick Bove downgraded his rating on Wells Fargo.

政府要錢,一切從寬?

當聯邦存款保險公司FDIC的理賠基金可能快不夠用,投資人對金融機構的股票到底該怎麼評估?

今天的Wall Street Journal頭版頭條新聞是

由於FDIC的困境,FDIC 董事會以4-1的票數放寬了對私募基金買入陷於困境銀行的投資限制

七月中主管機關對於私募基金入主銀行的限制包括

所持有銀行股票三年之內不得賣出,並必須維持被入主銀行的Tier 1資本不低於總資產的15%

昨天FDIC 將15%的規定下調為10%!

今天的紐約股市雖然一度因科技股開低近1%影響開盤行情,但銀行類股半小時後便開始逐步上漲, AIG尤其漲得兇猛,曾經上漲超過9美元 ,漲幅超過30%;花旗銀行也整天都維持8%以上的漲幅,結果是連科技股都感染了上漲的情緒,到了下午兩點美股便已全面小紅; FX 方面AUD 由0.83 以下回到0.84, USD/BRL 1.89落回昨天收盤1.86, USD/ZAR 7.94到7.79/7.80.

WSJ將FDIC的態度軟化歸因於私募基金的大力Lobby,但從美國主管機關的心態猜測,個人認為確也是在玉石俱焚前不得不做的妥協;所以千百年前的中國人不就已告訴我們？塞翁失馬,焉知非福

當政府可能已近力竭時,之前被嚴格管制的區塊可能才正要開始聞到一點開放的氣息?

看台灣現在的情況,因為救災預算龐大,政府賣資產可能又將開始,這時候對於私人產業也將採取比較寬鬆的態度,此時備妥銀彈等到一旦態度轉變,過去什麼台新入主彰銀的紛擾,紅火案等,恐怕都將是此一時彼一時也

NY樣樣都要很多錢

剛才瞄到上次寫這個部落格是七月九日,為了搬到大蘋果來已經變懶了,今天因為發現紐約居,大不易,就再開始寫吧

這裡樣樣都要錢, 還要不少錢!
話說上星期去Chase開戶
銀行員問我要不要印支票簿
我看開戶時送的支票簿只有五張支票, 便說好吧
沒想到剛剛看我網路銀行上的餘額不對
赫然發現我竟被charge 19塊美金印5本支票簿.
你娘卡好,星期天晚上吃一客all you can eat的自助餐,有牛排龍蝦也不過20塊
Chase 嘎您唄記住

另一件嚇一跳的事, 在Manhattan很少人開車進城
路小車又多,塞車是當然的.停車想必也不便宜
今天路過55街, 看到一個月停車費不含稅340美金
當時我便想,加上消費稅8.5%左右也不過380
昨天買長島火車加公車轉乘的月票也要242
找個外交部紐處也住Great Neck 的人car pool 就cover 過去啦

HA
進辦公室一問,car park的稅是18%
只能說贛林老木

NFP痛很大

與消費者支出有關的每週工時, 儲蓄率以及NFP陸續公布後, 高價消費產品就連跌四天. (當然中國台灣(Chiawan)是唯二例外, 跌三天交代). 美國五月儲蓄率到6.9% , 每週工時掉到33小時,

美國今年 5 月的個人儲蓄率暴增，很明顯地，消費者現在不再消費，反而積極地把錢往銀行塞。　　根據美國商務經濟分析局提出的數據，美國的個人儲蓄率由 4 月的 5.6% 飆升到 5 月的 6.9%，是 1993 年以來最高。
回顧過去幾年和 2009 年以來每個月份的數據，就可以看見儲蓄率增加的驚人速率。儲蓄率幾乎是在一年內從 0 跳到 16 年來的新高，這樣暴增的情況勢必也對其他事情造成了影響。

http://blog.money-link.com.tw/boss1/post.aspx?id=846c9914-4c5e-4244-8da8-e04223130acd

中國六月份新增貸款1兆五千億, 要努力填補美國人消費力消失後的空缺.

大家都要存錢, 銀行被爛頭寸塞爆. 又不敢砍大客戶的存款利率, 竟然ALM run 一個-2%的carry. 人同此心, 看起來銀行應該都希望開更長的duration position, 公債殖利率在這段等待季報公布的時間裏恐怕欲上不易吧

看看別人,想想自己(2)

法意的Mr.X似乎搞了一個auto link,可以每天看全球各地市場,包括股市,匯市,原物料及信貸市場,頗能一目瞭然.

1. 股市 http://www.wretch.cc/blog/phigroup/15794504#COMMEND

2. 匯市 http://www.wretch.cc/blog/phigroup/15802146

3. 原物料 http://www.wretch.cc/blog/phigroup/15802227

4. 債券信貸 http://www.wretch.cc/blog/phigroup/15789321

看看別人,想想自己(1)

經常看到程式交易者談交易的訊號指標及依據,經常是看得一頭霧水.

這是另一位天天寫台股的部落格主,也是在大跌前的六月第一週,版主提出轉折的跡象與懷疑,看看他的版吧.

1.版內最常提到的轉折,ABC,漲跌時間判斷
http://www.yctseng.net/2008/04/abc.html
http://www.yctseng.net/2007/12/3-6abc.html

2. 集中看六月第一週的交易日誌
http://www.yctseng.net/search/label/%E4%BA%A4%E6%98%93%E6%97%A5%E8%AA%8C

3. 看看四月底五月初台股因為遠傳和中國移動新聞而開始暴漲時的日誌
http://www.yctseng.net/search/label/%E4%BA%A4%E6%98%93%E6%97%A5%E8%AA%8C?updated-max=2009-05-06T13%3A06%3A00%2B08%3A00&max-results=20

台股實在有點讓人擔心

今天中日股市續漲, 中國漲1%,日本漲2%, 9991,都要碰到10000點了;韓國也漲了3%, 對照下來, 台股在連續兩天大跌後只小漲0.75%, 成交量不到1200億, 比昨天的1500億還小, 就實在是讓人擔心.

只盼望美國晚上能接棒漲個1%以上, 撐住全體的盤勢.

可以說是外匯領先了股市? 在今天這樣的情緒下, AUD和NZD亞洲時間的漲幅都不如昨夜紐約時間的漲勢凌厲.休息為了走更遠的路? We will see.

日圓很弱, 日本股票漲很大

日圓的弱勢一直被解釋為市場追求風險性部位的結果. 看一下這篇Dresdner的研究歸納, 日本貿易順差的大減, 才是大原因:去年底今年初日圓狂漲到88時, 出口商很有可能避險過頭了, 當確實的海外收入數字發生時體現出此一問題, 所以才有不知名的日元賣盤等在95以下要回沖部位?

More arguments favouring a soft JPY

The combination of weak Japanese economic fundamentals including rising deflation risks, substantial portfolio investment outflows and a sharply narrowing current account surplus favour more JPY weakness in the months to come. Given our view that the recent USD weakness has been unjustified and will reverse, a short JPY position versus the USD should be well suited to express a bearish view on the JPY.

Japan’s current account surplus continues to shrink rapidly. In the first 4 months of this year it declined by about JPY 4.9trn – more than 60% - compared to the same period last year while the 12M cumulated sum fell by JPY 12.5trn or 52% versus April 2008 (compare left chart below). The development is primarily a result of the collapse in Japanese exports which weighs heavily on the trade surplus. Only the ongoing strong income component prevents the current account from slipping into negative territory.

At the same time, Japanese investors have been increasing their purchases of foreign assets in recent months as evidence of the deteriorating Japanese economic situation – rising deflation risks in particular – has grown stronger. Buying has focussed on foreign bonds and Japanese net holdings rose by JPY 8.59trn since the start of the year. Japanese investors also added foreign equities to their portfolios (JPY 2.9trn) while foreigners reduced their holdings of Japanese assets by JPY 5.65trn. The overall outflow of portfolio investment reached JPY 17.16trn since the start of the year – 2.35 times the level reported in the first 5 months of 2008.

The combination of the shrinking current account surplus and the rise in portfolio investment outflows adds to the JPY negative arguments related to the economic assessment and the associated BoJ outlook. In particular Japan’s rising deflation risks (May corporate goods prices down 5.4% yoy) which fuel expectations that the BoJ may open the monetary sluice gates even further argue in favour of more JPY weakness as the JPY’s negative carry would increase. The average 2y JPY carry within the G10 grid (calculated from swap spreads) has already moved from -56bp to -76bp since March while the 10y carry widened to -123bp from -98bp. In this context, it is worth highlighting that in trade weighted terms the JPY has fallen by significantly more that the USD in recent weeks/months (JPY down about 14.5% from its peak while USD is down 8.2%. The more the JPY’s negative carry widens the more the JPY should underperform within the G10 grid as its attraction as a funding currency for carry trades increases.

Given our view that the recent sell-off in the USD is overdone and will reverse in the weeks/months to come, a long USD-JPY position is well suited to express a bearish JPY outlook (we see USD-JPY at 110 by year end). At the same time, a short JPY position versus a basket of high-yielders (AUD, NZD, NOK as well as EM) should also be profitable.

高盛不敗?

USD昨晚一個大反轉, Gordon Brown 保住位子, GBP從1.60回到1.63; 高盛叫大家把握EUR跌到1.39以下的機會搶進; NFP之後對Fed可能今年底以前升息的預期又消退一些, 也使美元強勢逆轉.

GS列舉了五個空美元的理由

1) The recovery in global growth expectations is leading to a broader pick-up in risk appetite and a normalization in money markets as our Financial Stress Index continues to highlight. Lower money market rates and reduced dollar funding pressures reduce safe haven Dollar demand and allow Dollar depreciation.

2) Related to the previous point, we expect commodity prices to continue to rise. With the oil-Dollar correlation re-emerging we think that higher commodity prices will lead to a weaker Dollar. As we have shown in the past, the causality typically tends to run from commodity prices to FX.

3) Throughout this recovery in global growth, the US is likely to underperform in terms of domestic demand as the US consumer is adjusting its level of spending lower (and its savings rate higher). The US output gap is estimated to be among the largest of any major country.

4) Together with weaker domestic demand, the FED will likely be more aggressive with monetary easing than the ECB, thus creating conditions for a weaker USD. The rather hawkish tone of the ECB last Thursday supports this argument.

5) The continued talk about the SDR as a new synthetic reserve currency undermines confidence in the currently dominating reserve currency, the Dollar. Note that the SDR basket only contains about 40% USD (37% for the EUR) compared to the current share of about 60% (30% for the EUR) in EM central bank reserves globally. Finally, talk about BRIC countries invoicing their international trade in each other's currencies further questions the future of the Dollar as reserve currency. While be believe that changes are a long way off, these reserve related factors add to the Dollar negative sentiment.

The timing is now opportune for new EUR/$ longs. Driven by the improvement in the rate of global growth, the market has been very aggressive in terms of pricing tighter monetary policy in the US.However, we disagree with this market movement. We think the level of growth will remain below trend and US rates will be kept low for a considerable period of time. If and when expectations for tighter Fed policy get scaled down, the Dollar will likely come under renewed pressure. In addition, our GS Sentiment Index indicates that the speculative long position that had built up in EUR/$ over the last few weeks has been completely washed out.

Finally, despite the fact that the EUR/$ has appreciated sharply, the EUR TWI has been more stable due to relative EUR weakness relative to peripheral currencies, in particular the Pound. This has allowed overall financial conditions in Europe to ease over the last few months as our Eurozone FCI also indicates, mostly due to equity markets strengthening.EUR/$ strength has therefore been much less of a growth hurdle.

We would go long EUR/$ with a stop on a close below 1.3720 for an initial target of 1.45.

先是上星期三的英鎊, 然後是股市的調整

不管是不是懵到, 這兩篇來的時機實在太準

On GBP
on Jun 3, by Jonathan Clark

Today is the Most Likely Day for a Sterling Peak (3 Jun 2009) By Jonathan Clark

Many of the technical indicators we follow tell us the uptrend in the major currencies is proceeding at a pace that is unsustainable. The cycles argue that these major currencies have reached the most likely time for a peak, but it is difficult to identify the exact day the high will be seen. One reason for this is there is a tendency for very strong trends to become stretched in terms of time, so the penalty for picking a peak early can be punitive. It is also difficult to single out a particular currency to sell for the next downtrend, but it is clear to us the group would include GBP, AUD, NZD and CAD. Now that we have given warnings, we will attempt to identify both a good currency to sell and when to do it.

The British pound acts like a carry currency, even though its interest rates are roughly the same as the Eurozone. We come to this conclusion because EUR/GBP trades opposite of carry indices. The interest rate differential between the US and UK has been narrowing during the past three weeks and this makes the pound vulnerable to weakness, even though it continues to charge ahead. It will be overbought according to our Short-term Sentiment Measure if above 1.6676 at 14:00 GMT and this should be a difficult level to surpass. The shorter cycles call for Wednesday to be another up day and late trading is the most likely time for the uptrend to end. Our target is the1.6675 area and if seen is a good place to establish a small short position. Following this peak it should decline into Friday and an aggressive downmove will signal the start of a sustained decline. It will take a close below 1.6175 to signal the pound is headed lower into late July and this weakness will probably last into September.

We will then look to establish full short pound positions and our initial target will become the 1.5500 area. If the currency fails to see much weakness into the end of the week then it will turn higher and make a final upmove lasting into the second half of next week. A close above 1.6675 signals the pound can reach the 1.6900 area before peaking. We consider this more positive outlook unlikely, but we cannot entirely rule it out and therefore we are cautious sellers until there is evidence it has peaked.

On Equity
The fun is over
June 4, 2009By Taylor

Three months ago in our letter of March 5, which was titled When Something Looks Inevitable, It Isn’t, we argued that the extremely pessimistic market mood was turning and that there was at least a month of strength ahead. For equities we were a day early, and most every other market reversed in the five trading days surrounding the letter. Some of that was luck, but some was logic and analytical technique. We are happy that the strength infused all markets everywhere and that it lasted almost three months, but now the situation has reversed and we have to argue that this period of relative joy is over. Although we would be foolish to say that there is the same inevitability to the current strength, in general the markets are almost historically over-optimistic. By our measures, the only rallies this aggressive were seen in 1932, 1933, 1938, and 1982. Although one could argue that this is a similar historic reversal, we would disagree as price to earnings, price to book, and price to sales ratios were far lower than they are today, and in the first three, dividends were above 10-year yields.

Although we believe that this will be the top for risk loving trades, we assure you that we are nervous about making this claim. What tips the scale for us are the coincident cyclical relationships that we see in many, many different markets today, and the relationship between the current situation and several others in the past. Whether we look at currency pairs, commodities, or equity indices, the moves last fall were extremely large, but in most cases not outside of historical precedent; however, the reversals in the past three months have been extraordinary and often beyond precedent. Although market movements can be measured many different ways, it is hard to understate the overbought nature of the current market. It is not only prices but also positioning indicators that are extreme.

The put/call ratio is at the lowest point since the equity market high in October 2007, and the current percentage of NYSE stocks above their 200-day moving average is higher than it was then. The Daily Sentiment Index in the US is at 86%, only 2% below the level at the October 2007 peak, but we must remember that this number often reached levels over 90% in the 2006 and early 2007 time periods. Although we cannot guarantee this high, we are sure that this is a terrible time to buy equities, not only in the United States, but anywhere in the world.

The next few months should see investors develop a new, more conservative estimate of the future course of the global economy and its relationship to the markets. Because of the aggressive nature of the US, Japanese, British, and Swiss response to the liquidity needs of the global financial community, investors are no longer expecting the system to suffer a liquidity crisis, but the economic fallout from the liquidity shortage is not the only issue the global markets are facing. The recession has not run its course and by some measures, such as employment and construction activity, it has just begun. With a crippled financial system, the recovery from this sharp decline will be much slower than the recoveries from the shallow 1990 and the 2001 recessions, which took both more than two years to shift from a deflationary bias toward inflation and to begin adding jobs.

With so much excess capacity,earnings will decline further in the next year and corporate and real-estate related bankruptcies will soar. As this recession has a long way to go, the risk of insolvency will take its usual place as the issue to worry about. Our cycles say that equities will decline sharply to September at a minimum, but more likely will remain under pressure into the end of the year. The dollar should strengthen for a few months too, and interest rates should drop again as a more realistic view of the future becomes widespread.

Krugman也說recession可能將結束

在London School of Economics 演講, Krugman也說recession 可能在九月前結束.據說紐約股市因此由跌1%轉平盤.

謝啦Paul, 但亞洲顯然不受用. 中國上海和台灣股市, so called Chiwan, 領跌.已經有太多鈔票變股票;從四月初就很多聰明的traders說green shoots,現在還需要Paul Krugman 來concur? Paul 今年初還是最看衰美國救市方案的學者, 會因為他這時翻轉看法而興奮的恐怕是被套在高點的, 抱著一絲解套希望的散戶吧? ,

是巧合?澳洲人從上週初開始有拒絕中國收購的聲音, 然後台股便從高點開始無力再攻;到目前6452已經跌了近8.5%. 領漲就領跌似乎也很合理. 但是澳洲人與中國沒有什麼過節都對中國銀彈戒慎恐懼, 台灣會沒有一丁點雜音?台股會不會在6400附近因為之前空手的人進來搶個小反彈?畢竟6350以下的跳空缺口有點太大了. 跌到那兒去就有點危險, 而外資匯出的部位好像也還不到恐慌的程度.

之前因為害怕美國Debase而使USD跌了5%, 現在可能因為美國似乎率先出曙光而反彈嗎? 之前front run 中國鋁業的AUD多頭正在調整. 但歐元就有點離譜了, cross 上還是弱, 還是不能擺脫Ireland ,Latvia 等小國財政問題的困擾.

Smart Money 真是值得金融投機人看的好站

雖然格主在5800左右心態便已保守起來,因此從四月下旬開始近一個半月來常見有讀者留言諷刺格主錯失從5800到7000的"中資行情"段,但能抓到4500到5800就已經夠厲害了,尤其4500那會兒是全場風聲鶴唳,在轉折剛開始便已介入的眼光是我最敬佩的,至於半途被市場洗掉,嗯,再加油多練吧,只有神才能抓最高最低.

5/21"看看風險與利潤"
http://www.wretch.cc/blog/SmartMoney/26846496
裏面連結了兩篇格主分別在二月底進場與四月下旬出場的依據,一定要看進場的那一篇;分類"基本&技術觀念"裏的每一篇都應該要看

網路世界臥虎藏龍,高手真的太多了

每次都死在趨勢改變後的第一次拉回?

NFP -345K,比預期改善很多.除了美債殖利率繼續向上之外,美元卻只在數字公布後短暫下挫,歐元小漲至1.4235即反轉向下破了1.40,黃金跌2%到962.英鎊與澳幣因為昨天已經跌過一大段,今天跌得相對少;加幣從亞洲時間1.09跌到1.12;股票則在小漲1.5%後以平盤結束.風險性資產都在這樣的相對好消息下獲利了結.

從各種市場各走各的方向,過去兩個月股市漲美元就跌的相關性已經連續兩天不成立來看,再次證明只有市場部位最重要,其他的什麼邏輯只是事後找藉口.

昨天早上中鋁買Rio Tinto 的事情正式破局,星期四紐約時間便觸發了澳幣的大幅調整;英國內閣大臣紛紛掛冠求去則讓英鎊從1.6665一口氣跌穿1.62,現在甚至連1.60都不守. Holy S...

亞洲在星期五NFP之前是在美元小反彈後的拉回,EUR圖上是實體大約相等的一陰一陽排列.由於看美債殖利率仍然向上,因而無視英鎊澳幣已經領先轉弱的事實,仍採取在美元拉回後的最低點空美元,星期一只好ㄘㄨㄚ著等

Smart Money 這篇開頭和結尾都說的好
http://www.wretch.cc/blog/SmartMoney/26874045
我沒有領先羊群心態反轉部位,反而成了羊群的一員, shame on myself

布南克說話,大莊家開牌

利率市場鬧了整整一個星期, 布南克講話為大家開牌

這篇Morgan Stanley滿有趣值得一讀

圖貼的次序不對,卻不知怎麼安排才對

All focus is - and should be - on Bernanke as he testifies before the House Budget Committee today. Why is today so critical? I will get to that shortly.

Clearly a lot of attention has been paid to the long end of the US Treasury market. Unfortunately, the market has been watching too much CNBC, and is about to miss out on the real action. The Fed never set out to target long end Treasury yields. The 10-year yield level of 3.25% was a figment of the market's collective imagination. The Fed simply wanted to lower mortgage rates in order to spur refinancing - and the jury is still out on whether they succeeded (my scoreboard has the Fed down at half-time).

Instead of worrying (or rejoicing) that 10-year yields may reach 4.00%, the market is forgetting about the cliff on which the short-end stands. Exhibit 1 plots a rate I have been watching very closely since December 2008. The 1-year forward 1-year Treasury yield has been flirting with 1.5% since that time. Just look at how well-behaved this key indicator of Fed policy expectations has been during the past five months.

Exhibit 1: U.S. Treasury Curve Implied 1-Year Forward 1-Year Yield



Today could be the day this forward rate breaks out - to the upside - to higher yields, and then we will see what real chaos looks like in the Treasury market. What is the most overcrowded (for good reasons) position in the Treasury market? Long the front-end at the expense of the back-end. Nothing says this better than Exhibit 2 and a bit of common sense.

Exhibit 2: Morgan Stanley Non-Commercial (Speculative) Futures Risk Index

I am not making a prediction, or a "call". The unhinging of the front-end would be a hammer-blow to the "green shoots" contingent, the ending of the (in the eyes of some) nascent economic recovery. I hope and pray Bernanke is dovish today. In many ways, the mere possibility of a front-end pummeling increases the reward/risk of a flattening position (see MS UST: Enter 3s/7s Flattener Ahead of Auction; June 3, 2009). If Bernanke is dovish, the curve should bull-flatten. If the Bernanke is hawkish, the curve should bear-flatten...