Wann und wie kommt der nächste Crash? - Älteste Beiträge zuerst (Seite 7)
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Feedback
Der Crash wird kommen,
wie das Amen in der Kirche
Bedankt euch bei
Merkel Seehofer M.Schulz
wie das Amen in der Kirche
Bedankt euch bei
Merkel Seehofer M.Schulz
Antwort auf Beitrag Nr.: 56.783.815 von Claptoni am 21.01.18 21:43:12
Solange keine Nazis regieren passiert nichts
Zitat von Claptoni: Der Crash wird kommen,
wie das Amen in der Kirche
Bedankt euch bei
Merkel Seehofer M.Schulz
Solange keine Nazis regieren passiert nichts
Rogoff denkt: China
https://www.fuw.ch/article/rogoff-china-is-the-leading-candi…
https://mailchi.mp/cumber.com/cumberland-advisors-market-com…
"3. The global impact of the short-term rate change can be profound. About $150 trillion in US dollar-denominated debt and notional derivatives is tied to this rate policy. Thus about half of the entire world financial system and debt structure undergoes a shift between lenders and borrowers as short-term rates change. Each single basis point (1/100th of 1%) equates to an annualized rate of transfer of $15 billion. That is the first-order effect. The second-order effects are found in the actions of market agents as each responds to the Fed’s policy change. Economic agents like businesses and households react, too, but do so with a greater time lag than financial markets."
"3. The global impact of the short-term rate change can be profound. About $150 trillion in US dollar-denominated debt and notional derivatives is tied to this rate policy. Thus about half of the entire world financial system and debt structure undergoes a shift between lenders and borrowers as short-term rates change. Each single basis point (1/100th of 1%) equates to an annualized rate of transfer of $15 billion. That is the first-order effect. The second-order effects are found in the actions of market agents as each responds to the Fed’s policy change. Economic agents like businesses and households react, too, but do so with a greater time lag than financial markets."
Antwort auf Beitrag Nr.: 56.936.282 von R-BgO am 05.02.18 16:53:33http://mrzepczynski.blogspot.de/2018/02/vix-index-move-was-h…
"The market should be concerned about this move* because so much money is now associated with volatility targeting and short volatility strategies. Take the simple case of volatility targeting. The increase in volatility will have to be offset with position selling to get portfolio volatility back to target levels. This will create a negative feedback loop. The selling will lead to more volatility and further selling. This should concern any investor. The effort of trying to employ better risk management will create more risk."
*gemeint ist der VIX
"The market should be concerned about this move* because so much money is now associated with volatility targeting and short volatility strategies. Take the simple case of volatility targeting. The increase in volatility will have to be offset with position selling to get portfolio volatility back to target levels. This will create a negative feedback loop. The selling will lead to more volatility and further selling. This should concern any investor. The effort of trying to employ better risk management will create more risk."
*gemeint ist der VIX
Trading Spotlight
Antwort auf Beitrag Nr.: 56.952.461 von R-BgO am 06.02.18 18:13:16http://www.mauldineconomics.com/the-10th-man/you-cant-unring…
"XIV did exactly what it was supposed to do—make money for six years and give it all back in one day. That’s short vol.
If the entire market is dependent on low volatility, what is the likelihood that stocks have made money for six years and will give it all back in one day?
Not zero.
Over the last few days, there has been a lot of vol selling going on. People are trying hard to unring the bell.
But you can’t. Volatility is back, and there’s nothing you can do about it."
"XIV did exactly what it was supposed to do—make money for six years and give it all back in one day. That’s short vol.
If the entire market is dependent on low volatility, what is the likelihood that stocks have made money for six years and will give it all back in one day?
Not zero.
Over the last few days, there has been a lot of vol selling going on. People are trying hard to unring the bell.
But you can’t. Volatility is back, and there’s nothing you can do about it."
Antwort auf Beitrag Nr.: 56.974.979 von R-BgO am 08.02.18 17:05:51The Volatility Trade Flash Crash Explained
https://www.cmgwealth.com/ri/radar-volatility-flash-crash-ex…
One of my big risk concerns is the unknown amount of money in the risk parity trade. Essentially, volatility drives the weighting decisions. If equity market vol is low, then equities get a weighting. If equity market vol picks up, then, by rule, the risk parity strategies rebalance their exposures… in this case, reduce equity market exposure. They are mathematically-driven strategies and all essentially use very similar volatility measurements.
The more popular a strategy, the more money on the same side of the same trade and when you shift, you get more sellers than buyers all at the same time. I’m not saying it is a bad strategy… who am I to question Ray Dalio? I’m just saying I’m concerned that there is so much money, much of it levered, on the same side of the same trade. How the managers execute their rebalancing becomes more challenging.
Now with that said, I believe this past week’s rout was tied to the unwinding of the VIX trade. I touched on that in the intro above but do want to share with you several links offering varying opinions below. The inside baseball, via my industry connections, is that managed futures managers are taking a beating. We’ll see those partnership marks at February month-end.
Now put on your geek propeller beanie and read the following from two good friends and smart/experienced managers, Artie Grizzle and Charles Culver from Martello Investments:
Takeaways from Monday’s Move:
1 We take some comfort in the fact that our tactical approach got us out of the trade. Monday was a classic panic. Those that tried to “buy the dip” without understanding the impact the move had on the underlying futures and the mechanics of the ETPs have likely experienced unrecoverable catastrophic losses in their positions. Our approach caught levels of increasing risk in the weeks leading up to Monday’s move. We feel this illustrates the benefit of using a data-driven, value-focused methodology to help manage risk, especially in these extremely risky securities.
2 The move on Monday drives home the idea that sizing positions appropriately is critical, appropriately reflecting the risk in the trade. Investors that utilized a static allocation to XIV in their portfolios without active trading may now, in retrospect, know fully why position sizing was crucial to limiting the damage from this violent move. Paraphrasing our December commentary:
The role of short-volatility strategies as a portion of a total portfolio must be properly framed. We think about short-vol exposure as equity-replacement; as the VIX is based primarily on the price of S&P put options, short-VIX exposure is inherently equity-sensitive. From 2011-2017, the XIV’s beta to the S&P was over 4.5. This means that you can potentially use a 1% position in XIV to replicate a 4.5% equity position. Using this logic, a small portion of XIV in the equity portion of a portfolio (5% or so) can impact the total portfolio similarly to a 22.5% position in a stock index. Using short-vol as an equity-replacement strategy, then, would allow investors to free up additional capital and invest more defensively, putting less capital at risk and potentially limiting total portfolio risk and drawdown, while keeping the same return potential as a higher equity portfolio.
3 XIV has been terminated. We reached out to VelocityShares (the company behind XIV) to gauge the probability that they would relaunch the strategy in the future. So far, we have not heard back from them, as we’d imagine they are dealing with a lot over there. As of the time of this writing, ProShares has signaled its intent to keep SVXY open.
4 The move Monday is a reminder of the power of the reflexivity of volatility, the impact of leverage in the system, and the prevalence of vol-based strategies in the market. It is probably not coincidental that this move took place after one of the worst weeks for risk parity strategies in the last several years. From our December commentary:
In addition, we have discussed in other commentaries the reflexive nature of low equity volatility, meaning that falling volatility is a positive feedback loop that begets even lower volatility. Strategies that use volatility as a portfolio weighting mechanism — some examples include risk-parity, trend-based strategies, and VAR-focused approaches — continue to add to positions as volatility falls, further lowering volatility. This reflexive nature of volatility increases shock risk, particularly with the amount of leverage in the system, because rising volatility forces selling to decrease risk, which potentially begets even higher volatility, causing more selling, and so on.
And our May 2017 Commentary:
Low volatility does present inherent risks to portfolio construction, particularly for certain types of strategies that use backward-looking volatility metrics for position sizing and risk management. A well-known version of this is a metric known as Value-at-Risk (VaR); VaR’s role in the 1998 LTCM downfall and 2007-2008 credit crisis has been widely covered. Essentially, these types of models rely on, among other things, trailing historical volatility to infer how much a portfolio can lose in a given period. With such a prolonged period of benign markets, these strategies are susceptible to volatility shocks, as complacent investor behavior causes an undervaluation of the real potential losses of the portfolio. The real risk in the portfolio is only realized ex-post, when the volatility environment changes and a market shock occurs. Particularly for strategies with leverage, this could potentially lead to a cascade effect, whereby increased volatility causes further selling pressure, further raising volatility, and so on.
https://www.cmgwealth.com/ri/radar-volatility-flash-crash-ex…
One of my big risk concerns is the unknown amount of money in the risk parity trade. Essentially, volatility drives the weighting decisions. If equity market vol is low, then equities get a weighting. If equity market vol picks up, then, by rule, the risk parity strategies rebalance their exposures… in this case, reduce equity market exposure. They are mathematically-driven strategies and all essentially use very similar volatility measurements.
The more popular a strategy, the more money on the same side of the same trade and when you shift, you get more sellers than buyers all at the same time. I’m not saying it is a bad strategy… who am I to question Ray Dalio? I’m just saying I’m concerned that there is so much money, much of it levered, on the same side of the same trade. How the managers execute their rebalancing becomes more challenging.
Now with that said, I believe this past week’s rout was tied to the unwinding of the VIX trade. I touched on that in the intro above but do want to share with you several links offering varying opinions below. The inside baseball, via my industry connections, is that managed futures managers are taking a beating. We’ll see those partnership marks at February month-end.
Now put on your geek propeller beanie and read the following from two good friends and smart/experienced managers, Artie Grizzle and Charles Culver from Martello Investments:
Takeaways from Monday’s Move:
1 We take some comfort in the fact that our tactical approach got us out of the trade. Monday was a classic panic. Those that tried to “buy the dip” without understanding the impact the move had on the underlying futures and the mechanics of the ETPs have likely experienced unrecoverable catastrophic losses in their positions. Our approach caught levels of increasing risk in the weeks leading up to Monday’s move. We feel this illustrates the benefit of using a data-driven, value-focused methodology to help manage risk, especially in these extremely risky securities.
2 The move on Monday drives home the idea that sizing positions appropriately is critical, appropriately reflecting the risk in the trade. Investors that utilized a static allocation to XIV in their portfolios without active trading may now, in retrospect, know fully why position sizing was crucial to limiting the damage from this violent move. Paraphrasing our December commentary:
The role of short-volatility strategies as a portion of a total portfolio must be properly framed. We think about short-vol exposure as equity-replacement; as the VIX is based primarily on the price of S&P put options, short-VIX exposure is inherently equity-sensitive. From 2011-2017, the XIV’s beta to the S&P was over 4.5. This means that you can potentially use a 1% position in XIV to replicate a 4.5% equity position. Using this logic, a small portion of XIV in the equity portion of a portfolio (5% or so) can impact the total portfolio similarly to a 22.5% position in a stock index. Using short-vol as an equity-replacement strategy, then, would allow investors to free up additional capital and invest more defensively, putting less capital at risk and potentially limiting total portfolio risk and drawdown, while keeping the same return potential as a higher equity portfolio.
3 XIV has been terminated. We reached out to VelocityShares (the company behind XIV) to gauge the probability that they would relaunch the strategy in the future. So far, we have not heard back from them, as we’d imagine they are dealing with a lot over there. As of the time of this writing, ProShares has signaled its intent to keep SVXY open.
4 The move Monday is a reminder of the power of the reflexivity of volatility, the impact of leverage in the system, and the prevalence of vol-based strategies in the market. It is probably not coincidental that this move took place after one of the worst weeks for risk parity strategies in the last several years. From our December commentary:
In addition, we have discussed in other commentaries the reflexive nature of low equity volatility, meaning that falling volatility is a positive feedback loop that begets even lower volatility. Strategies that use volatility as a portfolio weighting mechanism — some examples include risk-parity, trend-based strategies, and VAR-focused approaches — continue to add to positions as volatility falls, further lowering volatility. This reflexive nature of volatility increases shock risk, particularly with the amount of leverage in the system, because rising volatility forces selling to decrease risk, which potentially begets even higher volatility, causing more selling, and so on.
And our May 2017 Commentary:
Low volatility does present inherent risks to portfolio construction, particularly for certain types of strategies that use backward-looking volatility metrics for position sizing and risk management. A well-known version of this is a metric known as Value-at-Risk (VaR); VaR’s role in the 1998 LTCM downfall and 2007-2008 credit crisis has been widely covered. Essentially, these types of models rely on, among other things, trailing historical volatility to infer how much a portfolio can lose in a given period. With such a prolonged period of benign markets, these strategies are susceptible to volatility shocks, as complacent investor behavior causes an undervaluation of the real potential losses of the portfolio. The real risk in the portfolio is only realized ex-post, when the volatility environment changes and a market shock occurs. Particularly for strategies with leverage, this could potentially lead to a cascade effect, whereby increased volatility causes further selling pressure, further raising volatility, and so on.
Antwort auf Beitrag Nr.: 56.991.755 von R-BgO am 10.02.18 10:11:14
Gegenposition:
https://www.aqr.com/library/aqr-publications/not-risk-parity… in Australien dürfte auch was gehen,
der Typ hier beschreibt es schön zurückhaltend: https://capitalistexploits.at/2018/02/58-wipeout-best-case/"All (yes, all) property bubbles that have exceeded 3.5x GDP have subsequently fallen by at the smallest 58%.
The reasons are as simple as Paris Hilton.
Joey with negative equity is no longer a buyer. The only way this entire squadron of buyers remain buyers is when property prices go up.
When they begin to go down, however, they completely vaporise from the market. Perhaps this is why property prices rarely fall by 15% or even 25% at the end of a spectacular boom. They go down hard.
Some other interesting numbers for you to consider.
35.4% of home loans are interest-only. This figure has already dropped from above 40% following APRA’s cap on the amount of new interest-only loans."
Vier Billionen Dollar leer verkauft: Die flache Zinskurve in den USA warnt vor einer Rezession
Spekulanten in den USA wetten vier Billionen Dollar auf steigende Zinsen in naher Zukunft. Liegen sie richtig, dann flacht sich die Zinskurve in den USA weiter ab - das wäre eines der deutlichsten Warnsignale für eine Rezession.Quelle:
https://www.focus.de/finanzen/boerse/verlaesslicher-indikato…
Kurseinbruch in 6 bis 24 Monaten ?
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