SPX VS Markit CDX NA IG 06/15

netbbq

Last cycle, the divergence between the two happenned in Jun 2007, which is almost the top of the last cycle. There was a dead cat bouce after that where another divergence happened. The time the divergence happenned in  Apr 2010, most probably this is the top of the big B wave.

Diffusion

可惜现在看不到免费的CDX了。

livefreakss

Very good.....

ranchgirl

What Does Dow Jones CDX Indexes Mean?
A series of indices that track North American and emerging market credit derivative indexes. The purpose of the combined indexes is to track the performance of the various segments of credit derivatives so that the overall return can be benchmarked against funds that invest in similar products.
Investopedia Says
Investopedia explains Dow Jones CDX Indexes
This family of indices comprises a basket of credit derivatives that are representative of certain segments such as North American investment grade credit derivatives, high volatility, high yield, high yield non-investment grade, as well as emerging markets.

ranchgirl

What Does Dow Jones CDX Indexes Mean?
A series of indices that track North American and emerging market credit derivative indexes. The purpose of the combined indexes is to track the performance of the various segments of credit derivatives so that the overall return can be benchmarked against funds that invest in similar products.
Investopedia Says
Investopedia explains Dow Jones CDX Indexes
This family of indices comprises a basket of credit derivatives that are representative of certain segments such as North American investment grade credit derivatives, high volatility, high yield, high yield non-investment grade, as well as emerging markets.

ranchgirl

I found the definition, and still don't understand

ranchgirl

What Does Dow Jones CDX Indexes Mean?
A series of indices that track North American and emerging market credit derivative indexes. The purpose of the combined indexes is to track the performance of the various segments of credit derivatives so that the overall return can be benchmarked against funds that invest in similar products.
Investopedia Says
Investopedia explains Dow Jones CDX Indexes
This family of indices comprises a basket of credit derivatives that are representative of certain segments such as North American investment grade credit derivatives, high volatility, high yield, high yield non-investment grade, as well as emerging markets.

littlevivi

不太懂

draguide

sooners

回复 1# netbbq


   

cc2265

lite1067

可惜现在看不到免费的CDX了。
Diffusion 发表于 2010-6-7 13:54

all is free at markit.com

Diffusion

all is free at markit.com
lite1067 发表于 2010-6-8 01:40

     这个网站原来(很久以前)还能看到historical graph，现在好像只能看到15 min delay报价？

lite1067

这个网站原来(很久以前)还能看到historical graph，现在好像只能看到15 min delay报价？
Diffusion 发表于 2010-6-8 00:31

    oops, you might be right. can't find my password any more to access its website. i use other (non-free) sources for these indices anyway :-)

netbbq

Markit.com: The Markit CDX indices are a family of indices covering multiple sectors. The main indices are: Markit CDX North American Investment Grade (125 names), Markit CDX North American Investment Grade High Volatility (30 names from CDX IG),  Markit CDX North American High Yield (100 names), Markit CDX North American High Yield High Beta (30 names), North American Emerging Markets (15 names), and North American Emerging Markets Diversified (40 names).

The Markit CDS indices roll semi-annually in March and September. Credit events that trigger settlement for individual components are Bankruptcy and Failure to pay. Credit events are settled via credit event auctions.

The one here is North American Investment Grade 5 year Index (Jun 2015).

I found the divergence between this index and SPX is quite predictive. It called top in may 2007 and bottom in Mar 2009.