今天现在看gold, uup, spy, tlt 同涨

amd2k

很少见到情况啊，
Cobra老大给查查， 这个有什么统计上的edge 么？

kenwind

amd2k 发表于 2011-8-30 11:43
很少见到情况啊，
Cobra老大给查查， 这个有什么统计上的edge 么？

Window dressing push SPY up, month end currency hedging push high yield currency up.
Risk aversion push gold higher and yiled lower.
Big picture, equity and high yiled currency will sell off in the days to come.

amd2k

回复 kenwind 的帖子

Very good explanations! thanks

Diver

wyjhyd

sunnysunny

kenwind 发表于 2011-8-30 09:46
Window dressing push SPY up, month end currency hedging push high yield currency up.
Risk aversio ...

既然这样， 为什么你昨天就全面做空了呢？ 为什么不等到今天呢？

kenwind

sunnysunny 发表于 2011-8-31 00:31
既然这样， 为什么你昨天就全面做空了呢？ 为什么不等到今天呢？

The window dressing and currency hedging is different each month. The identification of their direction is not a black and white calculation.
I got the level I want the other day, hence the short position.