如何在市场震荡中寻找机会

[加龙资本]

俗语说:外行看热闹,内行看门道.这句话在股票市场中更是如此.而散户股民最容易动荡市场的陪葬品,可能是因为散户缺少信息,但更重要的是散户没有受到正规训练.比如围棋界业余6段也不外乎相当于职业初段.

这几天多少散民跟风操底,遇到的都是一浪高过一浪.我上个POST建议避险的办法就是HEDGING,即做相对差价(TRADING SPREAD).今天我看到了什么机会?

今天加拿大指数和美国指数出现了>5%的GAP,是87年以来最大的.加矿业版强不意外,但还有好多其它版块也强就属于非意料之中,属于黑天鹅概率(TAIL RISK).

STRATERGY: INDEX ARB, LONG 美国指数/ SHORT 加拿大指数　ＡＴ　ＣＬＯＳＥ　（８／１０）
EXPECTATION: 2% NET　ＰＲＯＦＩＴ　ＷＩＴＨＩＮ　３　ＤＡＹＳ．

ＦＲＯＭ　ＢＬＯＯＭＢＥＲＧ　ＱＵＯＴＥ：

‘Elevated Uncertainty’

“We see S&P 500 valuation as attractive for long-term investors given a large discount to fundamentals but do not expect the discount to close in the near term due to rising recession risk and elevated uncertainty in macroeconomic and political conditions, earnings views, and the path for interest rates,” Kostin wrote in a note dated yesterday.

Canada’s S&P/TSX Composite Index gained 0.7 percent today as gold producers surged the most since February 2010 and energy companies advanced amid a rebound in oil. Energy and raw- materials companies make up 48 percent of Canadian stocks by market value. The gap of 5.2 percentage points between the performance of the S&P/TSX and S&P 500 today was the biggest since the day known as Black Monday in October 1987 when the U.S. index plunged 20 percent, not including days after one of the markets was closed.

[加龙资本]

Target reached at 10:18 am. Positions closed. Happy trading for the rest of day!

[加龙资本]

Spend more time on trading and research. Forget about Tang. Who cares!

You know why Tang has not been disciplined by OSC?

[加龙资本]

今天市场上升的动力主要来自于(依次):
(1)空头平仓*****
(2)企业及内部人士购买股票和BUFFETT WORDS ON MARKET****
(3)欧洲部分国家禁止沽空及德法头头要碰头的消息***
(4)美上周失业申领人数比预期少**
(5)思科季报*

DISCLOSURE: MY TRADING POSITION TODAY
STRATEGY - STAT ARB
LONG GDV(NYSE) AND SHORT GLO(AMEX) AT CLOSE (8/11)
EXPECTATION: 0.5% NET RETURN WITHIN 2 DAYS.

[加龙资本]

8/11 strategy. target reached at 10:08 am. Positions closed. Good luck all!

[加龙资本]

大幅震荡格局是否结束?不见得.
欧洲依然是焦点.任何来自欧洲的风吹草动都会左右市场.
上周五MICHIGAN信心指数创30年最低.信心指数为经济前导指数,直接影响预期消费.
信贷价差升高,显示融资有点紧张.
欧洲沽空限制的影响.对于自由市场,人为干预有时起逆反作用.如08年3周金融股禁沽其间,S&P仍然下跌18%.
不过,有迹象显示S&P1100是短期底部.一句话:市场魅力依旧,风险犹存.

再披露一下我昨天周五(8/12)的操作.
STRATEGY: MERGER ARB
LONG FGL(TSX) @ 26.44 IN THE MORNING.
EXPECTATION: TARGET PRICE OF 26.50 WHEN ACQUIRED ON 8/18. 10% RETURN (ANNUALIZED/年化, NET OF COMMISSION) WITH 99.9% CONFIDENCE RISK FREE.

[加龙资本]

作者: Johny

不过这种市场是大多数散户见外婆的机会多。我的一个朋友在第一个-512点，就到外婆那里报到了，我还觉得他有点冤，可是看到后面的-630，-500，我就觉得他不冤了，逃过一次，躲不过后面的二次。

建立合理的交易系统非常重要，尤其是可以经的起这样的大起大落的交易系统。

楼主，走好了，我已从您的...

这也怪不得散户,没弄清楚ARB的内涵. 还觉得自己挺行.

[加龙资本]

股市箴言：股市中本来有条路，可走的人多了，也就没了路！这也解释了为什么HF是也个非常隐秘的行当。所以当有人满大街大喇叭BS，一会儿在本地春晚露脸，一会儿又为OTTAWA集会站台，懂行的人一看就明白，整个一个SALES来拉客了！如果拉下一个客纯粹是为了替上一个客垫背，那么早晚不得出事呀，凭什么我付银子让上一爷们白嫖？这也解释了不是所有客户都去诉讼皮条，白赚了的还窃喜呢。

话说回来，１０年前和本论坛有过一段感情（权当一夜情），所以前几天最暗无天日的时候揭示点异类（ALTERNATIVE）的作法，希望对大家有点帮助（如果的话）。

这不，有一位大虾提醒我一路走好，我切记！也祝大家GXFC！

[加龙资本]

老杨让我有点感动.我看得出来老杨是这个坛子德高望重的人物,为大家也是一片费心.TRADER在市场里不言顶言底.把预测市场的活交给卖保险,卖基金,"轻松"贷款10万投资的理财顾问吧.也的求生存呀.听说过市场被MF经理左右吗?标题新闻都指向HF经理吧.市场里HF和MF的关系就好比荷花和绿叶. HF是吃业绩的,MF是吃奉禄的,我不想说太白了.

如今你在北美市场也摸爬滚打10年了.尝试一下思路从TRADITIONAL往ALTERNATIVE上转.JMHO.

[加龙资本]

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.
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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!

[加龙资本]

Chinese Protest $5 Billion Loss Tied to U.S. Stock Market Reverse Mergers

http://www.bloomberg.com/news/2011-0...tml?cmpid=yhoo

[加龙资本]

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.”

[加龙资本]

别太迷信选股(STOCK PICKING). 选谁都一样. 散户在市场里总扮演无罪的羔羊.

[加龙资本]

华人科学家单婕创立的制造COLD FX的公司 AFEXA LIFE SCIENCES(曾叫CV TECHNOLOGIES)今天被以0.71 CAD的价格收购, 即将退市. 该股票几年前到过4块多. 真可谓: 股市有风险, 入市须谨慎!

[加龙资本]

作者: -GoGoGo-

虽然您首贴写的有理有据, 但看到您这儿如此的恶贬卖保险,卖基金,"轻松"贷款10万投资的理财顾问, MF经理, HF经理........ 我真是觉得不可理喻了, 很明显您甚至根本不曾和这些有证书的顾问, 有学历的经理交淡过

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...

别太敏感！我无意贬任何人，包括各种＂菲特＂级人物。可能轻松两字加了引号刺激了神经（如果你是做SALES的别介意），我的意思是我（专指我）不觉得贷款十万投资是件轻松的事。我的一个朋友贷了，上个月市场狂泻时，觉都睡不好，轻松吗？任何一个金融产品不是适合每一个人，销售人员需要KNOW YOUR CLIENT， 你自己需要KNOW YOURSELF。贷款十万没准能买一个老点的单室公寓，每月出租还能拿点CASH回来，扔到股市里就成了＂神马都是浮云＂。

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。

[加龙资本]

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.

[加龙资本]

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/