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
2009年6月11日 星期四
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
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
2009年6月10日 星期三
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.
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.
2009年6月9日 星期二
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.
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.
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.
2009年6月6日 星期六
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
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
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
2009年6月4日 星期四
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.
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...
Australia, Nourishing China’s Economic Engine, Questions Ties
昨天才提到中國人被front run, 要等中國自己何時覺悟, 拒絕當凱子, 今天紐約時報就提到了澳洲人對中國大舉收買澳洲礦產公司的疑慮, 所以不只是買家要警戒, 連賣家都可能拒絕這種類似惡意併購的收買
2009年6月3日 星期三
鹿鼎記裡韋小寶揶揄吳三桂在雲南昆明以弓弦絞殺永曆帝, 目前追殺美元的勢頭也像是要絞斷多頭的脖子; 昨天亞洲時間剛緩過一口氣, 幾個小時後到了倫敦盤卻絞得更緊.英鎊過去三天像直線上漲, 錢都想逃離美元計價資產, 管他實質面經濟green shoots只是冒出個新芽, 在零利率的放大鏡下已經是參天的傑克豌豆, 核試爆也不怕, 熱錢都要front run 中國外匯存底, 美國和亞洲國家的脖子都在這條弓弦下, 弓弦會不會因為中國發現價格被過度哄抬停止盲目掃貨, 各國政府祭出冷卻措施而先斷掉? 好像還看不出跡象.
更重要的是美國向中國借錢, 但面對中國對美元價值因美國狂印鈔票而減損的質疑, Geithner卻只能打哈哈. 中國領導人現在的擔憂會因為Geithner飛一趟北京而比三月時減少? Geithner會不會有點太天真了?
今晚換直昇機布南克出場, 在十年殖利率已經漲到3.65, Fed 主席會不會露口風說要加大買公債的金額 ?這恐怕要將絞殺美元的弓弦絞得更加緊吧?
更重要的是美國向中國借錢, 但面對中國對美元價值因美國狂印鈔票而減損的質疑, Geithner卻只能打哈哈. 中國領導人現在的擔憂會因為Geithner飛一趟北京而比三月時減少? Geithner會不會有點太天真了?
今晚換直昇機布南克出場, 在十年殖利率已經漲到3.65, Fed 主席會不會露口風說要加大買公債的金額 ?這恐怕要將絞殺美元的弓弦絞得更加緊吧?
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