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Drawing the line : First trading month

TheEconomist

Intrarea postată de TheEconomist ·

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Well, a yield of 41% surely beats the hell of the Barclay's Hedge Fund Index :P

 

http://img222.imageshack.us/img222/4685/tradereportoct26ou2.jpg

 

This result was at a DiscountedBasis value of about 2 points. I have to mention that starting from morning of Oct 25, right after Globex respawn, the DiscountedBasis indicator, which was working at -5...-3 for about two weeks jumped around 0 and is averagely positive, meaning that the 6J future (direct quote) is slightly underpriced, compared with last week, when it was a bit overpriced (compared to the theoretical value). That means there is still room for average length arbitrages, shorter than a month.

 

The strategy risks are practically extinct. But the moral hazard risks?.... Don't ask!

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Vizitator Andi

Vizitator Andi

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Looks good - hope, once you are done, you get your money out...

Looking forward for your new Bonds strategy (oops, your readers are now listening *g*)

 

Greetings, Andi.

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TheEconomist
Looks good - hope, once you are done, you get your money out...

Looking forward for your new Bonds strategy (oops, your readers are now listening *g*)

 

Greetings, Andi.

 

Hi, Andi

 

It would be nice to start designing the Bond Arbitrage. In our terms, so we could understand it. But, for this I need lots of data... And I have nothing now!

 

Regards,

Bogdan

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juangecko

Hi Bog and Andi,

Bog, your strategy is running smoothly..i hope you will be able to wire out the money...Do some trades ;)

If understood the idea of the Bond Arb there is a problem if the yield spread of the highest yield bond increases against the lower yiled bond. So this startegy it is not risk free and if you are highly leveraged might "kill" your account.

Best wishes

 

Juan

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juangecko

Bog, could you post a chart with the basis (difference between CFD and spot) of 6J and USDJPY. I think it is very interesting to see how it moves ..1 month would be cool. I think in the last days the basis has come down considerably from 48pips to 38 pips.

Could you do that for me..?

Thxs :smile:

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Vizitator
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