Bund e TBond: trichechi sulla Maginot VM 180 anni
- Creatore Discussione f4f
- Data di Inizio
ditropan
Forumer storico
f4f ha scritto:
diciamo che la storia non si ripete mai uguale, però inzomma ... il nostro caro t-bronx dovrà pure tener conto di qualcosa.
Al momento la situazione sembra essere questa in USA : inflazione alta (4,1%) e bond a lunga scadenza che sebbene siano in previsione altri tagli dei tassi viene acquistato più per il panico tra gli investitori, alla disperata ricerca del fly to quality, che come investimento ...
... d'altro canto è appurato che comprare bond oggi vuol dire comperare qualcosa che darà rendimenti negativi rispetto all'inflazione ... verrebbe quindi da pensare che come rientrerà la fase acuta di allarmismo sulle borse i bond dovrebbero riniziare a prendere la strada verso sud.
Il problema attuale è riuscire a capire quando terminerà questa fase di panico delle borze !
gipa69
collegio dei patafisici
ditropan ha scritto:
ottimam analisi Ditro e aggiungo anche che se il crash dei mercati fosse sistemico e cioè la crisi del credito più acuta del previsto e con pesanti fenomeni recessivi ad un certo punto partirebbero le vendite dei bond per coprire le necessità di cassa e quindi i bond a lungo dovrebbero in ogni caso subire una pressione sui prezzi.
ditropan
Forumer storico
gipa69 ha scritto:
Immagine sostituita con URL per un solo Quote: http://www.investireoggi.net/forum/immagini/1201516981the2bbernanke2bmodel.gif
... allora facciamolo arrivare subito ad 800 ... così ci facciamo un giro con l'elicottero pieno di danè
...il mio sogno ... un giorno potermi pulire quando vado in bagno con le carte da 100$ !
gipa69
collegio dei patafisici
Crisis grips European hedge funds
Louise Armitstead
A RAFT of European hedge funds have been forced to introduce emergency measures to protect their businesses from collapsing in the wake of the turmoil in financial markets.
Up to 10 European hedge funds have suspended redemptions after investors clamoured for their cash when the managers made severe losses.
A London prime broker told The Sunday Times that even before last week’s extreme gyrations, nearly two-thirds of London-based hedge funds had lost between 4% and 10% of their value. A “significant number” had lost much more, he said.
The manager of one of Britain’s biggest hedge funds said: “It’s been an extraordinary week. Even in the crash of 1987 I don’t remember so much carnage.”
Experts warned that the problems among hedge funds were likely to cause more disruption in the markets, especially if many are forced to liquidate positions.
Funds with heavy losses reportedly include Corin, Phylon, Addax FX1, Henderson Global Currency, Odey Treasury, Sector ERV, Kinetic Special Situations, Systeia Alternative Risk Trading and Polar Technology, according to Eurohedge, which monitors the industry.
The problems have been exacerbated by the fact that prime brokers, the arms of investment banks that finance hedge funds, have tightened lending policies.
One manager said: “Since market losses are magnified by leverage in a hedge fund, there can be a sudden need for a cash injection. But this time, the banks can’t lend as easily. Funds are then forced to sell, which causes even more problems.”
Hedge funds said that for many the problems started last year with a difficult May followed by worse problems in November and December.
Louise Armitstead
A RAFT of European hedge funds have been forced to introduce emergency measures to protect their businesses from collapsing in the wake of the turmoil in financial markets.
Up to 10 European hedge funds have suspended redemptions after investors clamoured for their cash when the managers made severe losses.
A London prime broker told The Sunday Times that even before last week’s extreme gyrations, nearly two-thirds of London-based hedge funds had lost between 4% and 10% of their value. A “significant number” had lost much more, he said.
The manager of one of Britain’s biggest hedge funds said: “It’s been an extraordinary week. Even in the crash of 1987 I don’t remember so much carnage.”
Experts warned that the problems among hedge funds were likely to cause more disruption in the markets, especially if many are forced to liquidate positions.
Funds with heavy losses reportedly include Corin, Phylon, Addax FX1, Henderson Global Currency, Odey Treasury, Sector ERV, Kinetic Special Situations, Systeia Alternative Risk Trading and Polar Technology, according to Eurohedge, which monitors the industry.
The problems have been exacerbated by the fact that prime brokers, the arms of investment banks that finance hedge funds, have tightened lending policies.
One manager said: “Since market losses are magnified by leverage in a hedge fund, there can be a sudden need for a cash injection. But this time, the banks can’t lend as easily. Funds are then forced to sell, which causes even more problems.”
Hedge funds said that for many the problems started last year with a difficult May followed by worse problems in November and December.
gipa69
collegio dei patafisici
Monday, January 28, 2008
Was that it?
After the rallies on Wednesday and Thursday, along with the revelation that the earlier meltdown was rogue trader-related, markets were perhaps justified in expecting an extension of the snapback in risk assets (though some, like the Turkish lira, had already recouped 70% of their losses.) After Friday's steady selling into the close, traders can now ask themselves "was that it"?
Certainly last Wednesday, Macro Man had targeted 1360 on the S&P 500 as a possible retracement target. Well, we got there, Macro Man cut some of his short risk, and then we turned back down. Could that really have been all there was to the rally?
Well, clearly it's possible; after all, the move to Friday's 1368 high fulfilled a number of retracement criteria. As noted above, it was an attempt to recapture the erstwhile support level, which was rejected. It was almost exactly a 38.2% retracement of the move down from the mid-December high. And it bounced neatly off of the downtrend line off of that mid-Dec high around 1500. All in all, it looks like a classic corrective pattern.
Paul Kedrosky did an interesting little study on intraday bounces last week, following on from Wednesday's sharp reversal. What struck Macro Man about the study was not the conclusion, which was pretty ambivalent, but the data itself. As far as Macro Man could make out, 8 of the 10 largest intraday spikes in the Dow occurred during what could be termed bear markets. The other two, in 1987 and 1997, occured during times of extreme financial market stress (The '87 crash and the Asian crisis, respectively.) While Wednesday's spike didn't make the top 10 list of percentage intraday moves, it was still pretty impressive. And judging by the weight of history, these types of moves occur during secular bear, rather than bull, markets.
Unfortunately for many hedge fund investors, their managers may not be positioned for such a development. The Sunday Times published a by-now well-circulated article alluding to signs of stress in the European hedge fund community. Macro Man decided to investigate, and ran a broader version of the correlation study he did a few days ago. He ran rolling correlations on the SPX and the HFR NAV indices for global macro, equity, market neutral, and market directional hedge fund strategies. (Note: he regressed price, rather that daily returns, to filter out any reporting lags. Using daily returns, the correlation signs are identical, albeit with smaller absolute values.)
The chart makes ugly viewing for equity hedge fund investors, and not just because of the garish Excel 2007 colours. (As an aside, can someone please explain why MSFT decided to radically change Excel, making it more difficult to copy forumlae and to format charts? Why change a tried and tested winner? Can somone say "New Coke"? Macro Man likes Vista but hates the new version of Office.)
All three categories of equity hedge fund are displaying a high degree of correlation with the SPX- including the so-called "market neutral" funds. Perhaps this is the real reason the market failed on Friday; funds are long and oh-so-wrong, and looking for any opportunity to trim their long positions. If that's the case, then bounces may well be short lived until we see equity funds with a short(er) exposure to market beta, in which case rallies will be the pain trade.
And given what we've seen so far in 2008, wagering on the pain trade seems like the only safe bet in town.
Was that it?
After the rallies on Wednesday and Thursday, along with the revelation that the earlier meltdown was rogue trader-related, markets were perhaps justified in expecting an extension of the snapback in risk assets (though some, like the Turkish lira, had already recouped 70% of their losses.) After Friday's steady selling into the close, traders can now ask themselves "was that it"?
Certainly last Wednesday, Macro Man had targeted 1360 on the S&P 500 as a possible retracement target. Well, we got there, Macro Man cut some of his short risk, and then we turned back down. Could that really have been all there was to the rally?
Well, clearly it's possible; after all, the move to Friday's 1368 high fulfilled a number of retracement criteria. As noted above, it was an attempt to recapture the erstwhile support level, which was rejected. It was almost exactly a 38.2% retracement of the move down from the mid-December high. And it bounced neatly off of the downtrend line off of that mid-Dec high around 1500. All in all, it looks like a classic corrective pattern.
Paul Kedrosky did an interesting little study on intraday bounces last week, following on from Wednesday's sharp reversal. What struck Macro Man about the study was not the conclusion, which was pretty ambivalent, but the data itself. As far as Macro Man could make out, 8 of the 10 largest intraday spikes in the Dow occurred during what could be termed bear markets. The other two, in 1987 and 1997, occured during times of extreme financial market stress (The '87 crash and the Asian crisis, respectively.) While Wednesday's spike didn't make the top 10 list of percentage intraday moves, it was still pretty impressive. And judging by the weight of history, these types of moves occur during secular bear, rather than bull, markets.
Unfortunately for many hedge fund investors, their managers may not be positioned for such a development. The Sunday Times published a by-now well-circulated article alluding to signs of stress in the European hedge fund community. Macro Man decided to investigate, and ran a broader version of the correlation study he did a few days ago. He ran rolling correlations on the SPX and the HFR NAV indices for global macro, equity, market neutral, and market directional hedge fund strategies. (Note: he regressed price, rather that daily returns, to filter out any reporting lags. Using daily returns, the correlation signs are identical, albeit with smaller absolute values.)
The chart makes ugly viewing for equity hedge fund investors, and not just because of the garish Excel 2007 colours. (As an aside, can someone please explain why MSFT decided to radically change Excel, making it more difficult to copy forumlae and to format charts? Why change a tried and tested winner? Can somone say "New Coke"? Macro Man likes Vista but hates the new version of Office.)
All three categories of equity hedge fund are displaying a high degree of correlation with the SPX- including the so-called "market neutral" funds. Perhaps this is the real reason the market failed on Friday; funds are long and oh-so-wrong, and looking for any opportunity to trim their long positions. If that's the case, then bounces may well be short lived until we see equity funds with a short(er) exposure to market beta, in which case rallies will be the pain trade.
And given what we've seen so far in 2008, wagering on the pain trade seems like the only safe bet in town.
gipa69
collegio dei patafisici
Citi on SocGen - “This is not a 1 PE event”Jan 28 10:40
by Paul Murphy
Comment
The only way is down for Société Générale’s investment banking business and, for the bank as a whole, even a takeover offers little upside, analysts at Citi were telling their clients on Monday.
We believe the SG business model will shift fundamentally as a result of the fraud losses. More…
The only way is down for Société Générale’s investment banking business and, for the bank as a whole, even a takeover offers little upside, analysts at Citi were telling their clients on Monday.
We believe the SG business model will shift fundamentally as a result of the fraud losses. This is not a 1 PE event: SG’s trading ‘black box’ has been discredited, and substantial changes will be needed in order to restore the confidence of regulators and ratings agencies. Current risk controls that allowed a position capable of yielding a €5 billion loss are clearly insufficient. Trading VAR will need to be curbed substantially in the near term and the degree of trading risk taken is unlikely to ever return.
While there may not be major direct repercussions for divisions other than investment banking, this business has spoken for 22 per cent of group revenue, historically.
As a standalone entity, we see SG’s leading European equities franchise gradually deteriorating. The long run of proprietary trading success has now been broken and the ‘black box’ nature of SG’s CIB operations will no longer be trusted. It is unclear that SG will be able to match 2006-07 levels of trading income for the foreseeable future.
On a “zero growth” scenario and with the market only willing to pay “trough earnings”, Citi analysts put SocGen’s fair value at €53 per share. That compares with a Euronext quote of €68.90 on Monday, itself a 6.7 per cent fall on the day.
Reuters on Monday were relaying comments by the French Economy minister, Christine Lagarde, who insists that SocGen isn’t under pressure to merge with another bank. There has been speculation that the French government could seize the chance to create a national banking champion, possibly to help avert a foreign institution making a move on SocGen.
The business has its attractions in terms of retail banking in France, international banking and also asset management. Who might want to buy the bank?
A number of in-market and cross border combinations can be considered for SG. In-market, BNPP and SG have often been regarded as a ‘natural’ combination. This would provide scale in French retail banking, emerging European exposure to balance BNPP’s Italian/ US operations, and would pair SG’s strength in equity derivatives with BNPP’s strength in fixed income. An inmarket combination with CASA could also be a strategic fit.
Despite its current problems, SG is a collection of very attractive businesses, which would potentially appeal to various large local and foreign banks. The list of potential bidders for part or all of SG would include BNP Paribas, Credit Agricole, Unicredito, HSBC, Barclays, Santander and BBVA.
For what it’s worth, Citi reckon HSBC would be amongst the most convincing bidders for SocGen:
The emerging Europe focused international retail unit and the CIB / derivatives unit would fill two holes in the HSBC footprint. Also, the acquisition would be manageable (HSBC market capitalisation is c3.3x that of SG today) and given SG’s low valuation the goodwill / capital impact would be relatively small. HSBC also has an existing French retail business — it is no stranger to the Hexagone.
And what sort of premium might this justify? Up to €33 per share for a French in-market merger, Citi says, and perhaps as little as €11 for a cross-border deal.
by Paul Murphy
Comment
The only way is down for Société Générale’s investment banking business and, for the bank as a whole, even a takeover offers little upside, analysts at Citi were telling their clients on Monday.
We believe the SG business model will shift fundamentally as a result of the fraud losses. More…
The only way is down for Société Générale’s investment banking business and, for the bank as a whole, even a takeover offers little upside, analysts at Citi were telling their clients on Monday.
We believe the SG business model will shift fundamentally as a result of the fraud losses. This is not a 1 PE event: SG’s trading ‘black box’ has been discredited, and substantial changes will be needed in order to restore the confidence of regulators and ratings agencies. Current risk controls that allowed a position capable of yielding a €5 billion loss are clearly insufficient. Trading VAR will need to be curbed substantially in the near term and the degree of trading risk taken is unlikely to ever return.
While there may not be major direct repercussions for divisions other than investment banking, this business has spoken for 22 per cent of group revenue, historically.
As a standalone entity, we see SG’s leading European equities franchise gradually deteriorating. The long run of proprietary trading success has now been broken and the ‘black box’ nature of SG’s CIB operations will no longer be trusted. It is unclear that SG will be able to match 2006-07 levels of trading income for the foreseeable future.
On a “zero growth” scenario and with the market only willing to pay “trough earnings”, Citi analysts put SocGen’s fair value at €53 per share. That compares with a Euronext quote of €68.90 on Monday, itself a 6.7 per cent fall on the day.
Reuters on Monday were relaying comments by the French Economy minister, Christine Lagarde, who insists that SocGen isn’t under pressure to merge with another bank. There has been speculation that the French government could seize the chance to create a national banking champion, possibly to help avert a foreign institution making a move on SocGen.
The business has its attractions in terms of retail banking in France, international banking and also asset management. Who might want to buy the bank?
A number of in-market and cross border combinations can be considered for SG. In-market, BNPP and SG have often been regarded as a ‘natural’ combination. This would provide scale in French retail banking, emerging European exposure to balance BNPP’s Italian/ US operations, and would pair SG’s strength in equity derivatives with BNPP’s strength in fixed income. An inmarket combination with CASA could also be a strategic fit.
Despite its current problems, SG is a collection of very attractive businesses, which would potentially appeal to various large local and foreign banks. The list of potential bidders for part or all of SG would include BNP Paribas, Credit Agricole, Unicredito, HSBC, Barclays, Santander and BBVA.
For what it’s worth, Citi reckon HSBC would be amongst the most convincing bidders for SocGen:
The emerging Europe focused international retail unit and the CIB / derivatives unit would fill two holes in the HSBC footprint. Also, the acquisition would be manageable (HSBC market capitalisation is c3.3x that of SG today) and given SG’s low valuation the goodwill / capital impact would be relatively small. HSBC also has an existing French retail business — it is no stranger to the Hexagone.
And what sort of premium might this justify? Up to €33 per share for a French in-market merger, Citi says, and perhaps as little as €11 for a cross-border deal.
quicksilver
Forumer storico
X Gipa ti ho messo un post di la http://www.investireoggi.it/forum/topic-redirect-vp548250.html#548250
gli sFizzeri hanno bisogno di soldi.... chissà perchè 
gli sFizzeri hanno bisogno di soldi.... chissà perchè
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