2018 mkt recap 关于市场几点感悟

市场recap https://mp.weixin.qq.com/s/rIP5l3RUH-cHmYCe849qWw 第一点,早在今年年中,JP出了一份研报讲美国股市跟世界其他股指的累计收益差距是历史最大,而且这种趋势前所未见。(原本以为我在biweekly recap里面应该有讲,结果没看到。。尴尬)当时市场的预期是,要么美股risk off,跌下去,要么其他股市pick up。当时解决的美股risk off可能性大一些,现在回过头来看市场证明了这点。 第二点,从九十月份开始,市场就在讲各类产品收益率普遍不好,那个时候就应该更坚定的把配置多放在money mkt上。现在看起来,我最后的操作是stock/bond/cash的比例从大约从70/30/0调整到50/45/5,现在看起来还是太保守,明明知道债市表现跟股市一样差,还是应该把钱拿出来放money mkt,熊市保本还是没有做到。 第三点:科技股。庆幸的是,自己没有盲目追求科技股。除了FB,当时因为用户数据泄露超跌,在160入了下,没有其他position。但后来发现FB喋喋不休。。从180跌倒120,加上市场上科技股普遍表现不好,加剧了下跌。。。再加上后续一直有负面消息,有种FB要掉队的感觉。。。 不过总体FB仓位很低,风险可控。对科技股泡沫有预期这点很坚定。 总结,2018的市场表现给我最大的两个收获,第一个是在2017年各类资产收益创出新高,但经济(美国)稳中向好的时候,该如何做2018市场的展望。当时认定经济扩张从上游传导到下游消费市场,应该看到retail的扩张。后来事实证明2018上半年retail收益也是不错的。但这个策略没有坚持下来。。第二个是当到2018下半年,贸易战,经济指标出现差异,加息带来的市场下行的压力增大,结合一个资产表现极好的2017-2018上半年,导致2018下所有资产类别压力都很大。在这个时候如何调整资产配置,就像我之前论述的一样,应该果断调整,持有cash。

TSLA Analysis:Overprice | Underweight

TSLA Analysis Overprice | Underweight • Distinguish product, unique business model, cutting edge technology. No legacy burden such as pension, OPEB… • However, all above factors have been priced in a lot, even with bolder forecast in model 3 volume. • The street valuation is given by a combination of lots of valuation factors and … Continue reading TSLA Analysis:Overprice | Underweight

Financial repression

Financial repression is a term used to describe measures sometimes used by governments to boost their coffers and/or reduce debt. These measures include the deliberate attempt to hold down interest rates to below inflation, representing a tax on savers and a transfer of benefits from lenders to borrowers. Financial repression is also used to describe … Continue reading Financial repression


Traditionally, investors gain exposure to the market’s volatility through standard call and put options, derivatives that also depend on the price level of the underlying asset. By trading derivatives on variance and volatility, investors can take views on the future realized volatility directly. The simplest such instruments are variance and volatility swaps. A volatility swap … Continue reading VARIANCE AND VOLATILITY SWAPS

The Rebalancing Premium

The principle behind a traditional 60/40 investment portfolio is balancing two asset classes – large-cap U.S. stocks and U.S. bonds. The rationale is that U.S. stocks and bonds have low performance correlation – historically, bond funds seldom have had negative annual returns, while stock funds lost money in a calendar year nearly 30% of the … Continue reading The Rebalancing Premium

Calculation of Sharpe Ratio, which method should I use

Recently, I deeply got involved in calculating the Sharpe Ratio for different portfolios, and sometimes the Sharpe Ratio is very high for (unknown) some reason. Then I went through some web page and try to figure out what’s the typical way to calculate the Sharpe ratio. Start from this link: http://quant.stackexchange.com/questions/10390/sharpe-ratio-annualized-monthly-returns-vs-annual-returns-vs-annual-rolling-ret And, clearly, there is more … Continue reading Calculation of Sharpe Ratio, which method should I use

Arithmetic vs. Logarithmic Rates of Return

Say you hold a stock as it increases from $100 to $105. Usually, this is reported as a return of 5%. The formula for this return (which we’ll call arithmetic) is as follows: This simple definition of return serves us well for most uses, but there are some quirks that make arithmetic returns difficult to … Continue reading Arithmetic vs. Logarithmic Rates of Return