我糊涂了。

colderdown

大家说说这事儿咋整？关键词是。。。。。。

ypm968

Junk bond yields are very low. 2yr and 5yr treasury bond yield bottomed at beginning of Nov. and going up since then. Spread is getting narrower, that hurts profit.

colderdown

回复 2# ypm968

老乡仔细看看HYG vs SPX的走向，比较醒目的是画的那几根红棒棒，想听听老乡的看法。

ypm968

回复  ypm968

老乡仔细看看HYG vs SPX的走向，比较醒目的是画的那几根红棒棒，想听听老乡的看法。
colderdown 发表于 2010-12-2 23:56

    看看98年到2000

colderdown

回复 4# ypm968

97年亚洲金融危机，98-00年段有科索沃战争，网络技术扩张，这一段是美元强，股市强。老乡再看看07，08段。

ypm968

回复  ypm968

97年亚洲金融危机，98-00年段有科索沃战争，网络技术扩张，这一段是美元强，股市强。老乡 ...
colderdown 发表于 2010-12-3 00:22

    你说的那些跟junk bond价格有什么关系啊？ 我己经跟你说过了， 垃圾债卷yield很低，现在利息再往上涨， 两者之间的差额在变小，  造成获利减少。 就跟银行发贷款一样， 打个比方8%贷出去， 银行成本是3%， spread就是5%， 如果同样还是8%贷出去，银行成本变成5%， spread减少变成3%， 那银行获利不就减少了。除非junk bond的yield也跟着利息往上涨， spread再次拉大， 才能吸引更多的投资人。 Junk bond最近跌就是因为spread在减小。 98年到2000年， junk bond fund也和S&P发生过背离， 那是因为internet bubble, 高科技股都大涨，获利比投资垃圾债卷好得多， 钱都跑去股市了。 这种背离既然过去发生过， 就不能肯定说未来不会发生， 至少junk bond king Notkin认为未来投资股市会比投资垃圾债卷收益好。

Fidelity’s Junk-Bond King Notkin Adds Stocks as Debt Rally Dies
http://finance.yahoo.com/news/Fi ... 7.html?x=0&.v=1

draguide

你说的那些跟junk bond价格有什么关系啊？ 我己经跟你说过了， 垃圾债卷yield很低，现在利息再往 ...
ypm968 发表于 2010-12-3 04:23

    我猜冷兄是想说，通常hyg领先股市。通常死皮开涨，hyg也会开涨。但这两天死皮大涨，hyg没follow。
Good point，great chart，dude. I tried to compare there performance in 2005, unfortunately there is not data for HYG in that period, neither for JNK, PHB.
It's kind of too early to tell that will there be any negtive devergence yet, or will this rally fail, but really worth to keep an eye.
我也想听听星星怎么看。

revolver

回复 6# ypm968

Isn't the same logic applicable to stock? When short term interest rate is up, equity becomes less attractive as the risk premium squeezed. I think brother Cold has a point that high yield bond and large cap stock indices should be highly correlative as one is the most risky part in fixed income and another the least risky category in equity.

revolver

回复 7# draguide


    I guess from the chart one can hardly conclude that high yield bond is leading large cap equity. However high yield bond is definitely less volatile than equity and bond investors are mostly long term institutional investors. High yield bond seems more indicative of the long-term trend.

colderdown

回复 7# draguide

I will do a little change of your chart, so, you can see better. Your chart is better than mine, just like your Gong Fu is better than mine. :-)

colderdown

回复 9# revolver

Right on. IMHO, the key word is inflation expectation (or rate expectation). That will define is BB bond leads the equity market or not. Glad to know there are at least 4 people here are thinking FA.

trueself

jilier

Good post!

laolaoyao

thx

colderdown

回复 7# draguide


   

Here is big picture. Are we building double top of equity market here? I don't think so. Has pull back already done and we are in so called wave 5? (never understand wave and never believe it either), I am not so sure.

draguide

回复  draguide

I will do a little change of your chart, so, you can see better. Your chart is be ...
colderdown 发表于 2010-12-3 09:59

   
So the two squares you marked in your chart  indicate different inflation expectation? For rising inflation expectation, bb bond will lag?
Talking about inflation expectation, yield spread between 20yr t-bond and 20yr TIPS didn't follow the rally of spx either.

draguide

回复  draguide


   

Here is big picture. Are we building double top of equity market here?  ...
colderdown 发表于 2010-12-3 11:34

    thanks. now I get it.

colderdown

回复 17# draguide

Right now, there are a lot of confusion, not only at bond market. For example, if you look at $FTSE vs SPX from late April to early May, and you then look at current $FTSE vs SPX, what do you see? Does EU trouble already over or it is still going on? What if.....However, confusion is the nature of this game. Just because I shorted US equity does not really mean I am a super bear. I long EM, especailly China now. Reason? Huge CNY M2, real personal income growth, GSP growth, plus loose contral of CNY/USD, so I am a bull in terms of Chinese equity market. I also long USD vs G10 via UUP. The reason? cash component of M1 , which has grown over the past year is way passed cash being carreid in people's lives (M2), then what's the reason to be a USD bear? PPT call EUR/USD 1.49, I won't say it is impossible, but I won't bet on it. IMHO, USD is at the begining of 10 or 15yrs bull run. Thanks one of guy study weather pattern in our fund, I also longed wheat from the end of last yr. So far, Russia is still a dry land. I also short TLT etc.

Anyway, I don't know we will have inflation or not. If so, bond market will be very ugly. HYG can serve as equity market leading indicator at zero inflation expection condition. However, it won't work if we have inflation expectation.

It's hard to be a macro trader, and my goal is very low comparing a lot of HTers here. 20% I will be happy. I am not there yet this yr.

源济

revolver

thanks for the analysis. however don't quite understand why bullish on china equity yet bearish on US one? imho these 2 are getting more correlated nowadays. and I have to disagree to the idea that usd is a bullish case in 10 years' timeframe! imho usd will lose to gold & euro in the long run, and to the rest of world it's a process of decouple from usd. however with germany's grand plan to restructure europe in the midterm (1-3 years) it will be very volatile for eur/usd. my key reason is that europe as a whole is in the best shape against us, china & japan in terms of overall political & economical situation. and when the hyperinflation eventually turns up the ugly head, europe is the only one able to raise rate without a destructive effect to its economy.