Treasury Secretary Hank Paulson has been putting on a full-court press in the last 24 hours, making the case for his plan to shore-up Fannie Mae and Freddie Mac.
"I would rather not be in the position of asking for extraordinary authorities to support the GSEs," Paulson said in a speech Tuesday in NYC. "But I am playing the hand that I have been dealt. There is a need to support efforts that strengthen Fannie and Freddie's ability to continue to play their important role in financing mortgages and in our capital markets more broadly."
The timing of Paulson's speech -- and various and sundry media appearances -- is not coincidental. This week, Congress is expected to vote on housing legislation that includes Paulson's plan, which a GAO report said is likely to cost the government $25 billion.
But $25 billion -- or even the GAO's worst-case $100 billion estimate -- pales in comparison to the cost of doing nothing, says Nouriel Roubini, NYU professor and chairman of RGE Monitor.
"We have to find a solution where government intervention prevents a disorderly outcome" in the housing market that leads to a "systemic banking crisis," Roubini says.
The housing bill, which earmarks $300 billion to backstop mortgages after lenders agree to lower mortgage payments, is "a step in the right direction" but "doesn't do enough," he says, predicting the government will ultimately need to spend more than $1 trillion.
Roubini's main concern stems from a view that the "housing recession is not bottoming by any standards," in contrast to hopeful comments from Paulson on Fox News and Barron's last weekend.
The economist believes U.S. home prices will ultimately fall 30% from their peak -- vs. 18% to date according to the S&P Case-Shiller Index -- "before bottoming out some point in 2010."
In the interim, the negative wealth effect of declining home values and increase in "underwater" mortgages will lead to more Americans walking away from their homes. Such "jingle mail" threatens to ultimately cost $1 trillion in credit losses, wiping out 75% of the capital of U.S. financial institutions, Roubini warns.
It is that "disorderly" outcome Roubini says the government cannot afford to let happen. With "the charade" that Fannie and Freddie weren't already government agencies over, he believes a nationalization of the 50% of mortgages not owned or guaranteed by Fannie and Freddie will be necessary, and the Frank-Dodd Bill is a small step down that road.
From Roubini's view, nationalizing housing avoids the government having to nationalization the entire banking system, making it the lesser of two evils.
Wednesday, July 23, 2008
8 indicators which suggest a rally?
ML Strategist, Mark Matthews,identify 8 indicators which suggest a rally should take place over the next couple of months:
1) US financials have bounced from an important support level last tested in 2000. They are up 26% from their lows of July 15, while Asian financials, which have fell just as much year-to-date, are only up 8%.
2) According to Investor Intelligence, the number of US bears over bulls is at its widest margin since 1994,
3) US small caps generally lead Asia - the Russell 2,000 has bounced 9% from July 7, while Asia is flat over the same period,
4) Net fund flows out of Asian markets of USD13bn year-to-date suggest an extreme in redemptions,
5) Asia is close to 2 standard deviations from the mean of its 200-day moving average, in the past this deviation extreme has been followed by rallies, on average of 3.0% over the next 1 month, 10.0% over the next 3 months, 8.3% over the next 6 months and 21.4% over the next 12 months.
6) The Relative Strength Index (average gain relative to average loss over 14 days) has turned up from its low of 17 in early July, to 44 as of yesterday,
7) Oil speculators have begun to reduce their positions on NYMEX and oil has reverted below USD130/b,
8) The region is now trading on 15x trailing earnings, below the average of 16.5x of the past 5 years.
1) US financials have bounced from an important support level last tested in 2000. They are up 26% from their lows of July 15, while Asian financials, which have fell just as much year-to-date, are only up 8%.
2) According to Investor Intelligence, the number of US bears over bulls is at its widest margin since 1994,
3) US small caps generally lead Asia - the Russell 2,000 has bounced 9% from July 7, while Asia is flat over the same period,
4) Net fund flows out of Asian markets of USD13bn year-to-date suggest an extreme in redemptions,
5) Asia is close to 2 standard deviations from the mean of its 200-day moving average, in the past this deviation extreme has been followed by rallies, on average of 3.0% over the next 1 month, 10.0% over the next 3 months, 8.3% over the next 6 months and 21.4% over the next 12 months.
6) The Relative Strength Index (average gain relative to average loss over 14 days) has turned up from its low of 17 in early July, to 44 as of yesterday,
7) Oil speculators have begun to reduce their positions on NYMEX and oil has reverted below USD130/b,
8) The region is now trading on 15x trailing earnings, below the average of 16.5x of the past 5 years.
Two-pronged strategy makes sense for bombed out old hot China favourites
Today may well mark the start of an “Olympics” rally for China stocks on SGX.
Last year’s hot favourites especially mid to big cap stocks with sound fundamentals and proven earnings track record have crashed from around two-thirds to 75% from their peaks with many below their IPO prices – the benchmark Shanghai SE Composite Index has crashed 58% from its Oct record 6124 high to 2567 early this month.
It makes sound strategy for players to move perhaps even aggressively into these stocks both for short term trading as well as investment as gains can be made on technical rebounds which we are witnessing today and as medium to long term investments for chances of making 30-50% gains within the next one year should be bright with limited 5-15% downside risks.
It is highly unlikely that the major China indices would lose two-thirds of their values – we have already seen 58% crash from peak to recent “bottom” which means at worst the downside would be around 2200-2300 on SCI (today at 2837).
It is also unlikely that China would crash more than Vietnam, which was down 67% from 1111 to 364 last month on the Ho Chi Minh stock index but is recovering well now, up 22.5% from bottom to 446 today, still down 60% from peak.
The 3 China stocks on the STI – Cosco, Yangijiang and Yanlord – would easily come to mind as “safer” bets but there are many former hot stocks including FerroChina, Fibrechem, Sino Techfibre, Synear Foods, China Hongzing and Li Heng, which deserve a fresh look.
Cosco ($3.20) crashed 66% from $8.20 to $2.79, should recover further to around $3.50 and $3.70-90 in the short and medium term. YZJ (80 cents) down a massive 73% from $2.87 to 76.5 cents can recover to 90-95c once resistance at 84-85c is overcome.
Yanlord ($2.12) which has lost 63% from $4.40 to $1.65 has short term hurdle at $2.30 but medium term $2.70-80 should be a fair target.
FerroChina ($1.22) has also crashed from $2.87 to $1.02, down 64%, should overcome $1.30 and move to $1.50-60.
Fibrechem (63c) down 72% from $1.90 to 53.5c, should rebound to 67-68c and later to 74-75c.
Sino Techfibre (56c) has recovered from its 44.5c low, down 74% from $1.73 peak and should be able to move above 60c to 64-65c.
Synear Foods (45.5c) lost 85% from $2.52 to 37c, and should rebound back to this month’s 50-52c high.
China Hongxing (51c) down 72% from $1.45 to 40.5c, should recover to 58-59c and later to 68-70c.
Li Heng (61c) has lost 44% from 87c to 49c, and is below March IPO price of 80c. Its strong rebound from 49c on good volumes imply likely test of 65-68c resistance.
Last year’s hot favourites especially mid to big cap stocks with sound fundamentals and proven earnings track record have crashed from around two-thirds to 75% from their peaks with many below their IPO prices – the benchmark Shanghai SE Composite Index has crashed 58% from its Oct record 6124 high to 2567 early this month.
It makes sound strategy for players to move perhaps even aggressively into these stocks both for short term trading as well as investment as gains can be made on technical rebounds which we are witnessing today and as medium to long term investments for chances of making 30-50% gains within the next one year should be bright with limited 5-15% downside risks.
It is highly unlikely that the major China indices would lose two-thirds of their values – we have already seen 58% crash from peak to recent “bottom” which means at worst the downside would be around 2200-2300 on SCI (today at 2837).
It is also unlikely that China would crash more than Vietnam, which was down 67% from 1111 to 364 last month on the Ho Chi Minh stock index but is recovering well now, up 22.5% from bottom to 446 today, still down 60% from peak.
The 3 China stocks on the STI – Cosco, Yangijiang and Yanlord – would easily come to mind as “safer” bets but there are many former hot stocks including FerroChina, Fibrechem, Sino Techfibre, Synear Foods, China Hongzing and Li Heng, which deserve a fresh look.
Cosco ($3.20) crashed 66% from $8.20 to $2.79, should recover further to around $3.50 and $3.70-90 in the short and medium term. YZJ (80 cents) down a massive 73% from $2.87 to 76.5 cents can recover to 90-95c once resistance at 84-85c is overcome.
Yanlord ($2.12) which has lost 63% from $4.40 to $1.65 has short term hurdle at $2.30 but medium term $2.70-80 should be a fair target.
FerroChina ($1.22) has also crashed from $2.87 to $1.02, down 64%, should overcome $1.30 and move to $1.50-60.
Fibrechem (63c) down 72% from $1.90 to 53.5c, should rebound to 67-68c and later to 74-75c.
Sino Techfibre (56c) has recovered from its 44.5c low, down 74% from $1.73 peak and should be able to move above 60c to 64-65c.
Synear Foods (45.5c) lost 85% from $2.52 to 37c, and should rebound back to this month’s 50-52c high.
China Hongxing (51c) down 72% from $1.45 to 40.5c, should recover to 58-59c and later to 68-70c.
Li Heng (61c) has lost 44% from 87c to 49c, and is below March IPO price of 80c. Its strong rebound from 49c on good volumes imply likely test of 65-68c resistance.
VIX會否因普及而失效？
「Buy and Hold」投資策略，過去令譚甫屯賺取超過200億美元身家，亦令畢非德一度成為世界首富。隨着2007年10月美股大牛市結束，上述策略風光日子不再，應改為利用VIX去捉熊腳（7月15日極有可能係熊市二期內第二隻腳）。但捉熊腳唔係人人啱玩，各位要小心。
物超所值項目愈嚟愈難搵
世上愈來愈多「價值投資法」信徒，响咁情況下，要搵到物超所值投資項目機會愈來愈細，除非擁有超人智慧（但大部分人都冇）。
換言之，美國6月份CPI雖然上升5％，但人民面對係「通縮」！曾經歷過1997到2003年香港人應該最明白，每年樓價回落10％合共六年滋味，消費力自然萎縮，相若環境將喺美國重演，再加上金融業大裁員（金融業係OECD國家人口中最高收入行業），美國人將面對收入下降。所以我老曹擔心係美國同歐洲進入九十年代日式衰退，最終拖垮油價甚至金價，而毋須再要聯儲局加息，只有新興經濟國先至係進入滯脹。
上周由美國證監限制拋空而引發三天補倉潮，如客觀形勢未改善，完成補倉後，美股成交將十分靜。五窮、六絕、七翻身，到7月份股市已累積唔少淡倉（7月15日VIX一度見30），引發平倉潮並唔奇。問題係7月完成平倉後，8月及9月業績公布期股市又點？
VIX（喺美國CBOE交易）已愈來愈普及，當佢上升，代表投資者驚慌；當佢回落，代表投資者信心十足。職業投機者便反其道而行，今年5月喺孟買股票交易所更引入印度VIX。CBOE同台灣交易所、德國Eurex及Euronext達成協議，引入上述股市VIX。市場亦開始計算原油、黃金、外滙及利率VIX，形成全球一片VIX熱。VIX最後命運會否一如其他分析工具，因太普及而漸漸失效？
物超所值項目愈嚟愈難搵
世上愈來愈多「價值投資法」信徒，响咁情況下，要搵到物超所值投資項目機會愈來愈細，除非擁有超人智慧（但大部分人都冇）。
換言之，美國6月份CPI雖然上升5％，但人民面對係「通縮」！曾經歷過1997到2003年香港人應該最明白，每年樓價回落10％合共六年滋味，消費力自然萎縮，相若環境將喺美國重演，再加上金融業大裁員（金融業係OECD國家人口中最高收入行業），美國人將面對收入下降。所以我老曹擔心係美國同歐洲進入九十年代日式衰退，最終拖垮油價甚至金價，而毋須再要聯儲局加息，只有新興經濟國先至係進入滯脹。
上周由美國證監限制拋空而引發三天補倉潮，如客觀形勢未改善，完成補倉後，美股成交將十分靜。五窮、六絕、七翻身，到7月份股市已累積唔少淡倉（7月15日VIX一度見30），引發平倉潮並唔奇。問題係7月完成平倉後，8月及9月業績公布期股市又點？
VIX（喺美國CBOE交易）已愈來愈普及，當佢上升，代表投資者驚慌；當佢回落，代表投資者信心十足。職業投機者便反其道而行，今年5月喺孟買股票交易所更引入印度VIX。CBOE同台灣交易所、德國Eurex及Euronext達成協議，引入上述股市VIX。市場亦開始計算原油、黃金、外滙及利率VIX，形成全球一片VIX熱。VIX最後命運會否一如其他分析工具，因太普及而漸漸失效？
投資要朝秦暮楚
今年上半年美國股票投資回報率，係美國1930年以來最差半年，甚至畢非德巴郡亦令人失望。美國銀行、花旗、瑞銀等股價跌幅皆超過50％，更加唔好話地區性銀行，跌幅超過90％者比比皆是，令所謂「價值投資法」極受投資界質疑，响股市愈來愈有效率環境下，一般投資者能否再搵到物超所值項目？
入行四十年，我老曹學到嘢唔多。
第一項：
投資市場係最好僕人、最嚴厲老闆（較林行止兄更嚴厲）。如你做啱，它會獎勵你很多；如你做錯，佢會令你傾家蕩產。
第二項：
溝上唔溝落。持有winner，讓利潤往前跑；沽出loser，請快快止蝕，記住止蝕唔止賺。
第三項：
價值投資法只適合牛市起步時，唔適合牛市結束期（唔信？請試吓喺去年10月入市滋味）。你最大敵人係你自己感情，例如自大、睇唔起別人、戀上你投資等等。响愛情路上，我老曹主張尊一；投資路上，我老曹主張朝三暮四、朝秦暮楚、見異思遷。請永遠唔好同投資項目談戀愛。
第四項：
唔好預測。1990年我老曹曾預測日股將衰足十六年（靈感來自美股1966至82年），結果只衰足十三年，所以話千萬不可「亂測」。2007年10月，長達二十五年美股超級牛市已結束，相信有排衰，投資者宜朝秦暮楚，以及將投資重心由歐、美轉向中、印。相信中、印股市進入V形走勢（即跌得快、跌得重，但日後升得急、升幅大，極有可能係2009年）。有如我老曹响1997年棄港往英一樣，唔好再留戀歐、美矣。
入行四十年，我老曹學到嘢唔多。
第一項：
投資市場係最好僕人、最嚴厲老闆（較林行止兄更嚴厲）。如你做啱，它會獎勵你很多；如你做錯，佢會令你傾家蕩產。
第二項：
溝上唔溝落。持有winner，讓利潤往前跑；沽出loser，請快快止蝕，記住止蝕唔止賺。
第三項：
價值投資法只適合牛市起步時，唔適合牛市結束期（唔信？請試吓喺去年10月入市滋味）。你最大敵人係你自己感情，例如自大、睇唔起別人、戀上你投資等等。响愛情路上，我老曹主張尊一；投資路上，我老曹主張朝三暮四、朝秦暮楚、見異思遷。請永遠唔好同投資項目談戀愛。
第四項：
唔好預測。1990年我老曹曾預測日股將衰足十六年（靈感來自美股1966至82年），結果只衰足十三年，所以話千萬不可「亂測」。2007年10月，長達二十五年美股超級牛市已結束，相信有排衰，投資者宜朝秦暮楚，以及將投資重心由歐、美轉向中、印。相信中、印股市進入V形走勢（即跌得快、跌得重，但日後升得急、升幅大，極有可能係2009年）。有如我老曹响1997年棄港往英一樣，唔好再留戀歐、美矣。
油价不可能回跌
屋漏偏逢连夜雨，用来形容今天全球的经济情况最恰当不过。美国次贷风暴未平息，对金融市场的冲击越来越大，原油价格继续看涨，而“成本推动型”通货膨胀正严重冲击亚洲经济增长，持续时间越长，造成伤害就越大。今年亚洲地区的通胀率，将是1997年至1998年亚洲金融风暴以来最高的。美国金融市场的烂摊子，最终还是必须由美国政府通过纾困措施抢救。但油价没有立即解决的方案，油价牵动所有的经济活动，最后的结果是令人心烦的连夜雨，变成一场世界性的倾盆大雨。油价高涨有两个说法：油价有可能下降吗？下降幅度会有多大？今天油价的高涨有两个说法，一是投机炒作，另一个是求过于供。国际大炒家索罗斯（George Soros）早前将矛头指向投机活动，有些分析师认为炒作成分不到15％；股神巴菲特（Warren Buffett）认为供求紧张刺激油价狂上，持有相同看法的专家也不少。唯一可以肯定的是，油价还是会屡创新高。曾任布什政府能源顾问的Simmons & Co行政总裁的西蒙斯（Matt Simmons）指出，全球产油量已于2005年见顶，并将于不久之后大幅萎缩。这位石油财经专家说：“到了2015年，假如我们能够维持每日6000万 桶产量，已是相当幸运（目前每日约8500万桶）；我担心届时只剩下每日4000万桶。”巴菲特近日接受CNBC访问时指出，原油供应过去数十年来，一直大量超前实际所需，直至最近一两年增产空间已所剩无几，才会导致油价节节上升。而投机活动并非高油价主因，若禁止原油期货买卖，高油价问题也不会有什么改变。有“末日博士”之称的麦嘉华(Marc Faber)也认为，全球原油供给远小于需求，油价未来将上看每桶300美元。麦嘉华最近受邀到台湾演讲时表示，亚洲有36亿人，每天原油需求量2200万桶，美国仅3亿人，每天却需要2200万桶，且原油进口率从过去23％一路 提升到现在的73％；中国和印度过去需求量已大增一倍，未来12至15年，需求量会再增加一倍，这些因素将会使得原油供应不足。他也表 示，1988年以前，每年发现新原油蕴藏量均大于需求量，甚至在1964年发现最大新原油蕴藏量为480亿桶，当时需求量仅120亿桶，不过目前每年原油 需求量为300亿桶，新发现原油蕴藏量仅50亿桶至60亿桶，需求远大于供给，未来油价不可能下跌，甚至有机会达到每桶300美元。
专家预测--世界产油量今年见顶
2005年4月间，油价突破每桶60美元，当时有市场已预见石油产量快见顶，很多专家和知名的分析师都加入成为“百元油价俱乐部”会员，认定油价将会无可避免地冲破每桶100美元。“产油量见顶”是指全球石油产量升到最高点后掉头下跌。而近两年来，油价一直在高价位盘旋，上涨至150美元只是时间问题。当时，全球顶尖能源分析家西蒙斯在英国爱丁堡一个石油会议上发出警告，中东国家的石油蕴藏量可能远低于官方数字，国际油价可能在三年内冲破每桶100美元，虽然石油需求不断上升，但“产油量见顶”的局面正迅速来临，触发石油危机，令全球经济崩溃。在90年代，石油低价推动了经济繁荣，但相反的，紧随在石油危机之后的往往就是经济危机，美国历史经验已告诉了我们这个残酷的事实。因此，如果这次石油价格继续上涨，必然会拖累美国经济乃至世界经济。亚洲国家及其他新兴国家近年来对石油的需求大增，以中国为例，目前中国每日的石油消耗量已接近2000万桶，相信在未来五年，来自亚洲国家的需求会超过4000万桶，令全球每日石油消耗量持续上升。50年代创建“石油顶峰理论”模式的哈佛大学教授金·胡伯博士（King Hubbert），在“The Impending World Oil Shortage”一书中，曾准确预测美国的石油产量在70年代会达到高峰，世界石油产出在2005－2010年达到顶峰，之后会逐渐下降直到枯竭。金·胡伯于2004年再次指出，世界产油量将在2008年见顶，其后产油量将急速下滑。他更预测，石油蕴藏量将在30年内完全被消耗，这个预测也得到实例的证明，例如目前14％被发现的新油田都是位于14个古老的大型油田附近，而余下的85％被发现的新油田则属于小型油田。另一个事实是，陆地的油井也快开采完，石油商纷纷将目标转向海上，这造成钻油台的订单大增。油井逐渐枯竭是眼前的事实，全球将要面对的是油井枯竭后造成的长期影响，甚至引发灾难性后果。按这种供求趋势，油价即使下降，幅度也是有限的。近年随着石油需求的猛增，金·胡伯预言就快成真，能源界和各国政府已在为未来如何应付能源危机而担忧。而能源危机迫在眉睫，各国对能源的争夺可能是未来导致冲突的主要原因。
高油价冲击汽车业和制造业
油价飙涨使得全球汽车业重新洗牌，耗油量大的大型车在美国车市滞销，省油小型汽车看俏。美国汽车龙头通用公司六天前刚宣布业务大整顿方案。卡车和休旅车向来是通用的金鸡母，金鸡母下不了蛋，约有160亿美元债务的通用，股价这个月初已跌破10美元，为50年来头一遭。油价成倍上涨，使得过去数10年成为“世界工厂”的中国生产成本日益上升，不少生产商已搁置在中国的增产计划。中国除了面对重大的通胀压力，土地和工资成本已不再便宜，油价的大幅飙升，更使厂商必须考虑到运输费用，而当年把北美厂房关掉的美国企业，开始把生产线搬回北美本土。全球制造业很快将再次掀起大挪移。为了降低因油价飙升而不断上涨的运输成本，厂商会考虑把制造基地搬到距离消费者更近的地点，因此会把进一步扩大海外生产的计划冻结。这将使过去30年来将生产线转移到海外的情况出现一次大逆转。从亚洲运输一个40英尺的集装箱到美国东岸，目前成本已是八年前（当时油价20美元一桶）的三倍，若油价飙至每桶200美元，运费还会再增加一倍。因此将生产线设在成本更低的地区，已是不可取的做法。离开最终消费市场越远的生产基地，生产成本再便宜，也抵不上运输成本。油价继续上升，运输成本在最终价格中所占的比例将更大。美元的疲弱、中东政局紧张及油公司的劳工问题，将对已经高胀的全球油价造成更大推升压力，油价更没有下跌的理由，很快，我们将看到更多行业受到重创，航空业是其中之一。
专家预测--世界产油量今年见顶
2005年4月间，油价突破每桶60美元，当时有市场已预见石油产量快见顶，很多专家和知名的分析师都加入成为“百元油价俱乐部”会员，认定油价将会无可避免地冲破每桶100美元。“产油量见顶”是指全球石油产量升到最高点后掉头下跌。而近两年来，油价一直在高价位盘旋，上涨至150美元只是时间问题。当时，全球顶尖能源分析家西蒙斯在英国爱丁堡一个石油会议上发出警告，中东国家的石油蕴藏量可能远低于官方数字，国际油价可能在三年内冲破每桶100美元，虽然石油需求不断上升，但“产油量见顶”的局面正迅速来临，触发石油危机，令全球经济崩溃。在90年代，石油低价推动了经济繁荣，但相反的，紧随在石油危机之后的往往就是经济危机，美国历史经验已告诉了我们这个残酷的事实。因此，如果这次石油价格继续上涨，必然会拖累美国经济乃至世界经济。亚洲国家及其他新兴国家近年来对石油的需求大增，以中国为例，目前中国每日的石油消耗量已接近2000万桶，相信在未来五年，来自亚洲国家的需求会超过4000万桶，令全球每日石油消耗量持续上升。50年代创建“石油顶峰理论”模式的哈佛大学教授金·胡伯博士（King Hubbert），在“The Impending World Oil Shortage”一书中，曾准确预测美国的石油产量在70年代会达到高峰，世界石油产出在2005－2010年达到顶峰，之后会逐渐下降直到枯竭。金·胡伯于2004年再次指出，世界产油量将在2008年见顶，其后产油量将急速下滑。他更预测，石油蕴藏量将在30年内完全被消耗，这个预测也得到实例的证明，例如目前14％被发现的新油田都是位于14个古老的大型油田附近，而余下的85％被发现的新油田则属于小型油田。另一个事实是，陆地的油井也快开采完，石油商纷纷将目标转向海上，这造成钻油台的订单大增。油井逐渐枯竭是眼前的事实，全球将要面对的是油井枯竭后造成的长期影响，甚至引发灾难性后果。按这种供求趋势，油价即使下降，幅度也是有限的。近年随着石油需求的猛增，金·胡伯预言就快成真，能源界和各国政府已在为未来如何应付能源危机而担忧。而能源危机迫在眉睫，各国对能源的争夺可能是未来导致冲突的主要原因。
高油价冲击汽车业和制造业
油价飙涨使得全球汽车业重新洗牌，耗油量大的大型车在美国车市滞销，省油小型汽车看俏。美国汽车龙头通用公司六天前刚宣布业务大整顿方案。卡车和休旅车向来是通用的金鸡母，金鸡母下不了蛋，约有160亿美元债务的通用，股价这个月初已跌破10美元，为50年来头一遭。油价成倍上涨，使得过去数10年成为“世界工厂”的中国生产成本日益上升，不少生产商已搁置在中国的增产计划。中国除了面对重大的通胀压力，土地和工资成本已不再便宜，油价的大幅飙升，更使厂商必须考虑到运输费用，而当年把北美厂房关掉的美国企业，开始把生产线搬回北美本土。全球制造业很快将再次掀起大挪移。为了降低因油价飙升而不断上涨的运输成本，厂商会考虑把制造基地搬到距离消费者更近的地点，因此会把进一步扩大海外生产的计划冻结。这将使过去30年来将生产线转移到海外的情况出现一次大逆转。从亚洲运输一个40英尺的集装箱到美国东岸，目前成本已是八年前（当时油价20美元一桶）的三倍，若油价飙至每桶200美元，运费还会再增加一倍。因此将生产线设在成本更低的地区，已是不可取的做法。离开最终消费市场越远的生产基地，生产成本再便宜，也抵不上运输成本。油价继续上升，运输成本在最终价格中所占的比例将更大。美元的疲弱、中东政局紧张及油公司的劳工问题，将对已经高胀的全球油价造成更大推升压力，油价更没有下跌的理由，很快，我们将看到更多行业受到重创，航空业是其中之一。
循環周期影響股市
7月21日，周一。恒指升658.71，收22532.9；成交696.4億元。7月期指升631點，收22605點；8月期指升597點，收22578點。短期展望阻力漸現，但中期睇法，呢一潮升市可維持到8月下半月才完成。請參考以下分析。五窮、六絕、七翻身。以RSI睇，踏入7月份已出現背馳；以循環理論（cycle theory）睇，7月9日起下跌浪完成，上升浪開始。7月16日恒指20988.74係咪熊市二期內第二隻腳？今天恒指升穿由5月5日開始嘅下降軌，即類似今年3月至5月嘅熊市二期反彈由7月16日開始，估計可維持四十五天左右（由7月9日起計）即。用VIX指數睇，7月16日係另一隻熊腳機會極大，即股市進入中期睇好期。
循環周期影響股市
捉熊腳並非一般散戶可應付嘅遊戲，需要高度技巧，並能克服個人心魔才行，一旦形勢轉為不利，便應立即止蝕離場。你能做得到咩？去年有幾多所謂投資專家能掌握去年10月股市高潮而減持？循環理論我老曹1974年11月開始學習（當年有關書籍由行止兄所贈），但至今仍少見一般分析員利用此法分析（cyclical analyst），理由係掌握上述理論必須有幾深嘅數學基礎才掂。
其中最微細嘅浪約九至十一天（此乃移動平均數係十天之理由）；大一D係二點三個月約十周（此乃50天移動平均數出現嘅理由）。再大一D係五點七六個月二十五周（即一百二十五天）；再大係十七點三個月七十五周（三百七十五天）。完成一個大浪需要五十一點九二個月二百二十五周（一千一百二十五天），此乃二百二十五周移動平均數出現嘅理由。
上述循環互為影響，而形成股市韻律（rhythms），常見韻律有十七個月（或七十五周），即由低至高再返回低點需時十七個月；第二種係四點三二年（二百二十五周）。一個經濟盛衰影響通常需四點三二年才完成，再大一D係八點六四年、十七點二八年及三十四年半。
對股市影響最大係四點三二年同十七點二八年嘅循環周期；四個四點三二年組成十七點二八年。以香港1984年年中起步，第一個四點二五年係1988年第三季、1993年初、1997年8月、2001年下半年。第一個四點三二年嘅波浪係十七年大浪中嘅上升浪，即1984至88年第三季，上升日子多、下跌日子少；第二個四點三二年嘅浪亦係十七年浪中嘅上升浪，亦係上升日子多、下跌日子少（如當地經濟向上，第三個四點三二年浪亦係，此乃港股响1997年8月見頂嘅理由）。第四個浪便難逃一跌，至2001年年中，完成十七點二八年周期。當然，真正嘅cycle theory十分深奧難明，必須懂得計幾何者才可以學習。簡單D講，如你喺1984年已明白十七點二五年周期，便可避過1997年入市及2001年下半年加入大舉拋售行列。
不過，點解另一個四點三二年周期無法將恒指由2001年中到03年上半年呢兩年內推上？就係受三十四年嗰個更長更大嘅周期所影響。根據三十四點五年周期，2001年起已進入下降周期，呢個大周期壓抑住四點三二年小周期向上嘅力量，令今次呢個十七年周期升市由2003年4月才開始。
上述教cycle嘅書，1974年11月由行止兄所送，唔知家吓市場上係咪仲有售。各位可試試上網搵搵，呢本書叫做Investing for Profit with Torque Analysis of Stock Market Cycles，作者係William C. Garrett。香港投資者已經相當成熟，學習cycle分析相信亦唔會走火入魔（但數學基礎差者不宜學習）。
循環周期影響股市
捉熊腳並非一般散戶可應付嘅遊戲，需要高度技巧，並能克服個人心魔才行，一旦形勢轉為不利，便應立即止蝕離場。你能做得到咩？去年有幾多所謂投資專家能掌握去年10月股市高潮而減持？循環理論我老曹1974年11月開始學習（當年有關書籍由行止兄所贈），但至今仍少見一般分析員利用此法分析（cyclical analyst），理由係掌握上述理論必須有幾深嘅數學基礎才掂。
其中最微細嘅浪約九至十一天（此乃移動平均數係十天之理由）；大一D係二點三個月約十周（此乃50天移動平均數出現嘅理由）。再大一D係五點七六個月二十五周（即一百二十五天）；再大係十七點三個月七十五周（三百七十五天）。完成一個大浪需要五十一點九二個月二百二十五周（一千一百二十五天），此乃二百二十五周移動平均數出現嘅理由。
上述循環互為影響，而形成股市韻律（rhythms），常見韻律有十七個月（或七十五周），即由低至高再返回低點需時十七個月；第二種係四點三二年（二百二十五周）。一個經濟盛衰影響通常需四點三二年才完成，再大一D係八點六四年、十七點二八年及三十四年半。
對股市影響最大係四點三二年同十七點二八年嘅循環周期；四個四點三二年組成十七點二八年。以香港1984年年中起步，第一個四點二五年係1988年第三季、1993年初、1997年8月、2001年下半年。第一個四點三二年嘅波浪係十七年大浪中嘅上升浪，即1984至88年第三季，上升日子多、下跌日子少；第二個四點三二年嘅浪亦係十七年浪中嘅上升浪，亦係上升日子多、下跌日子少（如當地經濟向上，第三個四點三二年浪亦係，此乃港股响1997年8月見頂嘅理由）。第四個浪便難逃一跌，至2001年年中，完成十七點二八年周期。當然，真正嘅cycle theory十分深奧難明，必須懂得計幾何者才可以學習。簡單D講，如你喺1984年已明白十七點二五年周期，便可避過1997年入市及2001年下半年加入大舉拋售行列。
不過，點解另一個四點三二年周期無法將恒指由2001年中到03年上半年呢兩年內推上？就係受三十四年嗰個更長更大嘅周期所影響。根據三十四點五年周期，2001年起已進入下降周期，呢個大周期壓抑住四點三二年小周期向上嘅力量，令今次呢個十七年周期升市由2003年4月才開始。
上述教cycle嘅書，1974年11月由行止兄所送，唔知家吓市場上係咪仲有售。各位可試試上網搵搵，呢本書叫做Investing for Profit with Torque Analysis of Stock Market Cycles，作者係William C. Garrett。香港投資者已經相當成熟，學習cycle分析相信亦唔會走火入魔（但數學基礎差者不宜學習）。
Tuesday, July 22, 2008
趁熊市建立高股息组合
最近一家英文财经日报形容目前的股市，为一场“完美风暴”(A PERFECT STORM)，意思是说这场风暴是由所有不利因素凑在一起形成的－－石油价格暴涨，次级房贷余波荡漾，国内政局充满变数，所有这些因素，不约而同，在同一个时间内出现，导致股市人心惶惶。
再加上一些投资研究机构和预言家，预测股市会跌破1000点，使投资者有“股市末日”之感。
有人问我：“股市还会再跌吗？”。坦白说，我不知道，我也不认为有谁会知道。
所有的猜测，都是根据目前已知的宏观和微观因素作出的。而这些因素分分钟在变，当这些因素改变时，预言家的预测，可能马上来一个180度的转变，所以，如果你根据预言家的预测作出投资决定的话，你会疲於奔命。
逆向投资
反向投资者必须养成一种习惯，当所有的人都看坏股市时，就应该从相反的角度去看股市。
股市中的每一宗交易，其实都是一半人看好，一半人看坏的具体表现。如果所有的人都看好的话，就不会有卖家了，同样的，如果所有人都看坏的话，就不会有买家出现了。目前股市仍相当活跃，说明了有人看好，有人看坏。所以所有报章上出现的预测，或是预言家的猜测，只是股市中无数看法中的其中一种看法而已。所以，任何的预言，只能作为参考，切勿尽信。
造成目前熊市的罪魁祸首是油价，油价在短短的一年中暴升一倍，是不是纯粹因供不应求造成的？有可能长期持续下去吗？
历史经验告诉我们：其进锐者其退速。抛向天空的铁球，一定会跌回地面，因为铁球不可能在“空”中找到支撑点，支撑点必然是在“实”地上。油价如果不是供求失衡造成的，则总有一天会暴跌，届时国际经济的景观就不同了。
洪峰已过
次级房贷闹了整年，已沉寂下来，相信“洪峰”已过，把眼光放远一点，就不会那么悲观。
至於国内政局，我始终认为，这是两线制这个婴孩诞生前的阵痛。国家独立五十年，人民早已过了“不惑”之年，看事情已更理智，只要执政党和反对党遵循宪法，国家的稳定将持续。
所以，以反向的角度看，这场“完美风暴”提供了有胆识者一个机会，以合理价格买进五星级股票的机会。
经过一轮的大跌，投资风险已大减。目前的企业已更健全，财务管理已更小心翼翼。更重要的是，绝大部份好股都没有负债或负债率不高，1997年金融风暴的情况不可能出现。因为大家已系好完全带，渡过“完美风暴”，绝对不成问题，业绩表现虽然参差不齐，但基本上应可保持平稳。
在牛市中，股价大涨，周息率(股息收益率Dividend Yield)只有3-4%。经过这一轮暴跌后，许多五星级股票的毛周息率，高达7-8%，已比银行定期存款的利息高一倍。
这实在是一个建立高股息股票投资组合的良好机会。
高股息五星级股票的股息收入，也比屋租更高，买进作为长期，比买屋更划算。
再加上一些投资研究机构和预言家，预测股市会跌破1000点，使投资者有“股市末日”之感。
有人问我：“股市还会再跌吗？”。坦白说，我不知道，我也不认为有谁会知道。
所有的猜测，都是根据目前已知的宏观和微观因素作出的。而这些因素分分钟在变，当这些因素改变时，预言家的预测，可能马上来一个180度的转变，所以，如果你根据预言家的预测作出投资决定的话，你会疲於奔命。
逆向投资
反向投资者必须养成一种习惯，当所有的人都看坏股市时，就应该从相反的角度去看股市。
股市中的每一宗交易，其实都是一半人看好，一半人看坏的具体表现。如果所有的人都看好的话，就不会有卖家了，同样的，如果所有人都看坏的话，就不会有买家出现了。目前股市仍相当活跃，说明了有人看好，有人看坏。所以所有报章上出现的预测，或是预言家的猜测，只是股市中无数看法中的其中一种看法而已。所以，任何的预言，只能作为参考，切勿尽信。
造成目前熊市的罪魁祸首是油价，油价在短短的一年中暴升一倍，是不是纯粹因供不应求造成的？有可能长期持续下去吗？
历史经验告诉我们：其进锐者其退速。抛向天空的铁球，一定会跌回地面，因为铁球不可能在“空”中找到支撑点，支撑点必然是在“实”地上。油价如果不是供求失衡造成的，则总有一天会暴跌，届时国际经济的景观就不同了。
洪峰已过
次级房贷闹了整年，已沉寂下来，相信“洪峰”已过，把眼光放远一点，就不会那么悲观。
至於国内政局，我始终认为，这是两线制这个婴孩诞生前的阵痛。国家独立五十年，人民早已过了“不惑”之年，看事情已更理智，只要执政党和反对党遵循宪法，国家的稳定将持续。
所以，以反向的角度看，这场“完美风暴”提供了有胆识者一个机会，以合理价格买进五星级股票的机会。
经过一轮的大跌，投资风险已大减。目前的企业已更健全，财务管理已更小心翼翼。更重要的是，绝大部份好股都没有负债或负债率不高，1997年金融风暴的情况不可能出现。因为大家已系好完全带，渡过“完美风暴”，绝对不成问题，业绩表现虽然参差不齐，但基本上应可保持平稳。
在牛市中，股价大涨，周息率(股息收益率Dividend Yield)只有3-4%。经过这一轮暴跌后，许多五星级股票的毛周息率，高达7-8%，已比银行定期存款的利息高一倍。
这实在是一个建立高股息股票投资组合的良好机会。
高股息五星级股票的股息收入，也比屋租更高，买进作为长期，比买屋更划算。
Monday, July 21, 2008
Gauging Sentiment with the Volatility Index
More and more investors are using options prices offered up by the Chicago Board Options Exchange's Volatility Index, or VIX, to help determine market direction. Here we'll look at what VIX is, how it is developed and how it is useful to investors.
What Is the VIX?
The VIX is one of the investment industries most widely accepted methods to gauge stock market volatility. The first version of this index was developed by the CBOE in 1993 and was calculated by taking the weighted average of implied volatility for the Standard and Poor's 100 Index (OEX) calls and puts. However, in Sept 2003 they revised it to give a more accurate depiction of broad market volatility. In essence, VIX is a gauge of investors' confidence or non-confidence in market conditions.
It is important to understand that the VIX does not measure the volatility of a single issue or option instrument, but uses a wide range of strike prices of various calls and puts that are all based on the S&P 500. What is formed is a more accurate measure of the markets expectation of near-term volatility.
Determining Market Direction
Incorporating a wide range of S&P 500 index options truly makes this index a cross-section of investor sentiment. The VIX has an inverse relationship to the market, and a chart of the indicator will usually be shown with the scale inverted to show the low readings at the top and high readings at the bottom.
A low VIX, a range of 20 to 25, indicates traders have become somewhat uninterested in the market and generally indicates a sell-off. The value of VIX increases as the market goes down and decreases when the market moves in an upward direction. A rising stock market is seen as less risky and a declining stock market more risky. The higher the perceived risk in stocks, the higher the implied volatility and the more expensive the associated options, especially puts. Hence, implied volatility is not about the size of the price swings, but rather the implied risk associated with the stock market. When the market declines, the demand for puts usually increases. Increased demand means higher put prices and higher implied volatilities.
For contrarians, comparing VIX action with that of the market can yield good clues on future direction or duration of a move. The further VIX increases in value, the more panic there is in the market. The further VIX decreases in value, the more complacency there is in the market. As a measure of complacency and panic, VIX is often used as a contrarian indicator. Prolonged and/or extremely low VIX readings indicate a high degree of complacency and are generally regarded at bearish. Some contrarians view readings below 20 as excessively bearish. Conversely, prolonged and/or extremely high VIX readings indicate a high degree or anxiety or even panic among options traders and are regarded at bullish. High VIX readings usually occur after an extended or sharp decline and sentiment is still quite bearish. Some contrarians view readings above 30 as bullish.
Conflicting signals between VIX and the market can yield sentiment clues for the short term, also. Overly bullish sentiment or complacency is regarded as bearish by contrarians. On the other hand, overly bearish sentiment or panic is regarded as bullish. If the market declines sharply and VIX remains unchanged or decreases in value (towards complacency), it could indicate that the decline has further to go. Contrarians might take the view that there is still not enough bearishness or panic in the market to warrant a bottom. If the market advances sharply and VIX increases in value (towards panic), it could indicate that the advance has further to go. Contrarians might take the view that there is not enough bullishness or complacency to warrant a top.
In this chart of the VIX indicator for the 20 months preceding Aug 2002, you can see by the three red down arrows that the market sentiment was bearish and implied that volatility was extremely high. A black up-arrow shows the market turning somewhat more bullish and less volatile in Apr 2002. Knowing the events of the preceding six months, it is not surprising that the VIX would move sharply back to a bearish sentiment not seen since the disaster of Sept 11, 2001. You can see that in the last few weeks shown on the chart that the sentiment wanted to turn a little more bullish but there continued to be a bearish hold on the markets.
This is an indicator that is rarely out of step when it is viewed from market directions on a broad scale and will more than likely help investors see the bottom forming and the next strong bull market develop.
What Is the VIX?
The VIX is one of the investment industries most widely accepted methods to gauge stock market volatility. The first version of this index was developed by the CBOE in 1993 and was calculated by taking the weighted average of implied volatility for the Standard and Poor's 100 Index (OEX) calls and puts. However, in Sept 2003 they revised it to give a more accurate depiction of broad market volatility. In essence, VIX is a gauge of investors' confidence or non-confidence in market conditions.
It is important to understand that the VIX does not measure the volatility of a single issue or option instrument, but uses a wide range of strike prices of various calls and puts that are all based on the S&P 500. What is formed is a more accurate measure of the markets expectation of near-term volatility.
Determining Market Direction
Incorporating a wide range of S&P 500 index options truly makes this index a cross-section of investor sentiment. The VIX has an inverse relationship to the market, and a chart of the indicator will usually be shown with the scale inverted to show the low readings at the top and high readings at the bottom.
A low VIX, a range of 20 to 25, indicates traders have become somewhat uninterested in the market and generally indicates a sell-off. The value of VIX increases as the market goes down and decreases when the market moves in an upward direction. A rising stock market is seen as less risky and a declining stock market more risky. The higher the perceived risk in stocks, the higher the implied volatility and the more expensive the associated options, especially puts. Hence, implied volatility is not about the size of the price swings, but rather the implied risk associated with the stock market. When the market declines, the demand for puts usually increases. Increased demand means higher put prices and higher implied volatilities.
For contrarians, comparing VIX action with that of the market can yield good clues on future direction or duration of a move. The further VIX increases in value, the more panic there is in the market. The further VIX decreases in value, the more complacency there is in the market. As a measure of complacency and panic, VIX is often used as a contrarian indicator. Prolonged and/or extremely low VIX readings indicate a high degree of complacency and are generally regarded at bearish. Some contrarians view readings below 20 as excessively bearish. Conversely, prolonged and/or extremely high VIX readings indicate a high degree or anxiety or even panic among options traders and are regarded at bullish. High VIX readings usually occur after an extended or sharp decline and sentiment is still quite bearish. Some contrarians view readings above 30 as bullish.
Conflicting signals between VIX and the market can yield sentiment clues for the short term, also. Overly bullish sentiment or complacency is regarded as bearish by contrarians. On the other hand, overly bearish sentiment or panic is regarded as bullish. If the market declines sharply and VIX remains unchanged or decreases in value (towards complacency), it could indicate that the decline has further to go. Contrarians might take the view that there is still not enough bearishness or panic in the market to warrant a bottom. If the market advances sharply and VIX increases in value (towards panic), it could indicate that the advance has further to go. Contrarians might take the view that there is not enough bullishness or complacency to warrant a top.
In this chart of the VIX indicator for the 20 months preceding Aug 2002, you can see by the three red down arrows that the market sentiment was bearish and implied that volatility was extremely high. A black up-arrow shows the market turning somewhat more bullish and less volatile in Apr 2002. Knowing the events of the preceding six months, it is not surprising that the VIX would move sharply back to a bearish sentiment not seen since the disaster of Sept 11, 2001. You can see that in the last few weeks shown on the chart that the sentiment wanted to turn a little more bullish but there continued to be a bearish hold on the markets.
This is an indicator that is rarely out of step when it is viewed from market directions on a broad scale and will more than likely help investors see the bottom forming and the next strong bull market develop.
Mysterious VIX Divergences
A fascinating and mysterious daily anomaly occasionally occurs in the celebrated VIX Implied Volatility Index. It is always quite odd to witness in real-time as it occurs, and it never ceases to leave me puzzled when I see it. I am not alone either, as even though these anomalies are rare whenever one spawns I inevitably receive e-mails from other speculators around the world sharing my curiosity at the event.
With several of these odd VIX anomalies transpiring in recent months, an amount that kind of intuitively just felt like a high frequency, this week I would like to take a look at this strange phenomenon, which I call VIX Divergences.
Anomalies are always interesting in the financial markets. The entire art of speculation rests on the idea, which sometimes works and sometimes doesn’t, that past market performance can yield valuable clues about future market direction. Whenever apparent anomalies arise, speculators have to decide whether they may have predictive power or not.
An anomaly with apparent predictive power can be extremely valuable to speculators. If the markets generally usually do one particular thing after an anomaly transpires, speculators can trade accordingly in the future whenever that particular anomaly spawns again. On the other hand, the vast majority of market anomalies generally lack any predictive power. They are probably the product of essentially random market factors that simply do not grant a speculation edge to those who observe them.
Are these mysterious VIX Divergences the precious predictive kind of anomaly, valuable to speculators, or the random kind, essentially useless to all but the fanatical market nerds like me interested in arcane market trivia? In order to gain an idea of which way the VIX Divergences would slide on the grand predictive/random scale, we allocated some research time this week to investigating this curious phenomenon.
In order to understand the VIX Divergences, you first have to understand the VIX itself.
For over a decade now, the celebrated and widely followed VIX has been the implied volatility index for the elite S&P 100. Implied volatility refers to the index’s calculation methodology, which is rather complex and involves computing what the volatility would be on a hypothetical 30-calendar-day at-the-money OEX (S&P 100) index-options contract. The math behind the VIX is pretty intimidating, but fortunately speculators don’t need to understand the calculations in order to actually use the VIX in their own trading.
At a practical level, the VIX is in effect the de facto “fear gauge” for the US equity markets. When investors and speculators are scared, they tend to get frightened into trading more and volatility, along with the VIX, soars. When investors and speculators grow complacent and content, they tend to trade less and volatility, and the VIX, withers.
Therefore the VIX is extremely useful to contrarian speculators looking to trade opposite of the thundering herd, as I have documented in many past essays including “Trading the NASDAQ Bust 2” and “Trading the Relative VIX 2”. A really low VIX often signals a major interim top in the markets, the very time to sell long positions and throw short. Conversely a very high VIX virtually always signals a major interim bottom in the markets, the ideal moment to close short positions and throw long.
On an interesting side note, I would be remiss to fail to mention that just this past Monday, September 22nd, the VIX calculation methodology was changed substantially by its custodian, the venerable Chicago Board Options Exchange. This is big news for index speculators!
Now instead of being based off of the S&P 100 (OEX), going forward the VIX is now the implied volatility index for the entire S&P 500 (SPX), of which the S&P 100 is a massive subset. In addition, the range of options strike prices included in the actual VIX formula has been broadened, and individual options used as formula ingredients will now be weighted based on their distance from true at-the-money options. Options closer to being at-the-money will have a higher weight than those farther out-of-the-money.
It all sounds complicated, and it is, but at this stage in the game I suspect the changes will not materially affect the usefulness of the VIX for speculators. The S&P 100 stocks, the index for the original VIX, currently run about 70% of the market-cap of the entire S&P 500, the subject of the new VIX, so the original VIX already reflected the most important 70% of the new VIX. The benchmark SPX is a more relevant index for speculators than the OEX anyway, and the new VIX ought to better reflect its prospects.
That being said, only time and research will tell if the new VIX proves to be as useful to speculators in real-time as the original VIX has been. We are going to be watching the new VIX closely at Zeal, along with the original VIX which will now be calculated going forward under the symbol VXO. All speculators who use the VIX in their trading really need to go read the CBOE’s original announcement in order to gain a basic understanding of what the new VIX just introduced this week truly entails.
Back to the task at hand, thankfully the anomalous VIX divergences are far easier to understand than the VIX calculation methodology.
Because the VIX is effectively a proxy for general sentiment in the markets, it tends to move in lockstep opposition to the major indices. Whenever the stock markets are up, people grow complacent and fear wanes. This leads to a lower VIX. So the vast majority of the time, if the Big Three US stock indices are up, then the VIX will close lower on that particular trading day.
Conversely when the major stock indices slide lower, fear gradually begins to grow and fester within investors and speculators. Folks start getting scared and increase their trading, which vaults up volatility and leads to a higher VIX. Once again in the vast majority of the time, if the Big Three US indices close down odds are the VIX will head higher on that particular trading day.
This usual inverse relationship between the stock markets and the VIX is well known and heavily studied. The anomaly of the VIX Divergences arises when this relationship breaks on a material change in the stock indices. For example, what if the US stock markets and VIX are both up or both down by material amounts on the same trading day? These rare days do indeed occur and are the perplexing VIX Divergences!
In order to research these VIX Divergences, we used the S&P 500 as a proxy for the US stock markets as a whole. The S&P 500 is the flagship US index as well as the most important one on Earth, and its massive market cap encompasses the majority of the entire US equity-market capitalization.
Next we had to decide on what kind of move we would consider to be relevant in the S&P 500 on a daily basis, a threshold for uncovering VIX Divergences. Certified Public Accountants use a concept called materiality, the idea of ignoring small variations unless they reach a certain threshold that would make them meaningful to a financial statement as a whole. Since I originally hail from that strange CPA world, the many esoteric teachings of accountancy still ricochet around my skull.
As active speculators, my team at Zeal and I generally consider any single-day change of under 1% in the equity markets to be immaterial, not important. Internally, if the markets are either up less than 1% or down less than 1% on any given trading day, we call them unchanged. A sub-1% move most often seems to be purely random, attributable to general market noise, without much bearing on major trends in progress.
I decided to carry our practical 1% daily materiality threshold from speculating into our research this week. As such, for the purposes of this essay a VIX Divergence only occurs when both the S&P 500 and the VIX move by 1% or more in the same direction on the same trading day. If either the S&P 500 or VIX moved by less than 1% on any trading day, or they moved in different directions, that day could not be considered an official VIX Divergence.
We sub-divided these divergences into two categories, positive and negative. A positive VIX Divergence occurs when both the S&P 500 and VIX close more than 1% higher on the same trading day. A negative VIX Divergence is witnessed when both the S&P 500 and VIX close more than 1% lower on the same trading day.
How often do these VIX Divergences occur? We chose to initially limit our focus to the Great Bear market period since 2000 in this essay. The graph below shows positive VIX Divergence dates in green and negative VIX Divergence dates in red. These VIX Divergences are indeed rare events and it is no wonder that they leave speculators in awe and amazement when they transpire.
As you can see above, there have been exactly 13 VIX Divergence days since 2000, 6 positive and 7 negative. For reference there are 935 trading days shown in this chart, so a VIX Divergence day has only been witnessed 1.4% of the time in our Great Bear market to date! I don’t know about you, but a 1%ish occurrence of these odd anomalies is pretty darned rare in my book!
Of these 935 trading days since 2000, there were 403 days when the S&P 500 moved by more than 1% in either direction, 776 days when the VIX moved by more than 1% in either direction, and 380 days when both the SPX and VIX had absolute daily moves greater than 1%. Of the SPX absolute 1% move days, 53% were down. Regarding the VIX absolute 1% move days, 52% were down.
Of course in a Great Bear market we would expect the majority of 1% absolute move days in the SPX to be down, since there is a prevailing bearish downtrend, but then the majority of the VIX 1% absolute move days should probably be up due to the usual SPX/VIX inverse relationship. This wasn’t the case in the actual data though. VIX 1% down days were slightly more common than VIX 1% up days, kind of strange in a Great Bear market.
I suspect this is due to the asymmetric nature of the VIX. While it generally falls towards complacency slowly over time, fear often ignites rapidly as a stock-market waterfall decline accelerates. On the graph above the massive VIX spikes showing widespread popular fear soar into the heavens from nothing, towering spires on the chart. This rapidly ignited fear bleeds off slowly though, leading to more material VIX down days than up days.
Now if all these numbers haven’t put you to sleep yet, you are probably noticing a pattern. If these VIX Divergences are truly random, meaningless market noise that lacks a predictable future-activity quality, the distribution should be about equal. After all, markets can either go up or down and a random distribution of days would yield about 50/50 up days and down days, right?
On our grand predictive/random scale I mentioned in opening, the raw stats seem to lean towards the pure random side. Out of 13 VIX Divergences since 2000, roughly half are positive and half are negative. In addition, also about half of the SPX and VIX absolute 1% days are up and half down, farther exacerbating the sense of randomness. An even distribution of positive/negative VIX Divergences does not look hopeful in terms of speculators being able to actually successfully deploy future trades based on these rare days alone.
So can we throw these VIX Divergences out as meaningless trivia? Maybe, but upon closer visual examination they offer even more insight than their underlying statistical distribution would suggest.
For example, if you examine the 13 VIX Divergence dots on the chart above, all but 2 are above the S&P 500 line. They tend to occur at higher points in the SPX, or observed another way, they generally tend to occur when the index is poised for a pullback or outright waterfall decline. The 8/13/2002 red negative divergence dot, by the way, really should appear above the SPX line as it happened when the index was trading near 885, far above the July 2002 interim lows under 800.
So out of these 13 VIX Divergences, 12 occurred near higher points or times preceding a significant decline in the S&P 500. The only outlier that truly occurred on an interim low was the negative VIX Divergence of 9/21/2001, which transpired on the V-bounce low only weeks after the 9/11 attacks. On that peculiar day of market history the S&P 500 fell by 1.9% to carve a new interim low but the VIX also fell 1.6% to a still very high level of 48.27.
So with the exception of the strange post-9/11 action, 12 of the 13 VIX Divergences tended to occur anywhere from a few days to a few weeks before minor pullbacks or even major downlegs. Both positive and negative divergences occurred, on average, at relatively low VIX levels marking complacency. The average positive VIX Divergence occurred at 23.5 on the VIX, while the average negative VIX Divergence happened around 33.1 or so, which is still not super high in VIX terms. Average negative VIX Divergences ran at VIX levels 41% higher than average positive VIX Divergences.
As you can see above, our latest three VIX Divergences were all positive, with the most recent happening in early September. Even during a strong bear-market rally, these VIX Divergences seemed to herald minor pullbacks in the S&P 500. Our most recent VIX Divergence of September 2nd happened when the SPX closed at 1022, only about 1.7% below its latest interim high of 1040 or so achieved last week. Perhaps this particular VIX Divergence heralds a pullback or outright major decline too. Only time will tell!
For another perspective on these VIX Divergences, we graphed the same 13 shown above
against the Relative VIX, a hybrid measure of the VIX relative to its 200-day moving average. This helps us gain a better sense of where the VIX was trading in relation to its current 200-day baseline when these VIX Divergences arose out of the market mists to captivate speculators.
Once again, both positive and negative VIX Divergences tended to occur when the VIX was relatively low. The average positive VIX Divergence day occurred at a Relative VIX around 0.81, while the average negative VIX Divergence day was seen around a Relative VIX of 1.26, about 56% higher. Even the negative VIX Divergences were fairly low though, as an extremely high Relative VIX reading will challenge 1.80, lofty levels that have never witnessed a VIX Divergence day with the notable exception of the post 9/11 V-bounce 9/21 negative VIX Divergence at a Relative VIX level of 1.72.
So apparent statistical randomness aside, is there a pattern emerging here? Perhaps. These VIX Divergence days, with the exception of 9/21/2001, seem to tend to occur around complacent moments in market time. It is almost as if traders are indecisive near high points so they are trading in a method unconventional enough to drive both the S&P 500 and VIX 1% or more in the same direction on the same trading day.
While the markets don’t immediately slide right after a VIX Divergence day by default, they certainly appear to slide more often than not within days or weeks of this rare indecision and decoupling of the VIX and its usual relationship with the S&P 500. If I had to make an interpretation of these VIX Divergence days, I would have to say that the odds are slightly bearish after they occur, either for a temporary short-term pullback or a serious Great Bear downleg.
Nevertheless though, since these odd VIX Divergences are not overwhelmingly mapped right at major interim tops or major interim bottoms, at this stage in the game I don’t think there is enough evidence to lean heavily on VIX Divergence days for trading cues. While the visual distribution of these anomalous days is provocative and leans towards a bearish interpretation, the statistical data underneath is running close enough to 50/50 across the board to tilt the scales away from predictability and towards randomness.
VIX Divergences aside, the VIX and Relative VIX themselves are offering a great deal of insight for speculators today. This weekend I will be working hard on the upcoming October issue of our monthly Zeal Intelligence newsletter, to be published in the middle of next week for our subscribers, which will discuss the current index-speculation scene and outline our current strategy and tactics for playing it. Naturally the volatility indices will factor into this discussion on index-options trading strategy moving forward for the remainder of 2003 and beyond.
The bottom line is the mysterious VIX Divergences quite a few speculators have observed in recent months are certainly intriguing, but at first glance the evidence is not compelling enough to trade directly upon. Naturally there are countless variations of this line of inquiry which could affect the results, including defining materiality at different levels, but at 1% absolute moves the VIX Divergence day distribution remains tantalizing but not conclusive enough to speculate upon.
While these mysterious VIX Divergences may indeed wield some predictive power, the element of randomness in their statistical underpinnings is too powerful to ignore. Nevertheless, we will continue noting these odd days when they occur in the future and perhaps some useful and actionable trading information will yet emerge out of the VIX Divergences.
With several of these odd VIX anomalies transpiring in recent months, an amount that kind of intuitively just felt like a high frequency, this week I would like to take a look at this strange phenomenon, which I call VIX Divergences.
Anomalies are always interesting in the financial markets. The entire art of speculation rests on the idea, which sometimes works and sometimes doesn’t, that past market performance can yield valuable clues about future market direction. Whenever apparent anomalies arise, speculators have to decide whether they may have predictive power or not.
An anomaly with apparent predictive power can be extremely valuable to speculators. If the markets generally usually do one particular thing after an anomaly transpires, speculators can trade accordingly in the future whenever that particular anomaly spawns again. On the other hand, the vast majority of market anomalies generally lack any predictive power. They are probably the product of essentially random market factors that simply do not grant a speculation edge to those who observe them.
Are these mysterious VIX Divergences the precious predictive kind of anomaly, valuable to speculators, or the random kind, essentially useless to all but the fanatical market nerds like me interested in arcane market trivia? In order to gain an idea of which way the VIX Divergences would slide on the grand predictive/random scale, we allocated some research time this week to investigating this curious phenomenon.
In order to understand the VIX Divergences, you first have to understand the VIX itself.
For over a decade now, the celebrated and widely followed VIX has been the implied volatility index for the elite S&P 100. Implied volatility refers to the index’s calculation methodology, which is rather complex and involves computing what the volatility would be on a hypothetical 30-calendar-day at-the-money OEX (S&P 100) index-options contract. The math behind the VIX is pretty intimidating, but fortunately speculators don’t need to understand the calculations in order to actually use the VIX in their own trading.
At a practical level, the VIX is in effect the de facto “fear gauge” for the US equity markets. When investors and speculators are scared, they tend to get frightened into trading more and volatility, along with the VIX, soars. When investors and speculators grow complacent and content, they tend to trade less and volatility, and the VIX, withers.
Therefore the VIX is extremely useful to contrarian speculators looking to trade opposite of the thundering herd, as I have documented in many past essays including “Trading the NASDAQ Bust 2” and “Trading the Relative VIX 2”. A really low VIX often signals a major interim top in the markets, the very time to sell long positions and throw short. Conversely a very high VIX virtually always signals a major interim bottom in the markets, the ideal moment to close short positions and throw long.
On an interesting side note, I would be remiss to fail to mention that just this past Monday, September 22nd, the VIX calculation methodology was changed substantially by its custodian, the venerable Chicago Board Options Exchange. This is big news for index speculators!
Now instead of being based off of the S&P 100 (OEX), going forward the VIX is now the implied volatility index for the entire S&P 500 (SPX), of which the S&P 100 is a massive subset. In addition, the range of options strike prices included in the actual VIX formula has been broadened, and individual options used as formula ingredients will now be weighted based on their distance from true at-the-money options. Options closer to being at-the-money will have a higher weight than those farther out-of-the-money.
It all sounds complicated, and it is, but at this stage in the game I suspect the changes will not materially affect the usefulness of the VIX for speculators. The S&P 100 stocks, the index for the original VIX, currently run about 70% of the market-cap of the entire S&P 500, the subject of the new VIX, so the original VIX already reflected the most important 70% of the new VIX. The benchmark SPX is a more relevant index for speculators than the OEX anyway, and the new VIX ought to better reflect its prospects.
That being said, only time and research will tell if the new VIX proves to be as useful to speculators in real-time as the original VIX has been. We are going to be watching the new VIX closely at Zeal, along with the original VIX which will now be calculated going forward under the symbol VXO. All speculators who use the VIX in their trading really need to go read the CBOE’s original announcement in order to gain a basic understanding of what the new VIX just introduced this week truly entails.
Back to the task at hand, thankfully the anomalous VIX divergences are far easier to understand than the VIX calculation methodology.
Because the VIX is effectively a proxy for general sentiment in the markets, it tends to move in lockstep opposition to the major indices. Whenever the stock markets are up, people grow complacent and fear wanes. This leads to a lower VIX. So the vast majority of the time, if the Big Three US stock indices are up, then the VIX will close lower on that particular trading day.
Conversely when the major stock indices slide lower, fear gradually begins to grow and fester within investors and speculators. Folks start getting scared and increase their trading, which vaults up volatility and leads to a higher VIX. Once again in the vast majority of the time, if the Big Three US indices close down odds are the VIX will head higher on that particular trading day.
This usual inverse relationship between the stock markets and the VIX is well known and heavily studied. The anomaly of the VIX Divergences arises when this relationship breaks on a material change in the stock indices. For example, what if the US stock markets and VIX are both up or both down by material amounts on the same trading day? These rare days do indeed occur and are the perplexing VIX Divergences!
In order to research these VIX Divergences, we used the S&P 500 as a proxy for the US stock markets as a whole. The S&P 500 is the flagship US index as well as the most important one on Earth, and its massive market cap encompasses the majority of the entire US equity-market capitalization.
Next we had to decide on what kind of move we would consider to be relevant in the S&P 500 on a daily basis, a threshold for uncovering VIX Divergences. Certified Public Accountants use a concept called materiality, the idea of ignoring small variations unless they reach a certain threshold that would make them meaningful to a financial statement as a whole. Since I originally hail from that strange CPA world, the many esoteric teachings of accountancy still ricochet around my skull.
As active speculators, my team at Zeal and I generally consider any single-day change of under 1% in the equity markets to be immaterial, not important. Internally, if the markets are either up less than 1% or down less than 1% on any given trading day, we call them unchanged. A sub-1% move most often seems to be purely random, attributable to general market noise, without much bearing on major trends in progress.
I decided to carry our practical 1% daily materiality threshold from speculating into our research this week. As such, for the purposes of this essay a VIX Divergence only occurs when both the S&P 500 and the VIX move by 1% or more in the same direction on the same trading day. If either the S&P 500 or VIX moved by less than 1% on any trading day, or they moved in different directions, that day could not be considered an official VIX Divergence.
We sub-divided these divergences into two categories, positive and negative. A positive VIX Divergence occurs when both the S&P 500 and VIX close more than 1% higher on the same trading day. A negative VIX Divergence is witnessed when both the S&P 500 and VIX close more than 1% lower on the same trading day.
How often do these VIX Divergences occur? We chose to initially limit our focus to the Great Bear market period since 2000 in this essay. The graph below shows positive VIX Divergence dates in green and negative VIX Divergence dates in red. These VIX Divergences are indeed rare events and it is no wonder that they leave speculators in awe and amazement when they transpire.
As you can see above, there have been exactly 13 VIX Divergence days since 2000, 6 positive and 7 negative. For reference there are 935 trading days shown in this chart, so a VIX Divergence day has only been witnessed 1.4% of the time in our Great Bear market to date! I don’t know about you, but a 1%ish occurrence of these odd anomalies is pretty darned rare in my book!
Of these 935 trading days since 2000, there were 403 days when the S&P 500 moved by more than 1% in either direction, 776 days when the VIX moved by more than 1% in either direction, and 380 days when both the SPX and VIX had absolute daily moves greater than 1%. Of the SPX absolute 1% move days, 53% were down. Regarding the VIX absolute 1% move days, 52% were down.
Of course in a Great Bear market we would expect the majority of 1% absolute move days in the SPX to be down, since there is a prevailing bearish downtrend, but then the majority of the VIX 1% absolute move days should probably be up due to the usual SPX/VIX inverse relationship. This wasn’t the case in the actual data though. VIX 1% down days were slightly more common than VIX 1% up days, kind of strange in a Great Bear market.
I suspect this is due to the asymmetric nature of the VIX. While it generally falls towards complacency slowly over time, fear often ignites rapidly as a stock-market waterfall decline accelerates. On the graph above the massive VIX spikes showing widespread popular fear soar into the heavens from nothing, towering spires on the chart. This rapidly ignited fear bleeds off slowly though, leading to more material VIX down days than up days.
Now if all these numbers haven’t put you to sleep yet, you are probably noticing a pattern. If these VIX Divergences are truly random, meaningless market noise that lacks a predictable future-activity quality, the distribution should be about equal. After all, markets can either go up or down and a random distribution of days would yield about 50/50 up days and down days, right?
On our grand predictive/random scale I mentioned in opening, the raw stats seem to lean towards the pure random side. Out of 13 VIX Divergences since 2000, roughly half are positive and half are negative. In addition, also about half of the SPX and VIX absolute 1% days are up and half down, farther exacerbating the sense of randomness. An even distribution of positive/negative VIX Divergences does not look hopeful in terms of speculators being able to actually successfully deploy future trades based on these rare days alone.
So can we throw these VIX Divergences out as meaningless trivia? Maybe, but upon closer visual examination they offer even more insight than their underlying statistical distribution would suggest.
For example, if you examine the 13 VIX Divergence dots on the chart above, all but 2 are above the S&P 500 line. They tend to occur at higher points in the SPX, or observed another way, they generally tend to occur when the index is poised for a pullback or outright waterfall decline. The 8/13/2002 red negative divergence dot, by the way, really should appear above the SPX line as it happened when the index was trading near 885, far above the July 2002 interim lows under 800.
So out of these 13 VIX Divergences, 12 occurred near higher points or times preceding a significant decline in the S&P 500. The only outlier that truly occurred on an interim low was the negative VIX Divergence of 9/21/2001, which transpired on the V-bounce low only weeks after the 9/11 attacks. On that peculiar day of market history the S&P 500 fell by 1.9% to carve a new interim low but the VIX also fell 1.6% to a still very high level of 48.27.
So with the exception of the strange post-9/11 action, 12 of the 13 VIX Divergences tended to occur anywhere from a few days to a few weeks before minor pullbacks or even major downlegs. Both positive and negative divergences occurred, on average, at relatively low VIX levels marking complacency. The average positive VIX Divergence occurred at 23.5 on the VIX, while the average negative VIX Divergence happened around 33.1 or so, which is still not super high in VIX terms. Average negative VIX Divergences ran at VIX levels 41% higher than average positive VIX Divergences.
As you can see above, our latest three VIX Divergences were all positive, with the most recent happening in early September. Even during a strong bear-market rally, these VIX Divergences seemed to herald minor pullbacks in the S&P 500. Our most recent VIX Divergence of September 2nd happened when the SPX closed at 1022, only about 1.7% below its latest interim high of 1040 or so achieved last week. Perhaps this particular VIX Divergence heralds a pullback or outright major decline too. Only time will tell!
For another perspective on these VIX Divergences, we graphed the same 13 shown above
against the Relative VIX, a hybrid measure of the VIX relative to its 200-day moving average. This helps us gain a better sense of where the VIX was trading in relation to its current 200-day baseline when these VIX Divergences arose out of the market mists to captivate speculators.
Once again, both positive and negative VIX Divergences tended to occur when the VIX was relatively low. The average positive VIX Divergence day occurred at a Relative VIX around 0.81, while the average negative VIX Divergence day was seen around a Relative VIX of 1.26, about 56% higher. Even the negative VIX Divergences were fairly low though, as an extremely high Relative VIX reading will challenge 1.80, lofty levels that have never witnessed a VIX Divergence day with the notable exception of the post 9/11 V-bounce 9/21 negative VIX Divergence at a Relative VIX level of 1.72.
So apparent statistical randomness aside, is there a pattern emerging here? Perhaps. These VIX Divergence days, with the exception of 9/21/2001, seem to tend to occur around complacent moments in market time. It is almost as if traders are indecisive near high points so they are trading in a method unconventional enough to drive both the S&P 500 and VIX 1% or more in the same direction on the same trading day.
While the markets don’t immediately slide right after a VIX Divergence day by default, they certainly appear to slide more often than not within days or weeks of this rare indecision and decoupling of the VIX and its usual relationship with the S&P 500. If I had to make an interpretation of these VIX Divergence days, I would have to say that the odds are slightly bearish after they occur, either for a temporary short-term pullback or a serious Great Bear downleg.
Nevertheless though, since these odd VIX Divergences are not overwhelmingly mapped right at major interim tops or major interim bottoms, at this stage in the game I don’t think there is enough evidence to lean heavily on VIX Divergence days for trading cues. While the visual distribution of these anomalous days is provocative and leans towards a bearish interpretation, the statistical data underneath is running close enough to 50/50 across the board to tilt the scales away from predictability and towards randomness.
VIX Divergences aside, the VIX and Relative VIX themselves are offering a great deal of insight for speculators today. This weekend I will be working hard on the upcoming October issue of our monthly Zeal Intelligence newsletter, to be published in the middle of next week for our subscribers, which will discuss the current index-speculation scene and outline our current strategy and tactics for playing it. Naturally the volatility indices will factor into this discussion on index-options trading strategy moving forward for the remainder of 2003 and beyond.
The bottom line is the mysterious VIX Divergences quite a few speculators have observed in recent months are certainly intriguing, but at first glance the evidence is not compelling enough to trade directly upon. Naturally there are countless variations of this line of inquiry which could affect the results, including defining materiality at different levels, but at 1% absolute moves the VIX Divergence day distribution remains tantalizing but not conclusive enough to speculate upon.
While these mysterious VIX Divergences may indeed wield some predictive power, the element of randomness in their statistical underpinnings is too powerful to ignore. Nevertheless, we will continue noting these odd days when they occur in the future and perhaps some useful and actionable trading information will yet emerge out of the VIX Divergences.
Riding the cycle
Why volatility will never go away
CAN it only be a year ago that volatility was so low in the financial markets? Traders must have found their lives awfully dull, without so much as a currency crisis to get the pulse racing.
Some began to argue that volatility had moved to a structurally lower level thanks to the activity of hedge funds and to the development of complex products and derivatives. A new, more sophisticated financial system had spread risk more efficiently, it was said.
But over the past 12 months, the standard measure of stockmarket volatility, the Vix (or volatility index), has roughly doubled. On top of that, there have been wild swings in government bond yields, a jump in debt spreads and the continuing decline of the dollar.
To grasp one reason why volatility has surged, you need to understand how the Vix is calculated. The measure is derived from the world of options, the instruments that allow investors to protect themselves against (or speculate on) future price movements. A call option, for example, gives the holder the right to buy an asset at a specified price within a specified period.
Say there are two shares, each trading at $80; one is a young technology company, the other a staid power generator. In each case, there is an option contract offering the chance to buy the shares at $100 at some point within the next three months. Logically, you would expect to have to shell out more for the option to buy the technology company's shares, since it is more likely suddenly to announce some whizzy breakthrough that causes its share price to shoot upwards. In other words, it costs more to purchase options on assets that are likely to be more volatile in price.
When one “reverse engineers” an option price (taking out factors such as the time value of money), the residual factor is known as implied volatility, which could be described as the uncertainty applying to the asset. The Vix represents this figure for the S&P 500 index.
The vast majority of options expire without being exercised; the asset price never moves sufficiently to make it worthwhile. To put this in technical terms, the implied volatility in the option price turns out to be higher than the realised volatility. So there are plenty of people who earn a decent income by selling options; just like insurers, they earn a premium every time they make a sale.
In quiet markets, the number of people who want to sell options increases, driving their prices, and thus the level of implied volatility, down. That was one reason why volatility was so low last year. But when the markets went into a tailspin in August, volatility suddenly surged; it became much more likely that those who had previously bought options would be able to exercise them (particularly put options, which grant the right to sell at a given price). Option-sellers suddenly faced losses; some, realising the risks, probably withdrew from the business. That forced implied volatility even higher.
There is thus a cyclical element to volatility, as investors move from complacency to alarm. That fits in with the work of Hyman Minsky, an economist who suggested that periods of stability may sow the seeds of future volatility. If economic growth and interest rates are stable, businesses and consumers will be encouraged to take more risks, and in particular to take on more debt. Eventually, small changes in interest rates will have a much greater impact on balance sheets and on consumer willingness to spend.
A long-term graph of the Vix hints at cyclicality, with periods of great choppiness in the early and late 1990s book-ending an era of relative calm in the middle of the decade. It is hard to say that any level is “normal”; volatility is in itself volatile.
It may be ever so. Another important factor behind market movements must be the difference in incentives between investing institutions, such as pension funds, and the intermediaries that work on their behalf. Pension funds would like nothing better than for asset markets to rise in a steady, predictable fashion, so it would be easy to work out how to meet their liabilities. But that would not be so great for traders. Steady markets would give investors fewer reasons to deal, and so traders would have less chance to earn the spread between sell and buy prices. And the more volatile markets are, the better the chance that a trader will be on the right side of some big price move, and win himself a fat bonus. So traders are tempted into making big bets, and in doing so also add to volatility.
It is small comfort for the rest of us, but every time the Vix jumps sharply, someone at a hedge fund has just earned himself a nice new yacht.
CAN it only be a year ago that volatility was so low in the financial markets? Traders must have found their lives awfully dull, without so much as a currency crisis to get the pulse racing.
Some began to argue that volatility had moved to a structurally lower level thanks to the activity of hedge funds and to the development of complex products and derivatives. A new, more sophisticated financial system had spread risk more efficiently, it was said.
But over the past 12 months, the standard measure of stockmarket volatility, the Vix (or volatility index), has roughly doubled. On top of that, there have been wild swings in government bond yields, a jump in debt spreads and the continuing decline of the dollar.
To grasp one reason why volatility has surged, you need to understand how the Vix is calculated. The measure is derived from the world of options, the instruments that allow investors to protect themselves against (or speculate on) future price movements. A call option, for example, gives the holder the right to buy an asset at a specified price within a specified period.
Say there are two shares, each trading at $80; one is a young technology company, the other a staid power generator. In each case, there is an option contract offering the chance to buy the shares at $100 at some point within the next three months. Logically, you would expect to have to shell out more for the option to buy the technology company's shares, since it is more likely suddenly to announce some whizzy breakthrough that causes its share price to shoot upwards. In other words, it costs more to purchase options on assets that are likely to be more volatile in price.
When one “reverse engineers” an option price (taking out factors such as the time value of money), the residual factor is known as implied volatility, which could be described as the uncertainty applying to the asset. The Vix represents this figure for the S&P 500 index.
The vast majority of options expire without being exercised; the asset price never moves sufficiently to make it worthwhile. To put this in technical terms, the implied volatility in the option price turns out to be higher than the realised volatility. So there are plenty of people who earn a decent income by selling options; just like insurers, they earn a premium every time they make a sale.
In quiet markets, the number of people who want to sell options increases, driving their prices, and thus the level of implied volatility, down. That was one reason why volatility was so low last year. But when the markets went into a tailspin in August, volatility suddenly surged; it became much more likely that those who had previously bought options would be able to exercise them (particularly put options, which grant the right to sell at a given price). Option-sellers suddenly faced losses; some, realising the risks, probably withdrew from the business. That forced implied volatility even higher.
There is thus a cyclical element to volatility, as investors move from complacency to alarm. That fits in with the work of Hyman Minsky, an economist who suggested that periods of stability may sow the seeds of future volatility. If economic growth and interest rates are stable, businesses and consumers will be encouraged to take more risks, and in particular to take on more debt. Eventually, small changes in interest rates will have a much greater impact on balance sheets and on consumer willingness to spend.
A long-term graph of the Vix hints at cyclicality, with periods of great choppiness in the early and late 1990s book-ending an era of relative calm in the middle of the decade. It is hard to say that any level is “normal”; volatility is in itself volatile.
It may be ever so. Another important factor behind market movements must be the difference in incentives between investing institutions, such as pension funds, and the intermediaries that work on their behalf. Pension funds would like nothing better than for asset markets to rise in a steady, predictable fashion, so it would be easy to work out how to meet their liabilities. But that would not be so great for traders. Steady markets would give investors fewer reasons to deal, and so traders would have less chance to earn the spread between sell and buy prices. And the more volatile markets are, the better the chance that a trader will be on the right side of some big price move, and win himself a fat bonus. So traders are tempted into making big bets, and in doing so also add to volatility.
It is small comfort for the rest of us, but every time the Vix jumps sharply, someone at a hedge fund has just earned himself a nice new yacht.
Measuring Fear & Greed:Understanding the VIX and AII/MI
It is an old cliché of Wall Street that investors are motivated by two factors: fear and greed. They turn bullish when convinced that profits are near, but are overcome with fear during bear markets.
VIX is the ticker symbol of the Chicago Board Options Exchange’s Volatility Index, which measures the implied volatility of put and call options based on the S&P 500 stock index. The CBOE markets the VIX as an “investor fear gauge,” in that a high VIX indicates that investor’s are worried. Contrarian investors believe that the market is likely to move in a direction contrary to the consensus opinion;therefore, the VIX is a favorite indicator for many contrarians.
Methods for valuing options, including the best known and most widely respected method, the Black-Scholes model created in 1973 by Fisher Black and Myron Scholes, are generally based on the price at which the option can be utilized (the strike price), the amount of time until the option expires, and volatility. The first two factors are fixed. Hence, any change in an option’s price suggests a change in
perception about the stock’s volatility.
A stock that has a history of wide price changes, that is, has a high historical volatility, is generally more attractive to an options trader than a stock that moves in a narrow range or, worse, flat-lines. Historical volatility quantifies a stock’s price changes over time; implied volatility is the volatility implied by a particular option price and will vary from historical volatility when investor sentiment has changed.
Implied volatility will increase when investors turn bearish because options can be used as a defensive strategy to ward off loses during a bear market. A favorite tactic under this scenario is to use put options, which allow the holder to sell the underlying security at a set price, to create a floor on potential loses. The put option serves as insurance against a precipitous price drop.
While there are numerous interpretations of the VIX, a level below 20 is generally considered to be bearish, indicating that investors have become overly complacent. When the VIX is greater than 30, a high level of investor fear is implied, which is bullish from a contrarian viewpoint.
Is a bear market on the way?
Another approach to the VIX is to focus on the speed of changes. A spike upwards of the VIX is considered to be bullish because it indicates a newly heightened
perception of risk, while a sharp decline is bearish as it suggests complacent over-confidence.
Volatility should not be confused with beta, which measures a stock’s price changes in relation to the overall market.
Beta is sometimes referred to as “relative volatility” as it is the ratio of a particular stock’s volatility to the volatility of the overall market. A stock with a beta of one has a history of prices that moves in lock-step with the overall
market. If the beta is less than one, the stock historically moves at a slower pace, while a beta greater than one reflects a history of greater changes.
As beta works in both directions, that is, in both bull and bear markets, a low beta stock is likely to out-perform in a down market but will tend to under-perform during a bull market. The opposite is true of high beta stocks. Beta is a centerpiece of the Capital Asset Pricing Model, which holds that a stock portfolio should have a range of betas to eliminate “systematic risk,” that is, the risk that all of the stocks in the portfolio will tank together.
Since the VIX is designed as a measure of investor fear, a natural follow-up is to look for a measure of investor greed, that is, the desire for profits. For this category, I would nominate the Affluent Investor Index (AII) and the Millionaires’
Index (MI), both developed by the Spectrum Group.
The AII is based on monthly telephone surveys of approximately 250 individuals with at least $500,000 in household investable assets, approximately half of whom have a household net worth (including real estate) of at least one million dollars and are also included in the MI. The Spectrum Group estimates that affluent households (those with at least $500,000 to invest) own nearly 90 percent of stocks, bonds and other financial assets.
The surveys include questions about how secure the respondents feel about their incomes, jobs and investments, as well as their plans in the coming months to invest in the stock market, mutual funds and other investments.
The indexes reached lows in August and September 2004 and rebounded sharply in December 2004, after the uncertainty caused by the presidential election was removed. Likewise, the Dow fell during most of the autumn of that year but rebounded in December, more than making-up for the prior loses. In April 2005, the indexes fell sharply, which was reflected in the stock market’s performance at that time. The indexes improved in May, as did the stock market, but lost steam as the summer progressed. In the late autumn, the indexes sharply improved, which presaged the
end-of-year rally.
The usefulness of the MI and AII is hard to tally, particularly since the investment outlooks of affluent individuals are likely heavily influenced by the performance of their portfolios.
Therefore, in the long run, the MI and AII (available at spectrem.com) could be lagging indicators, rather than predictors of changes in trends.
Among the more general information revealed by the MI and AII surveys is that
millionaires consistently are more optimistic than those who are only in the affluent group and that although women are generally more cautious than men when making financial decisions, their long-term investments are the same as those of men.
VIX is the ticker symbol of the Chicago Board Options Exchange’s Volatility Index, which measures the implied volatility of put and call options based on the S&P 500 stock index. The CBOE markets the VIX as an “investor fear gauge,” in that a high VIX indicates that investor’s are worried. Contrarian investors believe that the market is likely to move in a direction contrary to the consensus opinion;therefore, the VIX is a favorite indicator for many contrarians.
Methods for valuing options, including the best known and most widely respected method, the Black-Scholes model created in 1973 by Fisher Black and Myron Scholes, are generally based on the price at which the option can be utilized (the strike price), the amount of time until the option expires, and volatility. The first two factors are fixed. Hence, any change in an option’s price suggests a change in
perception about the stock’s volatility.
A stock that has a history of wide price changes, that is, has a high historical volatility, is generally more attractive to an options trader than a stock that moves in a narrow range or, worse, flat-lines. Historical volatility quantifies a stock’s price changes over time; implied volatility is the volatility implied by a particular option price and will vary from historical volatility when investor sentiment has changed.
Implied volatility will increase when investors turn bearish because options can be used as a defensive strategy to ward off loses during a bear market. A favorite tactic under this scenario is to use put options, which allow the holder to sell the underlying security at a set price, to create a floor on potential loses. The put option serves as insurance against a precipitous price drop.
While there are numerous interpretations of the VIX, a level below 20 is generally considered to be bearish, indicating that investors have become overly complacent. When the VIX is greater than 30, a high level of investor fear is implied, which is bullish from a contrarian viewpoint.
Is a bear market on the way?
Another approach to the VIX is to focus on the speed of changes. A spike upwards of the VIX is considered to be bullish because it indicates a newly heightened
perception of risk, while a sharp decline is bearish as it suggests complacent over-confidence.
Volatility should not be confused with beta, which measures a stock’s price changes in relation to the overall market.
Beta is sometimes referred to as “relative volatility” as it is the ratio of a particular stock’s volatility to the volatility of the overall market. A stock with a beta of one has a history of prices that moves in lock-step with the overall
market. If the beta is less than one, the stock historically moves at a slower pace, while a beta greater than one reflects a history of greater changes.
As beta works in both directions, that is, in both bull and bear markets, a low beta stock is likely to out-perform in a down market but will tend to under-perform during a bull market. The opposite is true of high beta stocks. Beta is a centerpiece of the Capital Asset Pricing Model, which holds that a stock portfolio should have a range of betas to eliminate “systematic risk,” that is, the risk that all of the stocks in the portfolio will tank together.
Since the VIX is designed as a measure of investor fear, a natural follow-up is to look for a measure of investor greed, that is, the desire for profits. For this category, I would nominate the Affluent Investor Index (AII) and the Millionaires’
Index (MI), both developed by the Spectrum Group.
The AII is based on monthly telephone surveys of approximately 250 individuals with at least $500,000 in household investable assets, approximately half of whom have a household net worth (including real estate) of at least one million dollars and are also included in the MI. The Spectrum Group estimates that affluent households (those with at least $500,000 to invest) own nearly 90 percent of stocks, bonds and other financial assets.
The surveys include questions about how secure the respondents feel about their incomes, jobs and investments, as well as their plans in the coming months to invest in the stock market, mutual funds and other investments.
The indexes reached lows in August and September 2004 and rebounded sharply in December 2004, after the uncertainty caused by the presidential election was removed. Likewise, the Dow fell during most of the autumn of that year but rebounded in December, more than making-up for the prior loses. In April 2005, the indexes fell sharply, which was reflected in the stock market’s performance at that time. The indexes improved in May, as did the stock market, but lost steam as the summer progressed. In the late autumn, the indexes sharply improved, which presaged the
end-of-year rally.
The usefulness of the MI and AII is hard to tally, particularly since the investment outlooks of affluent individuals are likely heavily influenced by the performance of their portfolios.
Therefore, in the long run, the MI and AII (available at spectrem.com) could be lagging indicators, rather than predictors of changes in trends.
Among the more general information revealed by the MI and AII surveys is that
millionaires consistently are more optimistic than those who are only in the affluent group and that although women are generally more cautious than men when making financial decisions, their long-term investments are the same as those of men.
Sunday, July 20, 2008
罗杰斯：我不是娱乐明星 A股那么贵傻瓜才买
2008年7月9日，海南，在国金证券举行的中期策略报告会上，吉姆·罗杰斯在面对媒体对其A股投资收益的质疑时，首次表示自己从未买入过A股。此言一出，中国股民一片哗然：对中国股市一路唱多、令无数中国股迷顶礼膜拜的传奇投资大师，竟然根本没有买过A股？这不是在开国际玩笑？罗杰斯中国的“粉丝”更是无语：我们被愚弄了？
为此，《红周刊》近日就一些敏感问题对吉姆·罗杰斯进行了独家专访。
“A股贵，我为什么还要买？”
《红周刊》：您到底买了A股没有？
罗杰斯：我从来没有买过A股，也从没有说过我买过A股。我已经解释了很多次了，我一直买的是B股、H股、S股，以及在美国买中国公司发行的ADR，这是因为它们一直都比A股便宜！我为什么还要去买更贵的A股呢？只有傻瓜才会这么干！
《红周刊》：您一直看好中国股市，为什么不买A股？仅仅是因为A股比H股、B股贵吗？您是否通过QFII投资中国A股？
罗杰斯：难道你不知道，除了A股以外，这个世界上还有大量的H股、B股、S股、欧股、美股吗？是的，我不买A股，因为A股贵。话又说回来，当一个人能够买到便宜的股票时，他为什么还要再去买贵的？成功的投资者总是选择便宜的，而绝不是贵的，这是最基本的法则。
《红周刊》：但是，在您所著的《中国牛市》这本书里，您对诸多中国A股上市公司进行了非常细致的分析，您看好哪些公司？
罗杰斯：我已经反复解释过，这本书是向大家介绍在中国投资的方法。其中谈到投资者应该努力去发现最便宜的股票，不管它是A股、B股、H股还是S股等等。在书里，我分析出有些A股的上市公司可能会失败，但此书绝不是一本推荐股票的书。但是，如果我能发现确实存在一种最便宜的方式来投资一个“特定”的公司的话，有一天我也可能选择A股。
“告别人世后我将把持有的中国股票传给孩子们”
《红周刊》：去年下半年，当沪综指5000多点时，您说出现了泡沫，但是您却说不卖中国股票，为什么？
罗杰斯：这并不矛盾，我没有买A股，但我可以买B股、H股、S股。我从未卖过所持有的中国上市公司的股票，因为我已经想好了，等我告别人世后将它们传给我的孩子们。我在中国的投资信奉长期主义，我不是一个短线交易者。为什么？如果我卖掉股票，我需要付更多的税，我还必须算好再次进入市场的时间等等。设想一下我付完税后，难道又以更高的价格买回我的股票？我有许多股票，有些股票我已经持有了20年~40年不等，尽管在这40年当中，许多股票起伏不定。
《红周刊》：您说过“2008年卖股票是不明智的，总有一天中国股市会到达万点。2008年7月买入A股是一个好的时机”这样的话吗？但是2008年上半年我们却见证了大熊市，股指已经跌至3000点以下。对此怎么解释？
罗杰斯：我说过的是2008年不要卖掉中国的股票，就如同1908年的时候不要卖掉美国的股票的道理一样。1908年拥有股票、并且一直持有的美国人几十年后都成为了富翁。是的，中国股市总有一天（罗杰斯在邮件中，将“总有一天”的英文单词大写加以强调）会达到一万点。难道你不认为中国会有一个伟大的将来吗？难道你和你的读者对中国的未来感到悲观吗？我已经解释过无数次了，中国在21世纪将成为世界上最伟大的国家。现在距离21世纪结束还有92年，如果我的判断正确的话，中国股市在本世纪会有非常好的表现！
另外，我从来没说过“2008年7月是买入A股的好时机”。我并不知道抛售高峰会不会、何时会出现，我一直在等待一个抛售高峰的到来。也许这个高峰不会到来，如果这样的话，我必须根据其他的因素来考虑是不是要买入、以及何时买入。
至于你的第三个问题，是的，2008年股指跌破3000点。但是我在2007年已经解释过股市在5000点时是一种泡沫，并告诫股民在这个人人为股市兴奋不已、大盘急速上扬的时刻千万不要买入。我已经警告人们不要买，因为股市将会很快下跌。事实证明我是正确的，市场和我的预期如出一辙！
《红周刊》：中国一些媒体曾报道您在2007年说过中国股市会牛80年，但是2008年我们见到的却是一个熊市，这该怎么解释？
罗杰斯：我没有说过这样的话。一定是翻译得不正确。当我断言中国在21世纪将成为最伟大的国家时，有人曾经问我中国股市还需多久才能变得更重要？我解释说，中国市场变得更加重要大概需要80年左右，正如美国股市随着美国影响力的加大，成长了数十年一样。
1907年，美国股市在世界的地位是不重要的。然而在之后的80年时间里，它却成长为世界上最重要的股市。美国股市在成长的过程中，曾经出现过许多次可怕的衰退，我要说的是同样的衰退也会出现在中国股市。2007年或者2008年的中国股市在世界上是不重要的，正如美国股市在1908年一样。中国的股市将在未来80年成为世界上最重要的股市，正如美国股市当时那样。世界股市历史从未出现过持续80年的牛市现象。
《红周刊》：今年4月份接受中国媒体采访时您曾说过看好农业、电力、旅游、水务行业，原因是什么？
罗杰斯：我从来没有说过我看好电力股票。我所说的是，我看好的是提供发电设备的公司，即我看好的是电力设备股。发电行业也是中国未来极具投资潜力的行业，出于经济的发展，未来将建很多发电厂。我看好旅游股、水务、农业股的原因在我去年中国的每一次演讲中都已经提到。中国的水处理就是个极好的投资领域。在未来二三十年有很好的发展，也会出现更多的优秀的水处理公司。在中国投资农业，也是不错的选择。现在中国政府下力气重建农业，这将是农业发展的大好时机。还有就是，中国人有300多年未外出旅游，中国的旅游业将有巨大发展。
《红周刊》：最近两年您频繁出入中国，又是办讲座、又是推荐您的书，媒体曝光率很高，一些中国媒体甚至称您是“娱乐明星”，还有的人认为您是在作秀，为自己的新书做宣传来赚钱，对此您怎么看？
罗杰斯：我不认为我是一个娱乐明星，我一直是一个向大家解释投资的教授。我无法控制所发生的一切，与这些不理解我、扭曲我的意思的人打交道实在令人厌倦。
当人们拒绝或者抛售时，再去买股票
《红周刊》：美国两大贷款银行FannieMae与FreddieMae在过去两周陷入危机，迫使美国政府出面解救，但是政府的救市却使得美国的次贷危机加深，对此您怎么看？
罗杰斯：美国政府实施了银行援助，在短期和中期内，有助于缓解“两房”的危机；但是长期看来，政府的救市行为无助于问题的解决，相反，会使问题变得更糟。
《红周刊》：都说“通胀之下无牛市”，您怎样看当今世界的高油价？
罗杰斯：我认为投资者投资必须要考虑的因素之一就是价格，包括油价。我觉得未来10年所有商品价格会更高，但是其间也会有40%～50%的下跌。我觉得油价在未来10年会更高，但是在此期间可能会有40%~50%的下跌率。从1999年开始的9年的石油牛市，曾经出现过3次类此这样的调整。
《红周刊.》：目前中国大多数股民都被套了。现在这个时候您对中国股民有什么好的投资建议？
罗杰斯：我不知道他们都买了什么股票，也不知道他们所买股票的原因，因此老生常谈：永远不要在股市繁荣、人们对此无比兴奋的时刻买入股票；当人们都在拒绝或者抛售股票时，再去买股票。 （证券市场红周刊）
罗杰斯“变脸”：
2007年1月，罗杰斯探访中国股市，称目前不适合买股票
2007年3月，罗杰斯在接受接受路透社采访时说，全球新兴市场中他只买中国股
究竟是谁“曲解”了罗杰斯：
3月29日，罗杰斯在瑞士信贷主办的亚洲投资论坛上再次谈到中国股市，以下是三家国内权威媒体对其进行的报道。
罗杰斯：坚定持有A股 再涨一倍才会卖（《第一财经日报》）
由于看好中国经济，罗杰斯买入并持有多只A股市场的股票。他对本报指出，尽管A股市盈率过高，存在一定的泡沫，但仍有上涨空间。
罗杰斯：泡沫吹起来A股今年或再翻一倍（《证券时报》）
对于A股目前时估值，罗杰斯的评价是虽然有的公司市盈率已经偏高，但在泡沫吹起来的时候，人是会疯狂的，正常情况下，30倍市盈率很高，在泡沫市场里，人们可以接受60倍、80倍甚至100倍的市盈率。所以他认为A股今年再翻一倍并非不可能。
罗杰斯：商品牛市会持续15年 看好石油却买玉米（《21世纪经济报道》）
罗杰斯再度预言：“从历史数据看，目前正进行的商品大牛市还将继续10-15年，鼎盛时期会出现在2014-2022年之间。”
为此，《红周刊》近日就一些敏感问题对吉姆·罗杰斯进行了独家专访。
“A股贵，我为什么还要买？”
《红周刊》：您到底买了A股没有？
罗杰斯：我从来没有买过A股，也从没有说过我买过A股。我已经解释了很多次了，我一直买的是B股、H股、S股，以及在美国买中国公司发行的ADR，这是因为它们一直都比A股便宜！我为什么还要去买更贵的A股呢？只有傻瓜才会这么干！
《红周刊》：您一直看好中国股市，为什么不买A股？仅仅是因为A股比H股、B股贵吗？您是否通过QFII投资中国A股？
罗杰斯：难道你不知道，除了A股以外，这个世界上还有大量的H股、B股、S股、欧股、美股吗？是的，我不买A股，因为A股贵。话又说回来，当一个人能够买到便宜的股票时，他为什么还要再去买贵的？成功的投资者总是选择便宜的，而绝不是贵的，这是最基本的法则。
《红周刊》：但是，在您所著的《中国牛市》这本书里，您对诸多中国A股上市公司进行了非常细致的分析，您看好哪些公司？
罗杰斯：我已经反复解释过，这本书是向大家介绍在中国投资的方法。其中谈到投资者应该努力去发现最便宜的股票，不管它是A股、B股、H股还是S股等等。在书里，我分析出有些A股的上市公司可能会失败，但此书绝不是一本推荐股票的书。但是，如果我能发现确实存在一种最便宜的方式来投资一个“特定”的公司的话，有一天我也可能选择A股。
“告别人世后我将把持有的中国股票传给孩子们”
《红周刊》：去年下半年，当沪综指5000多点时，您说出现了泡沫，但是您却说不卖中国股票，为什么？
罗杰斯：这并不矛盾，我没有买A股，但我可以买B股、H股、S股。我从未卖过所持有的中国上市公司的股票，因为我已经想好了，等我告别人世后将它们传给我的孩子们。我在中国的投资信奉长期主义，我不是一个短线交易者。为什么？如果我卖掉股票，我需要付更多的税，我还必须算好再次进入市场的时间等等。设想一下我付完税后，难道又以更高的价格买回我的股票？我有许多股票，有些股票我已经持有了20年~40年不等，尽管在这40年当中，许多股票起伏不定。
《红周刊》：您说过“2008年卖股票是不明智的，总有一天中国股市会到达万点。2008年7月买入A股是一个好的时机”这样的话吗？但是2008年上半年我们却见证了大熊市，股指已经跌至3000点以下。对此怎么解释？
罗杰斯：我说过的是2008年不要卖掉中国的股票，就如同1908年的时候不要卖掉美国的股票的道理一样。1908年拥有股票、并且一直持有的美国人几十年后都成为了富翁。是的，中国股市总有一天（罗杰斯在邮件中，将“总有一天”的英文单词大写加以强调）会达到一万点。难道你不认为中国会有一个伟大的将来吗？难道你和你的读者对中国的未来感到悲观吗？我已经解释过无数次了，中国在21世纪将成为世界上最伟大的国家。现在距离21世纪结束还有92年，如果我的判断正确的话，中国股市在本世纪会有非常好的表现！
另外，我从来没说过“2008年7月是买入A股的好时机”。我并不知道抛售高峰会不会、何时会出现，我一直在等待一个抛售高峰的到来。也许这个高峰不会到来，如果这样的话，我必须根据其他的因素来考虑是不是要买入、以及何时买入。
至于你的第三个问题，是的，2008年股指跌破3000点。但是我在2007年已经解释过股市在5000点时是一种泡沫，并告诫股民在这个人人为股市兴奋不已、大盘急速上扬的时刻千万不要买入。我已经警告人们不要买，因为股市将会很快下跌。事实证明我是正确的，市场和我的预期如出一辙！
《红周刊》：中国一些媒体曾报道您在2007年说过中国股市会牛80年，但是2008年我们见到的却是一个熊市，这该怎么解释？
罗杰斯：我没有说过这样的话。一定是翻译得不正确。当我断言中国在21世纪将成为最伟大的国家时，有人曾经问我中国股市还需多久才能变得更重要？我解释说，中国市场变得更加重要大概需要80年左右，正如美国股市随着美国影响力的加大，成长了数十年一样。
1907年，美国股市在世界的地位是不重要的。然而在之后的80年时间里，它却成长为世界上最重要的股市。美国股市在成长的过程中，曾经出现过许多次可怕的衰退，我要说的是同样的衰退也会出现在中国股市。2007年或者2008年的中国股市在世界上是不重要的，正如美国股市在1908年一样。中国的股市将在未来80年成为世界上最重要的股市，正如美国股市当时那样。世界股市历史从未出现过持续80年的牛市现象。
《红周刊》：今年4月份接受中国媒体采访时您曾说过看好农业、电力、旅游、水务行业，原因是什么？
罗杰斯：我从来没有说过我看好电力股票。我所说的是，我看好的是提供发电设备的公司，即我看好的是电力设备股。发电行业也是中国未来极具投资潜力的行业，出于经济的发展，未来将建很多发电厂。我看好旅游股、水务、农业股的原因在我去年中国的每一次演讲中都已经提到。中国的水处理就是个极好的投资领域。在未来二三十年有很好的发展，也会出现更多的优秀的水处理公司。在中国投资农业，也是不错的选择。现在中国政府下力气重建农业，这将是农业发展的大好时机。还有就是，中国人有300多年未外出旅游，中国的旅游业将有巨大发展。
《红周刊》：最近两年您频繁出入中国，又是办讲座、又是推荐您的书，媒体曝光率很高，一些中国媒体甚至称您是“娱乐明星”，还有的人认为您是在作秀，为自己的新书做宣传来赚钱，对此您怎么看？
罗杰斯：我不认为我是一个娱乐明星，我一直是一个向大家解释投资的教授。我无法控制所发生的一切，与这些不理解我、扭曲我的意思的人打交道实在令人厌倦。
当人们拒绝或者抛售时，再去买股票
《红周刊》：美国两大贷款银行FannieMae与FreddieMae在过去两周陷入危机，迫使美国政府出面解救，但是政府的救市却使得美国的次贷危机加深，对此您怎么看？
罗杰斯：美国政府实施了银行援助，在短期和中期内，有助于缓解“两房”的危机；但是长期看来，政府的救市行为无助于问题的解决，相反，会使问题变得更糟。
《红周刊》：都说“通胀之下无牛市”，您怎样看当今世界的高油价？
罗杰斯：我认为投资者投资必须要考虑的因素之一就是价格，包括油价。我觉得未来10年所有商品价格会更高，但是其间也会有40%～50%的下跌。我觉得油价在未来10年会更高，但是在此期间可能会有40%~50%的下跌率。从1999年开始的9年的石油牛市，曾经出现过3次类此这样的调整。
《红周刊.》：目前中国大多数股民都被套了。现在这个时候您对中国股民有什么好的投资建议？
罗杰斯：我不知道他们都买了什么股票，也不知道他们所买股票的原因，因此老生常谈：永远不要在股市繁荣、人们对此无比兴奋的时刻买入股票；当人们都在拒绝或者抛售股票时，再去买股票。 （证券市场红周刊）
罗杰斯“变脸”：
2007年1月，罗杰斯探访中国股市，称目前不适合买股票
2007年3月，罗杰斯在接受接受路透社采访时说，全球新兴市场中他只买中国股
究竟是谁“曲解”了罗杰斯：
3月29日，罗杰斯在瑞士信贷主办的亚洲投资论坛上再次谈到中国股市，以下是三家国内权威媒体对其进行的报道。
罗杰斯：坚定持有A股 再涨一倍才会卖（《第一财经日报》）
由于看好中国经济，罗杰斯买入并持有多只A股市场的股票。他对本报指出，尽管A股市盈率过高，存在一定的泡沫，但仍有上涨空间。
罗杰斯：泡沫吹起来A股今年或再翻一倍（《证券时报》）
对于A股目前时估值，罗杰斯的评价是虽然有的公司市盈率已经偏高，但在泡沫吹起来的时候，人是会疯狂的，正常情况下，30倍市盈率很高，在泡沫市场里，人们可以接受60倍、80倍甚至100倍的市盈率。所以他认为A股今年再翻一倍并非不可能。
罗杰斯：商品牛市会持续15年 看好石油却买玉米（《21世纪经济报道》）
罗杰斯再度预言：“从历史数据看，目前正进行的商品大牛市还将继续10-15年，鼎盛时期会出现在2014-2022年之间。”
“亚洲股神”李兆基谈选股“基本法”:炒股五行论
经极其厌恶炒股的恒基地产主席李兆基在短短的3年时间里，其投资股市500亿港元增值至1700亿港元，创造了令人惊讶的神话，并被誉为“亚洲股神”。
“亚洲股神”的成功，除了每年到海外考察学习，与财经业人士见面，了解他们如何投资，听听他们的意见，再凭自己的眼光作出判断外，就是以美国“股神”巴菲特为榜样，坚持长线持有，并争取每年有10%至20% 的回报。如当年李嘉诚和郑裕彤都认购了中国人寿H股，但在2005年禁售期过去后，他们就分别在5港元以上的价位抛出了其手上持有的一半股份，回报率分别为40%和50%。两位富豪虽获利不菲，但比起李兆基来就是“小巫见大巫”，因为李兆基一直持股至今。而中国人寿上周末的收市价是42.4元，4年回报超过了10倍。
“炒股五行论”
股票投资的成功，除了基本素质和心理承受能力外，个人的偏好与选择业极其重要。在接受媒体采访时，李兆基就表示，股票可以用金、木、水、火、土“五行论”来划分种类，而他最喜欢“金”，即银行、保险及交易所，包括招商银行、中国人寿等；另外，他又称看好“火”类股份：即易燃液体，特别是中海油及中国神华等。
投资的步骤
李兆基认为自己这些年在股市的成功，主要得力于自己的投资“基本法”。首先是选国家。各国当中当然以中国好，美国最衰。这些年，这位“亚洲股神”特别偏爱中资股。事实证明其选择是正确的；其次是选行业。他说，我会选保险、能源及地产三个行业；第三是选公司，要选行业的龙头股，龙头股升得差不多便选龙尾股。具体公司他推荐中国人寿、平安保险、中石油、中海油、神华能源、中煤能源、碧桂园、中国海外和富力地产；第四是转本位，也就是关注汇率风险。
他说，美国突然减息半厘，令美元下跌，港元也跟随下跌。换言之，你手上的100元，今天只余99元，如果减息幅度增至1厘或1.25厘，你手上更只余96或95元，所以一定要转本位。
他指出，现在中国基于自身经济状况持续加息，美国则迫于无奈减息，根本不同味道，美元肯定会走弱。所以如果你仍然以港元为本位，一年下来最少会损失10%。所以我建议将手头现金购入澳元，赚取年息6-7厘，胜过港元存款利率的2-3 厘；如果要做生意则借港元，年息4-5厘，可以赚息兼赚价，财息兼收；第五是沽空一只、持有一只。由于目前在香港可以买卖全球股票，因此李兆基建议不要只买单一产品。你看好一个国家、一个行业，同时看淡一个国家、一个行业，便可以从中取利。
个股方面他建议买进中国人寿和平安保险，沽空美国地产股或日本银行股。
买龙头股长线投资
在谈到投资心得时，李兆基认为，股神巴菲特有一样很好，就是买股都是长线投资。他买新股，也都是长线投资，选喜欢的股，就拿着，就算过了禁售期，允许他卖他都不会卖。
李兆基说，投资股票，应该买“龙头股”，所谓“龙头股”，是指内地来香港上市的大企业，如工商银行、中国石油，有过万亿的资产；也指有代表性，对国家有代表性的企业。可以说，投资这些股票是不会买错的。这些股票你可以继续持有，但由于过去的升幅大，期望它们的股价再翻一番，恐怕不容易。
“亚洲股神”的成功，除了每年到海外考察学习，与财经业人士见面，了解他们如何投资，听听他们的意见，再凭自己的眼光作出判断外，就是以美国“股神”巴菲特为榜样，坚持长线持有，并争取每年有10%至20% 的回报。如当年李嘉诚和郑裕彤都认购了中国人寿H股，但在2005年禁售期过去后，他们就分别在5港元以上的价位抛出了其手上持有的一半股份，回报率分别为40%和50%。两位富豪虽获利不菲，但比起李兆基来就是“小巫见大巫”，因为李兆基一直持股至今。而中国人寿上周末的收市价是42.4元，4年回报超过了10倍。
“炒股五行论”
股票投资的成功，除了基本素质和心理承受能力外，个人的偏好与选择业极其重要。在接受媒体采访时，李兆基就表示，股票可以用金、木、水、火、土“五行论”来划分种类，而他最喜欢“金”，即银行、保险及交易所，包括招商银行、中国人寿等；另外，他又称看好“火”类股份：即易燃液体，特别是中海油及中国神华等。
投资的步骤
李兆基认为自己这些年在股市的成功，主要得力于自己的投资“基本法”。首先是选国家。各国当中当然以中国好，美国最衰。这些年，这位“亚洲股神”特别偏爱中资股。事实证明其选择是正确的；其次是选行业。他说，我会选保险、能源及地产三个行业；第三是选公司，要选行业的龙头股，龙头股升得差不多便选龙尾股。具体公司他推荐中国人寿、平安保险、中石油、中海油、神华能源、中煤能源、碧桂园、中国海外和富力地产；第四是转本位，也就是关注汇率风险。
他说，美国突然减息半厘，令美元下跌，港元也跟随下跌。换言之，你手上的100元，今天只余99元，如果减息幅度增至1厘或1.25厘，你手上更只余96或95元，所以一定要转本位。
他指出，现在中国基于自身经济状况持续加息，美国则迫于无奈减息，根本不同味道，美元肯定会走弱。所以如果你仍然以港元为本位，一年下来最少会损失10%。所以我建议将手头现金购入澳元，赚取年息6-7厘，胜过港元存款利率的2-3 厘；如果要做生意则借港元，年息4-5厘，可以赚息兼赚价，财息兼收；第五是沽空一只、持有一只。由于目前在香港可以买卖全球股票，因此李兆基建议不要只买单一产品。你看好一个国家、一个行业，同时看淡一个国家、一个行业，便可以从中取利。
个股方面他建议买进中国人寿和平安保险，沽空美国地产股或日本银行股。
买龙头股长线投资
在谈到投资心得时，李兆基认为，股神巴菲特有一样很好，就是买股都是长线投资。他买新股，也都是长线投资，选喜欢的股，就拿着，就算过了禁售期，允许他卖他都不会卖。
李兆基说，投资股票，应该买“龙头股”，所谓“龙头股”，是指内地来香港上市的大企业，如工商银行、中国石油，有过万亿的资产；也指有代表性，对国家有代表性的企业。可以说，投资这些股票是不会买错的。这些股票你可以继续持有，但由于过去的升幅大，期望它们的股价再翻一番，恐怕不容易。
Saturday, July 19, 2008
不要重蹈巴菲特曾走过的弯路
作为价值投资的信奉者，我们很少提到另外一种投资策略－技术分析。但事实上，最伟大的价值投资者之一：巴菲特也曾经花费了8年的时间研究技术分析，不过最后他放弃了，他认为技术分析对他的投资毫无作用，他说：“当我把那些图表颠倒过来也看不出会有什么不同结果的时候，我意识到技术分析是无效的。”
当然，存在即是合理。基于股价和成交量的历史数据的技术分析图表也有它自身的逻辑存在，股票的价格反映了市场对股票的供需情况，历史信息的图表应该能够反应这种供需关系的情况以及可能帮助投资者预测股票的走势。
虽然不排除部分天才的交易者们能够凭借技术分析取得巨大的成功，但如果聪明如巴菲特花费了8年时间都无法成功地运用技术分析获取有效收益，普通投资者们何不学习前人的教训，避免在那些图形和走势上浪费太多的时间呢？
在巴菲特发现了这个问题之后，他把目光投向了本杰明·格拉汉姆的理论，强调公司的基本面。从此，巴菲特找到了一条真正有意义的、并且有效的投资策略。
在2008年伯克希尔-哈撒韦的年会上，巴菲特被问及他是如何避免思维模式的狭窄，他回答说他仅仅是遵从了格拉汉姆的三个最重要的原则：
买入有安全边际的股票
一支股票代表了一种商业模式和业务
市场只是为你提供服务，不会教授你如何投资
第一条原则非常重要，也经常成为时下国内投资界的一句口头禅。它意味着投资者应该寻找低于其内在价值的股票并且买入。不过巴菲特在讲第二、第三原则的时候，谈到了他此前曾经浪费了8年的时间的这个故事。
买入一支股票就代表买入了一种商业模式和业务
在这一点上，技术分析更关心的是股票的交易和走势，对于具体股票的基本面并不太过于关注，只要出现了让技术分析者们兴奋的的图形走势，他们可能不会去管这支股票是中国石油还是山西焦化，不会去过多留意能源价格和消费结构的变化。技术分析的交易毕竟只是一种短期行为，不会像价值投资者一样去关注公司的业务，未来的发展这些基本面的重要因素。
在格拉汉姆的第二个重要原则中，投资者所需要关注的远超出一些图形和趋势线，投资者们需要深刻的了解公司的业务情况。如果你关注山西三维，你应该了解公司的基本化工产品线、上下游原料和产品的市场需求和供给，知道公司未来业务结构的发展方向，清楚公司不同产品的毛利率变化情况以及公司的资产状况和财务水平。
巴菲特认为市场并不会主动地教授投资者如何交易，那些历史价格的变动也并不能说明该如何投资。他认为市场并不总是有效的，市场经常犯错误。
从2004年6月爆出独立董事事件到2004年12月伊利股份高管挪用公款案，伊利股份价格一路下跌，市场也不断看空公司的未来，半年累计下跌超过35%，历史市销率按最低点计算仅在1倍以下。但后来的事实证明，短暂的风波并未给公司的运营和基本面造成过大的影响，反而给了投资者低价买入的机会。
另外一个故事是最近1年来A股市场上标靶的中国石油，在中国石油回归A股市场的首日，总市值竟然超过埃克森美孚，一举成为全球市值最大的上市公司，市场更冠以“亚洲最赚钱公司的美誉”。无视其高估值和及中石油在商业模式上的短板。随后的事实也证明了这一点，中国石油一路下跌，令无数投资者折戟，也带动了A股市场的整体下跌。
这些都告诉投资者，市场并非总是对的。
所以，不能完全听从市场的声音，巴菲特转而学会利用市场的无效。市场总是在一些时刻为某些股票开出天价，有些时候又会提供低价买入优质公司的股票的机会。巴菲特就是充分得利用了市场的弱点，在市场低估的时候购入，在市场修正定价错误的时候卖出获得盈利。而这，也是所有价值投资者应该去学习做到的。
当前的股市已经经历了大幅度的下跌和调整，对价值投资者而言，这时候更应该努力去发掘那些廉价的具有长期投资价值的股票，市场一定会在未来的某一天修正它的错误。
当然，存在即是合理。基于股价和成交量的历史数据的技术分析图表也有它自身的逻辑存在，股票的价格反映了市场对股票的供需情况，历史信息的图表应该能够反应这种供需关系的情况以及可能帮助投资者预测股票的走势。
虽然不排除部分天才的交易者们能够凭借技术分析取得巨大的成功，但如果聪明如巴菲特花费了8年时间都无法成功地运用技术分析获取有效收益，普通投资者们何不学习前人的教训，避免在那些图形和走势上浪费太多的时间呢？
在巴菲特发现了这个问题之后，他把目光投向了本杰明·格拉汉姆的理论，强调公司的基本面。从此，巴菲特找到了一条真正有意义的、并且有效的投资策略。
在2008年伯克希尔-哈撒韦的年会上，巴菲特被问及他是如何避免思维模式的狭窄，他回答说他仅仅是遵从了格拉汉姆的三个最重要的原则：
买入有安全边际的股票
一支股票代表了一种商业模式和业务
市场只是为你提供服务，不会教授你如何投资
第一条原则非常重要，也经常成为时下国内投资界的一句口头禅。它意味着投资者应该寻找低于其内在价值的股票并且买入。不过巴菲特在讲第二、第三原则的时候，谈到了他此前曾经浪费了8年的时间的这个故事。
买入一支股票就代表买入了一种商业模式和业务
在这一点上，技术分析更关心的是股票的交易和走势，对于具体股票的基本面并不太过于关注，只要出现了让技术分析者们兴奋的的图形走势，他们可能不会去管这支股票是中国石油还是山西焦化，不会去过多留意能源价格和消费结构的变化。技术分析的交易毕竟只是一种短期行为，不会像价值投资者一样去关注公司的业务，未来的发展这些基本面的重要因素。
在格拉汉姆的第二个重要原则中，投资者所需要关注的远超出一些图形和趋势线，投资者们需要深刻的了解公司的业务情况。如果你关注山西三维，你应该了解公司的基本化工产品线、上下游原料和产品的市场需求和供给，知道公司未来业务结构的发展方向，清楚公司不同产品的毛利率变化情况以及公司的资产状况和财务水平。
巴菲特认为市场并不会主动地教授投资者如何交易，那些历史价格的变动也并不能说明该如何投资。他认为市场并不总是有效的，市场经常犯错误。
从2004年6月爆出独立董事事件到2004年12月伊利股份高管挪用公款案，伊利股份价格一路下跌，市场也不断看空公司的未来，半年累计下跌超过35%，历史市销率按最低点计算仅在1倍以下。但后来的事实证明，短暂的风波并未给公司的运营和基本面造成过大的影响，反而给了投资者低价买入的机会。
另外一个故事是最近1年来A股市场上标靶的中国石油，在中国石油回归A股市场的首日，总市值竟然超过埃克森美孚，一举成为全球市值最大的上市公司，市场更冠以“亚洲最赚钱公司的美誉”。无视其高估值和及中石油在商业模式上的短板。随后的事实也证明了这一点，中国石油一路下跌，令无数投资者折戟，也带动了A股市场的整体下跌。
这些都告诉投资者，市场并非总是对的。
所以，不能完全听从市场的声音，巴菲特转而学会利用市场的无效。市场总是在一些时刻为某些股票开出天价，有些时候又会提供低价买入优质公司的股票的机会。巴菲特就是充分得利用了市场的弱点，在市场低估的时候购入，在市场修正定价错误的时候卖出获得盈利。而这，也是所有价值投资者应该去学习做到的。
当前的股市已经经历了大幅度的下跌和调整，对价值投资者而言，这时候更应该努力去发掘那些廉价的具有长期投资价值的股票，市场一定会在未来的某一天修正它的错误。
「 亞 洲 股 神 」 ， 「 過 氣 股 神 」
去 年 被 傳 媒 稱 為 「 亞 洲 股 神 」 ， 但 今 年 卻 被 傳 媒 譏 為 「 過 氣 股 神 」 的 李 兆 基 ， 日 前 又 再 開 腔 ， 他 認 為 恒 指 21000 點 ， 有 很 強 的 支 持 ， 比 我 樂 觀 了 1000 點 。 我 近 來 的 評 論 都 以 恒 指 20000 點 為 短 期 支 持 點 ， 所 以 當 指 跌 至 21000 點 時 ， 並 沒 有 入 市 博 反 彈 。
昨 日 ， 港 股 終 於 追 隨 美 股 而 急 升 ， 收 市 時 恒 指 為 21734 點 ， 李 兆 基 的 眼 光 的 確 不 錯 。 去 年 及 今 年 也 有 數 次 大 市 跌 至 某 個 水 平 時 他 一 開 聲 ， 大 市 就 回 升 ， 看 來 李 兆 基 炒 短 線 的 能 力 相 當 不 錯 。
過 去 這 段 時 間 裏 ， 我 不 斷 地 說 ， 現 在 仍 是 熊 市 二 期 ， 熊 市 二 期 意 味 著 較 顯 著 的 反 彈 仍 會 出 現 。 這 一 次 恒 指 在 21000 點 反 彈 ， 會 不 會 再 繼 續 反 彈 ？ 我 倒 沒 甚 麼 把 握 ， 因 為 我 不 敢 肯 定 石 油 期 貨 價 格 是 不 是 已 經 見 頂 。
我 們 可 以 感 覺 到 石 油 價 格 已 經 是 進 入 泡 沫 階 段 ， 過 去 數 天 ， 石 油 期 貨 市 場 的 激 烈 波 動 ， 已 顯 示 出 炒 石 油 的 人 開 始 患 得 患 失 、 神 經 緊 張 ， 但 是 不 是 已 見 頂 仍 有 待 觀 察 。 石 油 價 格 一 日 不 見 頂 ， 股 市 仍 然 會 受 其 左 右 。
美 國 的 房 利 美 與 房 貸 美 兩 大 房 地 產 貸 款 公 司 的 問 題 ， 應 該 不 會 再 惡 化 ， 因 為 市 場 已 經 相 信 美 國 政 府 不 會 讓 這 兩 家 超 大 的 房 地 產 貸 款 公 司 倒 閉 ， 只 要 市 場 相 信 美 國 政 府 不 會 坐 視 不 理 ， 這 兩 家 企 業 就 有 能 力 再 發 行 新 債 券 籌 集 資 金 。
昨 日 ， 港 股 終 於 追 隨 美 股 而 急 升 ， 收 市 時 恒 指 為 21734 點 ， 李 兆 基 的 眼 光 的 確 不 錯 。 去 年 及 今 年 也 有 數 次 大 市 跌 至 某 個 水 平 時 他 一 開 聲 ， 大 市 就 回 升 ， 看 來 李 兆 基 炒 短 線 的 能 力 相 當 不 錯 。
過 去 這 段 時 間 裏 ， 我 不 斷 地 說 ， 現 在 仍 是 熊 市 二 期 ， 熊 市 二 期 意 味 著 較 顯 著 的 反 彈 仍 會 出 現 。 這 一 次 恒 指 在 21000 點 反 彈 ， 會 不 會 再 繼 續 反 彈 ？ 我 倒 沒 甚 麼 把 握 ， 因 為 我 不 敢 肯 定 石 油 期 貨 價 格 是 不 是 已 經 見 頂 。
我 們 可 以 感 覺 到 石 油 價 格 已 經 是 進 入 泡 沫 階 段 ， 過 去 數 天 ， 石 油 期 貨 市 場 的 激 烈 波 動 ， 已 顯 示 出 炒 石 油 的 人 開 始 患 得 患 失 、 神 經 緊 張 ， 但 是 不 是 已 見 頂 仍 有 待 觀 察 。 石 油 價 格 一 日 不 見 頂 ， 股 市 仍 然 會 受 其 左 右 。
美 國 的 房 利 美 與 房 貸 美 兩 大 房 地 產 貸 款 公 司 的 問 題 ， 應 該 不 會 再 惡 化 ， 因 為 市 場 已 經 相 信 美 國 政 府 不 會 讓 這 兩 家 超 大 的 房 地 產 貸 款 公 司 倒 閉 ， 只 要 市 場 相 信 美 國 政 府 不 會 坐 視 不 理 ， 這 兩 家 企 業 就 有 能 力 再 發 行 新 債 券 籌 集 資 金 。
Volatility Index
VIX（volatility index）係量度美股波幅，當佢上升時通常代表股市回落緊；因為股市中唔存在被迫買家，但存在被迫沽家，例如孖展Call，喺咁情況下引發股價急跌令VIX急升，例如1998年長期資金服務公司出事，以及2002年10月科網股拋售高潮，VIX均超過40點，事後證明係入市良機，其餘時間都很少超過30點，一旦超出30點通常係入市時機（最近喺27點即漸接近拋售高潮）。
投資策略要睇時機
價值投資法須搵牛市起點
投資策略最大主流可分為價值投資法。例如譚甫屯喺1939年起步，其後佢將譚甫屯基金以44億美元出售，並只為自己投資，估計死時身家超過200億美元；最出名係畢非德，佢1964年起步而成為全球數一數二富翁。其理論基礎係低價買入後一直持有，直到極高價時才賣出。各位應留意譚甫屯起步點係1939年，畢非德係1964年；美國超級大牛市由1982年先起步至2007年10月結束。情況好似香港房地產由1967年起步，1997年結束；最大升幅係1984至97年。任何人喺1984年前投資香港房地產都可賺到盤滿缽滿；如果你係價值投資法支持者，自然賺得更多。任何策略都離唔開時機（例如超級大牛市開始前投入，結束前離開，係價值投資法賺大錢背後理由）；相反，喺1990年至今用同樣方法投資日本成績會點？各位問問王增祥便知。七十年代佢係香港大投資家之一，當年家財同唔少今天香港地產富翁差唔多，由於佢响戰前留學日本，於日本大學畢業，喺七十年代佢決定賣出香港物業，投資日本王子製紙，並佔該公司13％，另一家係片倉工業，佔該公司23％……，三十年過去了，佢好朋友例如李超人及彤哥等無不富甲一方，至於佢本人就連新一代香港投資者都好少人認識。佢都係用價值投資法，可惜佢選擇地方係日本，唔係香港或美國，過去十八年日本股市不前，令佢响1978年日股投資，由當年日經平均指數5000點，升到2008年7月13000點，升幅得160％；同期恒生指數卻由1978年330點，上升到2008年7月22000點，升幅係六十五點五倍。
換言之，價值投資法必須找尋超級牛市起步點，而唔係由結束點開始。如果1990年投資日本、1997年投資香港以及2007年投資美國而採用價值投資法者，永遠唔會變成譚甫屯或畢非德。細佬，因為你出世得太遲。因通脹回落喺美國1981年開始，樓價回升美國响1982年開始；最低通脹率係2003年，最高樓價係2006年；2004年起美國通脹回升，樓價2006年下半年開始回落，令2007年8月出現次按危機。資產價格回落可能喺2008年年底或09年上半年引發美國衰退。
由荷蘭鬱金香、到密西西比投資、1997年香港樓價，2000年科股泡沫及去年內地A股，人人事前都知道係泡沫，何時爆破都係喺事後先知。例如香港房地產爆破喺1997年第三季；科網股泡沫爆破喺2000年3月；內地A股爆破喺2007年10月。油價已處泡沫期呢點係十分肯定，係咪見頂？木宰羊。
面對超級大牛市結束（通常得二十二至三十年長。美國今次係二十五年），請勿再用價值投資法，應改用蔡至勇策略，即係近年本欄一再推介牛眼投資法。利用時機最短時間內賺取本金100％或以上回報，一旦形勢唔對就止蝕離場，把損失局限喺投入本金15％至20％之間。
對學曉牛眼投資法人嚟講，嗰D仍然採用價值投資法人係懶惰投資者。喺現今瞬息萬變社會點可以買入後持有呢？國共之爭，蔣介石相信以不變應萬變，結果退守台灣；毛澤東以萬變應付萬變，結果就得天下。花開堪折直需折，莫待無花空折枝。
網上唔少人問我老曹，假如1974年12月你持有十萬股和記，並一直持有到依家又會點？我老曹可以回答係市值升至760萬元（未計三十四年派息），真實情況係我老曹喺1976年初以每股2.8元賣咗，套番28萬元再投資，到1981年我老曹已擁有第一個100萬元。由於當年香港主權問題鬧到熱烘烘及聽郭得勝話三七分，即70％現金，只30萬元股份，一直到1984年7月才再次重新入市。喺牛市中以每年50％速度增加財富；响熊市中將虧損局限係15-20％。
投資策略最大主流可分為價值投資法。例如譚甫屯喺1939年起步，其後佢將譚甫屯基金以44億美元出售，並只為自己投資，估計死時身家超過200億美元；最出名係畢非德，佢1964年起步而成為全球數一數二富翁。其理論基礎係低價買入後一直持有，直到極高價時才賣出。各位應留意譚甫屯起步點係1939年，畢非德係1964年；美國超級大牛市由1982年先起步至2007年10月結束。情況好似香港房地產由1967年起步，1997年結束；最大升幅係1984至97年。任何人喺1984年前投資香港房地產都可賺到盤滿缽滿；如果你係價值投資法支持者，自然賺得更多。任何策略都離唔開時機（例如超級大牛市開始前投入，結束前離開，係價值投資法賺大錢背後理由）；相反，喺1990年至今用同樣方法投資日本成績會點？各位問問王增祥便知。七十年代佢係香港大投資家之一，當年家財同唔少今天香港地產富翁差唔多，由於佢响戰前留學日本，於日本大學畢業，喺七十年代佢決定賣出香港物業，投資日本王子製紙，並佔該公司13％，另一家係片倉工業，佔該公司23％……，三十年過去了，佢好朋友例如李超人及彤哥等無不富甲一方，至於佢本人就連新一代香港投資者都好少人認識。佢都係用價值投資法，可惜佢選擇地方係日本，唔係香港或美國，過去十八年日本股市不前，令佢响1978年日股投資，由當年日經平均指數5000點，升到2008年7月13000點，升幅得160％；同期恒生指數卻由1978年330點，上升到2008年7月22000點，升幅係六十五點五倍。
換言之，價值投資法必須找尋超級牛市起步點，而唔係由結束點開始。如果1990年投資日本、1997年投資香港以及2007年投資美國而採用價值投資法者，永遠唔會變成譚甫屯或畢非德。細佬，因為你出世得太遲。因通脹回落喺美國1981年開始，樓價回升美國响1982年開始；最低通脹率係2003年，最高樓價係2006年；2004年起美國通脹回升，樓價2006年下半年開始回落，令2007年8月出現次按危機。資產價格回落可能喺2008年年底或09年上半年引發美國衰退。
由荷蘭鬱金香、到密西西比投資、1997年香港樓價，2000年科股泡沫及去年內地A股，人人事前都知道係泡沫，何時爆破都係喺事後先知。例如香港房地產爆破喺1997年第三季；科網股泡沫爆破喺2000年3月；內地A股爆破喺2007年10月。油價已處泡沫期呢點係十分肯定，係咪見頂？木宰羊。
面對超級大牛市結束（通常得二十二至三十年長。美國今次係二十五年），請勿再用價值投資法，應改用蔡至勇策略，即係近年本欄一再推介牛眼投資法。利用時機最短時間內賺取本金100％或以上回報，一旦形勢唔對就止蝕離場，把損失局限喺投入本金15％至20％之間。
對學曉牛眼投資法人嚟講，嗰D仍然採用價值投資法人係懶惰投資者。喺現今瞬息萬變社會點可以買入後持有呢？國共之爭，蔣介石相信以不變應萬變，結果退守台灣；毛澤東以萬變應付萬變，結果就得天下。花開堪折直需折，莫待無花空折枝。
網上唔少人問我老曹，假如1974年12月你持有十萬股和記，並一直持有到依家又會點？我老曹可以回答係市值升至760萬元（未計三十四年派息），真實情況係我老曹喺1976年初以每股2.8元賣咗，套番28萬元再投資，到1981年我老曹已擁有第一個100萬元。由於當年香港主權問題鬧到熱烘烘及聽郭得勝話三七分，即70％現金，只30萬元股份，一直到1984年7月才再次重新入市。喺牛市中以每年50％速度增加財富；响熊市中將虧損局限係15-20％。
Bernanke Is Pessimistic, but Bush Urges a ‘Deep Breath’
Warning of the risks of a further slowdown and higher inflation, Ben S. Bernanke, chairman of the Federal Reserve, offered a gloomy assessment of the economy on Tuesday as President Bush, speaking a few blocks away, urged Americans to have faith in the country’s financial foundation.
In testimony before the Senate Banking Committee, Mr. Bernanke avoided the word “recession” in characterizing the current economy, noting instead that consumer spending and exports were keeping growth “at a sluggish pace” while the housing sector “continues to weaken.”
He added that spending for personal goods had “advanced at a modest pace so far this year, generally holding up somewhat better than might have been expected given the array of forces weighing on household finances and attitudes.”
While the risks to the overall economy were still “skewed to the downside,” he said, inflation “seems likely to move temporarily higher in the near term.”
Even as Mr. Bernanke fielded questions from senators, a different view of the economy emanated from the White House.
President Bush, speaking at a White House news conference that coincided with the Fed chair’s testimony, urged Americans to “take a deep breath.”
“My hope is — is that people take a deep breath and realize that their deposits are protected by our government,” the president said. He added that economic growth “was not the growth we’d like” but expressed confidence that the country would overcome “a time of uncertainty.” The nation’s troubled financial system is "basically sound," he added.
The president said that the economy and the pillars on which it rests were “basically sound.” And he dismissed questions about reports that wholesale prices rose 1.8 percent in June, the fastest 12-month inflation rate in more than a quarter century.
Mr. Bernanke’s mixed assessment of the economy appeared to signal that the Fed would not be lowering interest rates further in spite of the economic sluggishness, as it did earlier this year, out of concern that lower rates would spur more inflation. In June, the Fed declined to lower rates and instead suggested it might raise rates later in the year.
In his testimony, he was especially pessimistic about any easing of energy prices, dismissing suggestions that they were being driven by speculation in futures markets. Instead, he said high energy costs reflected the markets’ recognition that demand was outstripping supplies.
“Over the past several years, the world economy has expanded at its fastest pace in decades, leading to substantial increases in the demand for oil,” Mr. Bernanke said. “On the supply side, despite sharp increases in prices, the production of oil has risen only slightly in the past few years.”
President Bush’s remarks, and Mr. Bernanke’s testimony, came at an unusually turbulent time in financial markets, since it followed on the heels of the Fed’s announcement that it would temporarily open its discount window to the two troubled mortgage giants, Fannie Mae and Freddie Mac.
The actions to stabilize Fannie and Freddie occurred over the weekend as the Treasury secretary, Henry M. Paulson Jr., also called for Congress to approve emergency legislation giving the federal government power to inject billions of federal funds through investments and loans.
The actions announced Sunday echoed similar actions in mid-March, when the Fed moved to avert a financial collapse of the investment bank Bear Stearns by offering an emergency loan to facilitate its sale to JPMorgan Chase. At the same time, the Fed set up emergency lending facilities for major investment banks hit by the credit crunch.
“These steps to address liquidity pressures coupled with monetary easing seem to have been helpful in mitigating some market strains,” Mr. Bernanke said. But despite the “positive effects” of the Fed’s actions, he said that the problems of unstable markets continued because of “declining house prices, a softening labor market and rising prices of oil, food and some other commodities.”
After Mr. Bernanke’s testimony, Mr. Paulson and the chairman of the Securities and Exchange Commission, Christopher Cox, took center stage.
In prepared remarks, Mr. Paulson focused on the government’s efforts to assist Fannie Mae and Freddie Mac, complementing comments earlier by Mr. Bush, who urged Congress to pass housing legislation that would modernize federal regulatory procedures while stabilizing the two companies.
Continued confidence in the two companies “is important to maintaining financial system and market stability,” Mr. Paulson said. While lawmakers have said that they would attach the bailout plan to housing legislation, the timing was uncertain.
Representative Barney Frank, Democrat of Massachusetts and the chairman of the House Financial Services Committee, said Monday that a bill could be sent to President Bush by week’s end. But on Tuesday, Congressional Democrats said it would take at least until early next week for the House to act, citing resistance among some Republicans to the administration’s rescue plan for Fannie and Freddie.
In his testimony Tuesday, Mr. Paulson said Fannie and Freddie “are central to the availability of housing finance, which will determine the pace at which we emerge from this housing correction.”
“Our plan is aimed at supporting the stability of financial markets,” he said, “not just these two enterprises. This is consistent with Treasury’s mission to promote the market stability, orderliness and liquidity necessary to support our economy.”
In testimony before the Senate Banking Committee, Mr. Bernanke avoided the word “recession” in characterizing the current economy, noting instead that consumer spending and exports were keeping growth “at a sluggish pace” while the housing sector “continues to weaken.”
He added that spending for personal goods had “advanced at a modest pace so far this year, generally holding up somewhat better than might have been expected given the array of forces weighing on household finances and attitudes.”
While the risks to the overall economy were still “skewed to the downside,” he said, inflation “seems likely to move temporarily higher in the near term.”
Even as Mr. Bernanke fielded questions from senators, a different view of the economy emanated from the White House.
President Bush, speaking at a White House news conference that coincided with the Fed chair’s testimony, urged Americans to “take a deep breath.”
“My hope is — is that people take a deep breath and realize that their deposits are protected by our government,” the president said. He added that economic growth “was not the growth we’d like” but expressed confidence that the country would overcome “a time of uncertainty.” The nation’s troubled financial system is "basically sound," he added.
The president said that the economy and the pillars on which it rests were “basically sound.” And he dismissed questions about reports that wholesale prices rose 1.8 percent in June, the fastest 12-month inflation rate in more than a quarter century.
Mr. Bernanke’s mixed assessment of the economy appeared to signal that the Fed would not be lowering interest rates further in spite of the economic sluggishness, as it did earlier this year, out of concern that lower rates would spur more inflation. In June, the Fed declined to lower rates and instead suggested it might raise rates later in the year.
In his testimony, he was especially pessimistic about any easing of energy prices, dismissing suggestions that they were being driven by speculation in futures markets. Instead, he said high energy costs reflected the markets’ recognition that demand was outstripping supplies.
“Over the past several years, the world economy has expanded at its fastest pace in decades, leading to substantial increases in the demand for oil,” Mr. Bernanke said. “On the supply side, despite sharp increases in prices, the production of oil has risen only slightly in the past few years.”
President Bush’s remarks, and Mr. Bernanke’s testimony, came at an unusually turbulent time in financial markets, since it followed on the heels of the Fed’s announcement that it would temporarily open its discount window to the two troubled mortgage giants, Fannie Mae and Freddie Mac.
The actions to stabilize Fannie and Freddie occurred over the weekend as the Treasury secretary, Henry M. Paulson Jr., also called for Congress to approve emergency legislation giving the federal government power to inject billions of federal funds through investments and loans.
The actions announced Sunday echoed similar actions in mid-March, when the Fed moved to avert a financial collapse of the investment bank Bear Stearns by offering an emergency loan to facilitate its sale to JPMorgan Chase. At the same time, the Fed set up emergency lending facilities for major investment banks hit by the credit crunch.
“These steps to address liquidity pressures coupled with monetary easing seem to have been helpful in mitigating some market strains,” Mr. Bernanke said. But despite the “positive effects” of the Fed’s actions, he said that the problems of unstable markets continued because of “declining house prices, a softening labor market and rising prices of oil, food and some other commodities.”
After Mr. Bernanke’s testimony, Mr. Paulson and the chairman of the Securities and Exchange Commission, Christopher Cox, took center stage.
In prepared remarks, Mr. Paulson focused on the government’s efforts to assist Fannie Mae and Freddie Mac, complementing comments earlier by Mr. Bush, who urged Congress to pass housing legislation that would modernize federal regulatory procedures while stabilizing the two companies.
Continued confidence in the two companies “is important to maintaining financial system and market stability,” Mr. Paulson said. While lawmakers have said that they would attach the bailout plan to housing legislation, the timing was uncertain.
Representative Barney Frank, Democrat of Massachusetts and the chairman of the House Financial Services Committee, said Monday that a bill could be sent to President Bush by week’s end. But on Tuesday, Congressional Democrats said it would take at least until early next week for the House to act, citing resistance among some Republicans to the administration’s rescue plan for Fannie and Freddie.
In his testimony Tuesday, Mr. Paulson said Fannie and Freddie “are central to the availability of housing finance, which will determine the pace at which we emerge from this housing correction.”
“Our plan is aimed at supporting the stability of financial markets,” he said, “not just these two enterprises. This is consistent with Treasury’s mission to promote the market stability, orderliness and liquidity necessary to support our economy.”
Thursday, July 17, 2008
SEC issues emergency rule to curb short sales
U.S. securities regulators issued an emergency rule on Tuesday to limit certain types of short selling in major financial firms, including Fannie Mae and Freddie Mac.
The rule is the latest effort by the U.S. Securities and Exchange Commission to clamp down on market manipulation that some blame for the sharp declines in financial stocks and the demise of investment bank Bear Stearns in March.
The rule will go into effect on Monday, July 21, and last through July 29, although it could be extended to last up to 30 days. The SEC said it will consider rules to address short selling issues across the entire stock market.
The emergency rule applies to 19 financial firms including Lehman Brothers, Goldman Sachs, Merrill Lynch, Morgan Stanley, JPMorgan Chase & Co and Citigroup Inc.
The SEC said that a loss of confidence in markets can lead to panic selling, which may be further exacerbated by certain types of short selling.
"As a result, the prices of securities may artificially and unnecessarily decline well below the price level that would have resulted from the normal price discovery process," the SEC said. "If significant financial institutions are involved, this chain of events can threaten disruption of our markets."
Short sellers arrange to borrow shares they consider overvalued and sell them in hopes of making profit when the price drops.
With financial stocks dropping dramatically over the year, lawmakers have been calling on the SEC to investigate whether short sellers and speculators are behind the move.
Over the weekend, the SEC announced plans to crack down on false rumors and said it is examining whether broker dealers and investment advisers have controls in place to prevent market manipulation.
The agency's rule change would prevent investors from making "naked" short sales of the biggest financial stocks. A "naked" short sale occurs when an investor sells stock that has not yet been borrowed.
Broker-dealers will sometimes accidentally fail to deliver stocks to investors who have arranged to borrow a stock. If it is done intentionally, it is illegal.
"Today's commission action aims to stop unlawful manipulation through naked short selling that threatens the stability of financial institutions," SEC Chairman Christopher Cox said in a statement.
The emergency rule would require a short seller to borrow the securities before executing the sale. It would also require the investor to deliver the securities on the settlement date.
"The new rule will benefit the investment community and help bring more stability to the market," said Dylan Wetherill, president and founder of short interest tracking service ShortSqueeze.com.
"This rule would help relieve the extreme downward pressure on stocks that has helped fuel the market down to these levels," he said.
As of June 30, short sellers held about 14 percent of Fannie's outstanding stock, up from around 3 percent last August. For the same period, shorts held almost 12 percent of Freddie's outstanding stock, up from about 2.7 percent. They also held about 10 percent of Lehman's stock, up from 4.5 percent.
Short sellers say they prevent stocks from becoming overvalued and are an essential feature of the market.
"While no one in Washington did their job, now they are trying to blame short sellers," said William Fleckenstein, president of Fleckenstein Capital, which manages a Seattle-based hedge fund.
"Short sellers don't make stocks go down. If a short seller was trying to push a stock to a price where it didn't belong, it would come back right away," said Fleckenstein, who is not currently short the investment banks or Fannie or Freddie. He had a short position on Fannie, which he covered on Tuesday.
Earlier, Cox told a Senate Banking Committee hearing that the emergency rule would be more effective than the so-called tick test rule, which was repealed June 2007.
The tick test rule only allowed short sales when the last sale price was higher than the previous price. That meant a trader could not short a stock if the movement prior to the short sale was down.
Cox said the SEC is going to look at whether some other kind of a price test might be useful for "circumstances such as those we find ourselves in now."
"We are very open to that," said Cox.
The tick test rule, adopted a decade after the 1929 stock market crash, was designed to prevent short sellers from adding to the downward pressure on a stock that is already falling sharply.
The SEC has already proposed another rule to curb naked short selling abuses and prevent market price manipulation. It is not known when the SEC will adopt this rule.
The agency identified the following securities affected by its order:
* BNP Paribas Securities Corp (BNPQF.PK) (BNPQY.PK)
* Bank of America Corp (BAC.N)
* Barclays PLC (BCS.N)
* Citigroup Inc (C.N)
* Credit Suisse Group (CS.N)
* Daiwa Securities Group Inc (DSECY.PK)
* Deutsche Bank Group AG (DB.N)
* Allianz SE (AZ.N)
* Goldman Sachs Group Inc (GS.N)
* Royal Bank ADS (RBS.N)
* HSBC Holdings Plc ADS (HBC.N)
* JPMorgan Chase & Co (JPM.N)
* Lehman Brothers Holdings Inc (LEH.N)
* Merrill Lynch & Co Inc (MER.N)
* Mizuho Financial Group Inc (MFG.N)
* Morgan Stanley (MS.N)
* UBS AG (UBS.N)
* Freddie Mac (FRE.N)
* Fannie Mae (FNM.N)
The rule is the latest effort by the U.S. Securities and Exchange Commission to clamp down on market manipulation that some blame for the sharp declines in financial stocks and the demise of investment bank Bear Stearns in March.
The rule will go into effect on Monday, July 21, and last through July 29, although it could be extended to last up to 30 days. The SEC said it will consider rules to address short selling issues across the entire stock market.
The emergency rule applies to 19 financial firms including Lehman Brothers, Goldman Sachs, Merrill Lynch, Morgan Stanley, JPMorgan Chase & Co and Citigroup Inc.
The SEC said that a loss of confidence in markets can lead to panic selling, which may be further exacerbated by certain types of short selling.
"As a result, the prices of securities may artificially and unnecessarily decline well below the price level that would have resulted from the normal price discovery process," the SEC said. "If significant financial institutions are involved, this chain of events can threaten disruption of our markets."
Short sellers arrange to borrow shares they consider overvalued and sell them in hopes of making profit when the price drops.
With financial stocks dropping dramatically over the year, lawmakers have been calling on the SEC to investigate whether short sellers and speculators are behind the move.
Over the weekend, the SEC announced plans to crack down on false rumors and said it is examining whether broker dealers and investment advisers have controls in place to prevent market manipulation.
The agency's rule change would prevent investors from making "naked" short sales of the biggest financial stocks. A "naked" short sale occurs when an investor sells stock that has not yet been borrowed.
Broker-dealers will sometimes accidentally fail to deliver stocks to investors who have arranged to borrow a stock. If it is done intentionally, it is illegal.
"Today's commission action aims to stop unlawful manipulation through naked short selling that threatens the stability of financial institutions," SEC Chairman Christopher Cox said in a statement.
The emergency rule would require a short seller to borrow the securities before executing the sale. It would also require the investor to deliver the securities on the settlement date.
"The new rule will benefit the investment community and help bring more stability to the market," said Dylan Wetherill, president and founder of short interest tracking service ShortSqueeze.com.
"This rule would help relieve the extreme downward pressure on stocks that has helped fuel the market down to these levels," he said.
As of June 30, short sellers held about 14 percent of Fannie's outstanding stock, up from around 3 percent last August. For the same period, shorts held almost 12 percent of Freddie's outstanding stock, up from about 2.7 percent. They also held about 10 percent of Lehman's stock, up from 4.5 percent.
Short sellers say they prevent stocks from becoming overvalued and are an essential feature of the market.
"While no one in Washington did their job, now they are trying to blame short sellers," said William Fleckenstein, president of Fleckenstein Capital, which manages a Seattle-based hedge fund.
"Short sellers don't make stocks go down. If a short seller was trying to push a stock to a price where it didn't belong, it would come back right away," said Fleckenstein, who is not currently short the investment banks or Fannie or Freddie. He had a short position on Fannie, which he covered on Tuesday.
Earlier, Cox told a Senate Banking Committee hearing that the emergency rule would be more effective than the so-called tick test rule, which was repealed June 2007.
The tick test rule only allowed short sales when the last sale price was higher than the previous price. That meant a trader could not short a stock if the movement prior to the short sale was down.
Cox said the SEC is going to look at whether some other kind of a price test might be useful for "circumstances such as those we find ourselves in now."
"We are very open to that," said Cox.
The tick test rule, adopted a decade after the 1929 stock market crash, was designed to prevent short sellers from adding to the downward pressure on a stock that is already falling sharply.
The SEC has already proposed another rule to curb naked short selling abuses and prevent market price manipulation. It is not known when the SEC will adopt this rule.
The agency identified the following securities affected by its order:
* BNP Paribas Securities Corp (BNPQF.PK) (BNPQY.PK)
* Bank of America Corp (BAC.N)
* Barclays PLC (BCS.N)
* Citigroup Inc (C.N)
* Credit Suisse Group (CS.N)
* Daiwa Securities Group Inc (DSECY.PK)
* Deutsche Bank Group AG (DB.N)
* Allianz SE (AZ.N)
* Goldman Sachs Group Inc (GS.N)
* Royal Bank ADS (RBS.N)
* HSBC Holdings Plc ADS (HBC.N)
* JPMorgan Chase & Co (JPM.N)
* Lehman Brothers Holdings Inc (LEH.N)
* Merrill Lynch & Co Inc (MER.N)
* Mizuho Financial Group Inc (MFG.N)
* Morgan Stanley (MS.N)
* UBS AG (UBS.N)
* Freddie Mac (FRE.N)
* Fannie Mae (FNM.N)
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