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Con-tango » Journal

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To a trader's journey. Archived entries for Journal. April 17, 2007. China has been growing with a whopping yearly GDP of at least 10% for the past 4 years. Although voices questioning its stability are sounding louder and louder from both sides of the fence. From Treasury Secretary Paulson’s last week comments to the G7 Finance Ministers statements, all seem to agree with Premier Wen Jiabao’s statements. Growth is unstable, imbalanced, uncoordinated and. February 2, 2007. I chickened out…. RSI, Williams...

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Con-tango » Greenpan’s conundrum I

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To a trader's journey. July 31, 2006. Greenpan’s conundrum I. I thought I had enough of Greenspan’s conundrum with all the litter. I spilled the other day at JD Hamilton’s excellent yield curve presentation. But, I was drawn in once again by reading knzn’s CB bank bond and US. Interest rates purchases presentation. At his well argued. In his post, knzn cautions singling out foreign CBs as being the. Sole culprits of lowering long term rates; I tend to agree that a. In his own words:. And, what’s wrong wi...

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Con-tango » Lessons

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To a trader's journey. Archived entries for Lessons. December 2, 2011. The Regression to the Mean. Playing Dice by René Schützenberger (circa 1910). Peter Bernstein’s Against the Gods. Captivating history of risk rekindled and made me look with new eyes the. Regression to the mean. Trading approach where many good methods take their cue. January 30, 2007. Hilary Till, Principal Premia Capital Management, LLC. Continuing with Hilary Till’s study. The next interesting find is the. September 27, 2006. Curl ...

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Con-tango » The Regression to the Mean

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To a trader's journey. December 2, 2011. The Regression to the Mean. Playing Dice by René Schützenberger (circa 1910). Peter Bernstein’s Against the Gods. Captivating history of risk rekindled and made me look with new eyes the. Regression to the mean. Trading approach where many good methods take their cue. Let’s walk this through the simple throws of a six face die. The probability of landing any face after a throw is 1/6, and it’s average 3.5 (adding 1 through 6, and dividing by 6). December 10 &mdash...

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Con-tango » The train wreck

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To a trader's journey. April 4, 2010. Photo Courtesy of Dennis Mitchell. I’ve recently had to recall the discussions held when things were looking good in 2005 of the imminent derailing of the US Treasury purchasing by the Chinese. The tenets of those ideas still hold true, the Chinese will have to discontinue at some point in the future their mercantile policy of increasing market share at the expense of debasing their own holdings of US Treasurys. Apparently, China is changing its portfolio policy.

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Con-tango » Economy

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To a trader's journey. Archived entries for Economy. November 26, 2008. Fed throws lifeline to home buyers. Reuters article, the Fed announced a new rescue package of $800 billion USD to lower the cost of home purchases, credit card and student loans. Under the new mortgage program, the Fed will buy up to $100 billion of debt issued by government-sponsored mortgage enterprises Fannie Mae, Freddie Mac and the Federal Home Loan Banks. So, the Fed is playing its role as lender of last resort, lending to Fre...

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Con-tango

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To a trader's journey. October 25, 2008. Bloomberg article, I thought it would be interesting to see a list of companies with their CDS prices, which shows how the market is pricing their relative risk to a debt default. Upfront, plus 5 % per year to protect 100 %. Markit iTraxx Crossover Index. Mostly European high-yield, high-risk companies. Contracts on Peabody Energy. Largest US coal miner. October 25, 2008. Bloomberg article I learn the tally on the markets pain, so far…. Index is down more than 40 ...

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Con-tango » Views

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To a trader's journey. Archived entries for Views. July 10, 2010. Twitter, your warm tap lobbyist. It amazes me to see how Twitter can be so successful by focusing on providing the tiniest service possible. There’s no doubt we’re hardwired to communicate with each other, which makes a lot of sense, the more people we know, the better. April 4, 2010. Photo Courtesy of Dennis Mitchell. Apparently, China is changing its portfolio policy. November 26, 2008. Fed throws lifeline to home buyers. The central ban...

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Con-tango » Methods

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To a trader's journey. Archived entries for Methods. December 2, 2011. The Regression to the Mean. Playing Dice by René Schützenberger (circa 1910). Peter Bernstein’s Against the Gods. Captivating history of risk rekindled and made me look with new eyes the. Regression to the mean. Trading approach where many good methods take their cue. January 30, 2007. Hilary Till, Principal Premia Capital Management, LLC. Continuing with Hilary Till’s study. The next interesting find is the. January 27, 2007. Method&...

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Con-tango » From Paulson to Wall Street

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To a trader's journey. November 12, 2008. From Paulson to Wall Street. I guess everybody is as shocked with Paulson’s change of heart…. Instead of the 3 pager proposal to request $700 billion, 1 page for the title, 1 for the thank you and goodbye, and 1 single page with the gravy of the plan; now, he doles out an “I’m not afraid to make changes if the facts change”. But, we didn’t. Human nature, I guess. High price to pay, though. Fantastic piece by Michael Lewis, which he wrote in his early twenty&#8217...