One guaranteed trade

AGA7d

大市不好Yield curve开始缩小， 长期债卷的yield下跌会比短期债卷快很多。 不如直接买TLT， TLT好了，油水比 ...
ypm968 发表于 2010-8-25 20:04

I'll bet against TLT - the yield is already close to the low end - not any room left.

ypm968

I'll bet against TLT - the yield is already close to the low end - not any room left.
AGA7d 发表于 2010-8-25 16:55

Really, Japanese long-term bond yield one time reached 0.48% in 2003

kenwind

回复 20# ypm968

经济继续探底，前端利率跌幅有限，而远端可跌幅度更大，所以上面策略必将奏效。
经济好转时，因为前端涨幅将比远端快，上面策略更将奏效。

‘股市不好，要不然就做空，要不然就买TLT， TLH’， 错！大错特错！
股市债市可以同时跌，只是你没见过，也没想过。什么时候会发生？你多想想，再回来我告诉你答案。

kenwind

回复 22# ypm968


US is no Japanese, I can assue you.
Go back and do some research, you'll know.

kenwind

回复 21# AGA7d


    TLT still have some upside potential. However, the downside is much much more than the upside, period.

itsme

回复 1# kenwind


   

ypm968

回复  ypm968

经济继续探底，前端利率跌幅有限，而远端可跌幅度更大，所以上面策略必将奏效。
经济好转 ...
kenwind 发表于 2010-8-25 17:41

    “经济继续探底，前端利率跌幅有限，而远端可跌幅度更大，所以上面策略必将奏效。”
“经济好转时，因为前端涨幅将比远端快，上面策略更将奏效。错！大错特错！你多想想，再回来我告诉你答案！”
好好看看2008年以前，你的策略在股市大跌的时候赚钱。股市到底开始反弹以后2年公债利率涨幅都比10年公债利率幅度更快更大，你的策略一定赔钱。 我说过你的策略工作是由于Bernanke零利率和QE的政策，人为导致2年公债利率维持在低利率，所以从2009年底到今年4月份你也能赚钱。

“股市不好，要不然就做空，要不然就买TLT， TLH。”我指的是现在，而且20年30年公债的利率至少还有下跌空间, 投资TLT， TLH的回报比IEF高。股市债市可以同时跌，我知道。

shoujie

阿哈，有人自以为聪明哈，那些买BOND 的那么多机构、投资者都是傻瓜。。。

ypm968

回复  ypm968


US is no Japanese, I can assue you.
Go back and do some research, you'll know.
kenwind 发表于 2010-8-25 17:43

    Of course US is not Japan.
Just because you think the rate is very very low, it doesn't mean it can't go lower.

cw8888

good post, thanks

RedBean

回复 1# kenwind

Very good! Thank you..

kenwind

“经济继续探底，前端利率跌幅有限，而远端可跌幅度更大，所以上面策略必将奏效。”
“经济好转 ...
ypm968 发表于 2010-8-25 23:39

你真的是没好好看。我说得很明白，今年年初290是顶，我的策略是从现在开始执行。
有些人就是不好好做home work,张口就来。
出来挑台也得看看对手，我负责几十亿美刀的利率对冲，能在这张口说瞎话吗？

kenwind

阿哈，有人自以为聪明哈，那些买BOND 的那么多机构、投资者都是傻瓜。。。
shoujie 发表于 2010-8-25 23:44

这位客官，先说你较为熟悉的股市吧。你觉得那些基金经理能跑赢大盘的概率是多少？
再说你不熟悉的债市吧，你觉得他们比股市的经理能牛B多少？
再看看你自己吧，是不是在自以为是呢？

kenwind

回复 27# ypm968


投资TLT， TLH的回报比IEF高。又是个错误论断。
当10s30s趋陡时，IEF回报率要比TLT要高。一个月前就是，10s30s创出历史高位125，很多hedge fund被stopped out.
能否继续steepenning? 这把回调后继续上扬的可能性很大，原因自己想吧。

abaqus

very good! I like this one

tomzhou88

why not use GT30 - GT2?
spread of (GT30 - GT2) is 300 bps now, (GT10-GT2) only has 200 bps. If curve becomes flat, GT30 will move first.

kenwind

why not use GT30 - GT2?
spread of (GT30 - GT2) is 300 bps now, (GT10-GT2) only has 200 bps. If curv ...
tomzhou88 发表于 2010-8-26 09:51

    2s10s and 10s30s move differently and are driven by different fundemental reasons.

kenwind

did you forget to suggest the size on each leg?

SHY duration is ~2y, IEF ~ 8y, entering same ...
rffpgadsp 发表于 2010-8-26 09:54

Good point. Well, SHY duration should be less than 2, but the ratio should be approximatly 4, but less than 4, (IEF is 7-10 sectors)
To make a pure curve trade, the dollar duration need be neutral. That being said  price of SHY * SHY duration *unit1 should equal to price of IEF * IEF duration *unit2.
I believe it will be a bull flatterning scenario, therefore one unit to one unit combination will offer better gain if the scenario ocuurs. However, a switch to duration neutral should be implemented when 10 yr yield drop to 2% level.

tomzhou88

if you draw a chart IEF - SHY from 2006-now, you can find current price is close to the top at 12/2008. Do you think there is much up space?