Tag Archives: equities

Correlation between equities and bonds-past and future

The correlation between equities and bonds – past and future

The correlation between equity and bond markets is of vital importance to asset allocators; for risk control and portfolio construction, for assessing the market outlook, and for building models of how markets work.

https://www.savvyinvestor.net/blog/equities-bonds-correlation-past-and-future

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#stocks plunge as volatility ignites as more than 2.5 trillion wiped off of global #equities #market

plunge as volatility ignites as more than 2.5 trillion wiped off of global


#stocks plunge as volatility ignites as more than 2.5 trillion wiped off of global #equities #market

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2014 long term hedging bets: That is why I’m short es and long silver and gold equities

THis came in from someone on my Linked In so thanks to them !

2014 long term hedging bets:  That is why Im short es and long silver and gold equities

Someone recommended this. Sounds smart?

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Equities pushing the risk pairs higher. FTSE and CAC both up close to 1.0% pushing #EURUSD to re-test 1.3367 high

Equities pushing the risk pairs higher. FTSE and CAC both up close to 1.0% pushing #EURUSD to re-test 1.3367 high.

 

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you bring up a real interesting point. My take is that equities often act as the cash market which often affects the movements of the zero sum markets (like spot fx). With equities moving higher, and traders/investors perceiving a less risky environment, this is partially driving the longs in the riskier currencies (i.e. long EUR).

If that is, indeed, your thinking, what’s your take with what’s been going on the last couple months in the Yen markets?

 

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Yes, equities seems to help dictate risk in thin markets. I didn’t think too much about the JPY while it was stuck between 75.50 and 78.00, but it seems like it has been moving as more of a USD play. We’ve seen it retreat a bit with the rise in gold and oil prices. The main focus with Japan right now is their monetary policy, which they expressed yesterday will remain “easy” which generally means they will continue to purchase bonds and add more paper money to the economy: weakening strength. I will be paying close attention to the commentary that comes out of the BOJ.
Thanks for the message.

 

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Equities pushing the forex risk pairs higher. FTSE and CAC both up close to 1.0%

Equities pushing the forex risk pairs higher. FTSE and CAC both up close to 1.0%

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you bring up a real interesting point. My take is that equities often act as the cash market which often affects the movements of the zero sum markets (like spot fx). With equities moving higher, and traders/investors perceiving a less risky environment, this is partially driving the longs in the riskier currencies (i.e. long EUR).

If that is, indeed, your thinking, what’s your take with what’s been going on the last couple months in the Yen markets?

 

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Goldman’s advice to buy equities gives me the creeps!

Goldman’s advice to buy equities gives me the creeps!

“We think it’s time to say a ‘long good-bye’ to bonds, and embrace the ‘long good buy’ for equities” announces Goldman Sachs! This sort of pronouncement has the ability to turn someone who’s been a diehard bull since 2010 into a cowering bear. Read the rest using link. Cheers!

 

Goldman Sachs advice scares the beejeebies out of me! maverickinvestors.com

“We think it’s time to say a ‘long good-bye’ to bonds, and embrace the ‘long good buy’ for equities” announces Goldman Sachs! This sort of pronouncement has the ability to tur…

 

]Good post. I think it’s getting harder and harder to trust their advice these days.

 

Anyone who trusts Goldman Sachs for any advice needs to seek another type of advice and preferably with lots of meds attached. What these jokers are after is liquidity and someone to soak up the losses on the other side of the arbitrage opportunities. Investors are backing off and volume has been light. Not conducive to the quants out there looking to high frequency the beejeepers out of equities. Fresh meat is needed to fuel the fires. Of course they might get in trouble for conflicts of interest and pay lets say oh…. 10% of their profits in fines. Clearing 90% which covers the executive bonus pools and pads the year end returns. Securities regulators get a nice fat fine on the books to fund their operations and everyone is happy…oh except for the fresh meat.

 

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2012 forecast: Equities weak, look at US dollar and gold

2012 forecast: Equities weak, look at US dollar and gold

The charts are telling us that equities are still bearish. Which means the US dollar and gold still have some traction.

 

Agreed… too many U.S. equities are invested in the European market. When the Euro collapses, U.S. equities will suffer some. And for the time being, the dollar is still a perceived safe haven… but in the final analysis, Gold will be the only place to hide. We believe this will all take place during 2012.

 

When the euro collapses… equities weak… it is the same story for the past 3 years! Gold and greenback can be fairly safe but dont tend to generate systematic and coherent returns apart from points of extreme uncertainty (which no doubt occured in the past 3 years and is still occuring). In terms of investing I would be keen towards commodities (both producers and traders) and in terms of trading, I think it is quite a good time to take advantage of the equities volatility

 

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2011 – 31.2% Return, 1.3 Sharpe, US Equities. We are a Trading system Development company looking for hedge fund partnership / seed capital.

2011 – 31.2% Return, 1.3 Sharpe, US Equities. We are a Trading system Development company looking for hedge fund partnership / seed capital.

We have developed a number of long / short US equity models which are based on non directional statistical modelling – volatility / volume based. Currently interested in speaking with hedge funds.

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how did it do in prior years
are signals based on daily closes or intraday
how much leverage is deployed

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The backtest stats for 2000-2010 were 499% return with 1.13 Sharpe, 48% Wins, 52% losses, Drawdown 4.2%. Non directional. Only looks at discrepancies in volatility movements and volume. The ratio then cross references high probabiity scenarios.

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Sorry forgot to add that the system is based on intraday profit and stop loss levels, with max holding period of 20 trade days. No leverage, but can adequately handle conservative levels

 

 

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