Aug 17th, 2011, 22:54 | 只看该作者 #23 |
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感觉这个坛子娱乐气氛甚浓,我写的一本正经的帖子明显不合流,我知趣了. 不过应朋友和不曾相识的网友之约,在GOOGLE BLOGSPOT新开了一个私人博客,有兴趣的朋友可以在这里用悄悄话告诉我你的电邮,我邀请你看我的每日市场博克和其它好的信息及资料. 一下是今天的手记. ----------------------------------------------------------------------- 2011.08.17 今天市场是三周来最清淡的一天.多方似乎都有点疲劳.标普到今天收复了1/3失地.本周五为期权到期日,市场到时候又要震荡,下挫机率大些.控制好风险. 今日操盘一例: 自从BWC被AMDOC收购后出局就没碰过BWC.今天是BWC收购CLOSING日,就让我再看它一眼, 8.19吃进,1 CENT 无风险套利, 年化14%回报.别了, Bridgewater System! |
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感谢 加龙资本 此篇文章之用户: |
追随大哥 (Aug 25th, 2011) |
Aug 20th, 2011, 23:02 | 只看该作者 #28 |
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Breaking News
Chinese Protest $5 Billion Loss Tied to U.S. Stock Market Reverse Mergers http://www.bloomberg.com/news/2011-0...tml?cmpid=yhoo |
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Aug 21st, 2011, 02:12 | 只看该作者 #29 | |
元
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Aug 24th, 2011, 18:05 | 只看该作者 #30 |
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高速计算机交易正在扼杀选股投资吗?
Is High-Speed Computer Trading Killing Investing? High speed computer trading by funds with holding periods of sometimes just milliseconds are to blame for rising volatility, the disappearance of diversification and the death of individual stock picking, and the “From our perch, trading customer business day in and day out, we can certainly say that high frequency trading has amplified market moves, both up and down,” said Sal Arnuk, co-head of equity trading at Themis Trading who advised the SEC after last year’s so-called flash crash. “High frequency trading does not analyze fundamental metrics of corporations. It analyzes data patterns.” Need evidence? The S&P 500 rose or fell greater than 2 percent during half of the trading days this month. This unprecedented volatility stretch included, for the first time ever, four consecutive days where the Dow Jones Industrial Average moved more than 400 points. The CBOE Volatility Index is up 45 percent this month. Since the recent decline really began to take hold on July 7, every sector of the market, from financials to the very different utilities, has had a daily correlation of 0.9 or higher to the S&P 500, according to Bespoke Investment Group. Even crude oil has moved in lockstep with the S&P 500, trading in-line with the equity benchmark during 85 percent of the trading days. Trying your hand at stock picking? Over the last month, just 22 stocks in the S&P 500 are higher. One Dow member, McDonald’s, is positive over that same period, with a 1 percent return. This data begs the question: Are individual prospects for these companies simply just all deteriorating at the same time or is the mass buying and selling by computers detaching stock prices from fundamentals. High frequency traders “hold positions between 10 milliseconds and 10 seconds,” according to a recent study in the Review of Futures Markets journal. The study estimates that anywhere from 40 to 70 percent of all volume on U.S. equities market is done by a type of computer trading, but many traders speculate that percentage has increased recently. “Individual stocks seem to have less alpha and more beta in their returns,” said Ed Yardeni of Yardeni Research and a former chief strategist at Prudential and Deutsche Bank, in a note to clients this month. “This explains why valuation multiples have both declined and converged across different sectors, industries, and styles.” The price-earnings ratios, based on forward analyst estimates, for the 9 major market sectors all hover around ten, according to Finviz.com. Financials have the lowest forward multiple at 8.8 and utilities have the highest at 13. Health care, industrials, basic materials and conglomerates all have P-E ratios of about 10 times estimates. Professor Luc Bauwens of Catholic University in Louvain, Belgium, who is quoted frequently in the recent Review of Futures Markets piece, believes that computer trading could add to market liquidity, but also acknowledges it could be making markets less efficient. “Correlation between intraday returns of stocks has increased without apparently much reason, and this may be caused by HFT driven by econometric models disconnected from fundamentals,” the paper cites Bauwens as saying. “Since 2008 investors, whether they be hedge funds or asset managers, have learned that if you are in an individual name the liquidity disappears and you are trapped,” said Alec Levine, an equity derivatives strategist with Newedge group. “It becomes you against the [algorithmic traders] as no bank will interposition in those types of markets.” Some of this computer trading is done on behalf of exchange-traded funds, which make it possible to buy and sell whole sectors and markets as easily as a single stock. The popularity of these vehicles is also adding to the correlation and decreased opportunities for successful stock picking, traders said. The major players at the pure ‘HFT’ game include the firms Getco, Tradebot, Citadel, Quantlab, D.E. Shaw, SAC Global Advisors and investment banks Goldman Sachs, Morgan Stanley and Deutsche Bank, according to the journal. “High frequency trading are firms using high speed, co-located servers at exchanges to trade ahead of bids and offers from real investors by fractions of a penny for nanoseconds,” said Jon Najarian of TradeMonster.com. “If the SEC sits idly by then the U.S. capital markets will collapse. Nanosecond trading will give way to picosecond trading and so forth. All they do is push out any other potential real liquidity provider with their fake liquidity.” |
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Sep 1st, 2011, 10:10 | 只看该作者 #33 | |
流狼.土狼屯
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引用:
我就这么说吧, 很多十多年经验的业余TRADER最后自己总结出来的一个有效的交易系统, 一个数学模型, 确是有道理的, 好用的, 但我最后一看一深入计算下去, 根本就是那些操作RRSP FUND的经理们的一门基础课程里的一个变种么, 那些MASTER学历的经理们根本不可能是傻子 |
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[仓廪实而知礼节 衣食足而知荣辱] 在苍茫的大海上,狂风卷集着乌云。在乌云和大海之间,流狼像黑色的闪电,在高傲地飞翔...... |
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Sep 1st, 2011, 17:46 | 只看该作者 #34 | |
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任何人都不傻,更何况互惠基金经理了。关键是这些经理们有多大的好处来为基民们卖力。所以有聪明的基金经理发明了一种策略叫CLOSET INDEXING。 |
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Sep 8th, 2011, 18:12 | 只看该作者 #39 |
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希腊债务有91%的机会违约
Credit-default swaps (信贷违约掉头合约) on Greek government debt surged to a record, signaling a 91 percent chance the nation will fail to meet debt commitments, after its economy shrank more than previously reported. Five-year contracts on the country’s sovereign bonds jumped 196 basis points to 3,001 basis points, at 3:45 p.m. in London, according to CMA, which is owned by CME Group Inc. and compiles prices quoted by dealers in the privately negotiated market. Gross domestic product shrank 7.3 percent from a year earlier after declining 8.1 percent on an annual basis in the first quarter, the Hellenic Statistical Authority said. Greece’s financial situation is “on a knife’s edge,” German Finance Minister Wolfgang Schaeuble told lawmakers last night, according to parliament’s HIB bulletin. “It’s a combination of Greece continuing to disappoint and probably a growing realization among politicians that they’re throwing good money after bad,” said Gary Jenkins, head of fixed income at Evolution Securities Ltd. in London. “They’ve finally woken up to the fact that they’re not going to get this money back.” The default probability, which is based on a standard pricing model, assumes investors would recover 40 percent of the bonds’ face value were Greece to fail to meet its obligations within five years. The Markit iTraxx SovX Western Europe Index of swaps on 15 governments rose 2.5 basis points to 322.5. The gauge is approaching the record close of 327 basis points on Sept. 6. Swaps on Portugal jumped 19 basis points to 1,060, Ireland climbed 18 to 834 and Spain rose five to 396. A basis point on a credit-default swap protecting $10 million of debt from default for five years is equivalent to $1,000 a year. Swaps pay the buyer face value in exchange for the underlying securities or the cash equivalent should a borrower fail to adhere to its debt agreements. Greek two-year note yields jumped as much as 85 basis points to a euro-era record 55.76 percent today. The nation’s 10-year yield climbed to an all-time high 20.13 percent. Greece’s economy has been hurt by spending cuts and tax increases introduced as a condition for a 110 billion-euro ($155 billion) European Union-led bailout last year, which have damped consumer demand. Finance Minister Evangelos Venizelos this week said the government will accelerate further austerity measures to ensure continued support after EU officials said payment of a sixth tranche of bailout loans will be withheld unless Greece meets its deficit targets. It would be an “enormous mistake for the people of Greece,” to fail to meet terms of the bailout, European Central Bank President Jean-Claude Trichet said today. “It’s absolutely obvious that it’s in the interest of Greece, in the interest of growth and jobs in the medium-term perspective, to do the adjustment.” German government officials have stepped up exhortations on Greece to hold to the terms of its rescue program after a quarterly review of the nation’s progress by the EU and the International Monetary Fund was unexpectedly suspended for 10 days last week. |
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Sep 18th, 2011, 16:36 | 只看该作者 #40 |
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Good news to ETF investors
Scotia itrade now offers commission free ETFs. iTrade teams up with Claymore The Scotia iTrade deal is a partnership with Claymore, and most of the commission-free ETFs are from that provider: in fact, Claymore’s whole family is on the list of eligible ETFs. This isn’t surprising, as Claymore has been the leader in the effort to close the gap between mutual funds and ETFs: they were the first to launch a dividend reinvestment plan (DRIP), Pre-Authorized Cash Contributions (PACC) and Systematic Withdrawal Plans (SWP). Eight iShares and seven Horizons ETFs also eligible for commission-free trades. The iShares products on the list are mostly sector ETFs, plus a couple of specialized Canadian and emerging markets funds. The flagship iShares products are all absent, probably because Claymore has core ETFs that compete with them. The menu of Horizons ETFs includes non-leveraged commodity funds (copper, silver, oil and gas, though not gold) as well as Horizons S&P/TSX 60 (HXT) and the Horizons S&P 500 (HXS). These are the swap-based ETFs I wrote about back in June. They provide exposure to the large-cap Canadian and U.S. equity markets using derivatives and may be a good choice for taxable accounts. HXT is the cheapest ETF in Canada at just 0.08%—combine that tiny fee with zero trading commissions and it becomes a very tempting alternative to the granddaddy of ETFs, the iShares S&P/TSX 60 (XIU). https://www.scotiaitrade.com/pages/q...etf_list.shtml http://opinion.financialpost.com/201...ee-etf-trades/ |
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