Money Market Instrument 12/16/2008 11:36
好几天忘了看金融信息,今天发现Fed又要降息了。
学到的东西终于帮助我能够看懂多一些新闻了。

比如说,今天新闻里讲到的降息,指的是下面的Fed Fund Rates.
因为Fed member 银行必须要往联邦储蓄银行放储蓄金,有的银行有时有短缺,有的银行有时有盈余,联邦储蓄成员银行之间于是根据供求互相短期借贷(一般是隔夜借还)。那么储蓄银行怎么调解这个根据供需调整的利率呢?不能像discount rate 是行政调节,联邦储蓄通过自己在公开市场上的买卖来调节供需,目标是买卖的量将利率调整到目标水平 (the target rate) - 这是联邦储蓄的一项货币政策 我靠 (意识到我在北大的时候就学过的)。

货币政策是通过影响利率调整投资投向,联储率的调整会影响以下所有短期利率。

联储向市场投放货币,货币增加利率降低,利率降低投资者会转向投资 - bond, stocks, real estates, 于是经济复活。这是思路,但目前的将息,如今天新闻所分析的,更多的应该是打强心剂。

因为货币政策生效慢,财政的直接刺激效果来得快。但目前财政刺激下,效果也没出来,只好双管齐下,死驴还活不过来的话,也差不多黔驴技穷了吧?



Short term securities:

1. T-bill: short-term (13 wk, 26wk) government security issued at a discount from face value & will return with the face amount at maturity. It is taxable at the Fed level, but is exempt from all state and local taxes - this is the difference from other MM instruments. It is a highly liquid with low-risk debt.

2. Prime Rate: it is the interest rate when commerical banks lend to Corporations (with 15-20% as deposit w/o intereste in the bank).

3. Discount rate: Is the rate when FedRev lend to Banks (member of FedRev), set by Fed. It has opposite relationship with interest rate.

4. Fed Fund rate: overnight bank to bank (both Fed Rev member banks) rate. Fed Fund: at end of day banks suppose to deposit to FedRev 15-20% deposits - Funds in the accounts of commerical banks at the REd Reserve Bank.

5. Call money: Bank lends to Broker and Broker lends to Stock buyer. If bank calls the money, the broker has to pay immediately.

6. Commerical paper: large Corp to large Corp lending. It is unsecure; usually <270 day of maturity; sold at discount from face value; backed up by a bank's credit line; between very credit worthy corps; large denomination and the main benefit is low cost - much lower than the prime rate.

7. CD: a bank time deposit: large denom: can be sold at secondary market.

8. Banker's acceptance: an oder to a bank by a soustomer to pay a sum of money at future date. Usually happens between importers and exporters.

9. Euro Dollars: dollar-denominated deposits at foreign banks or foreign brances of U.S. bank, big sum, less than 6 months.

10. London Interloan offered rates (LIBOR): leanding rate among banks in the London market like Fed Funds rate. It is a statistic wildely followed by investors as reference rate.

11. Overnight Repurchase Rate (REPOS): Short-term sales of gov sec w/ an agreement to repurchase the sec at a higher price the enxt day.

www.sec.org\edgar.shtml
借此讨论一下这次危机中表现比较好的mutual fund?
rogerlee at 12/16/2008 11:38 快速引用
Whichever is bet on shorting the market... However, most mutual funds are banned from shorting...

rogerlee :
借此讨论一下这次危机中表现比较好的mutual fund?
pompano at 12/16/2008 11:43 快速引用
One more important:
TED spread -- the difference between 3-month LIBOR (inter-bank rate) and the 3-month Treasury bill (risk-free rate), shows the willingness of banks to lend to each other relative to the government (proxy for bank risk aversion).

Since the peaks seen during the week of Oct. 10, 2008, inter-bank lending rates, both on an absolute basis (LIBOR) and relative to Treasury yields (TED spread), have declined significantly. This is the first sustained decline in these rates since the spring of 2008, although inter-bank rates are still very high relative to Treasury yields on a historical basis (and were even significantly higher than early September 2008). Commercial paper rates also have declined from their peaks, but still remain elevated compared to levels in mid-September.
pompano at 12/16/2008 11:48 快速引用
Longer-term borrowing rates stood at historically high levels at the end of October 2008. Long-term rates provide a gauge for how well corporations, municipalities, and other borrowers are able to fund their long-term borrowing needs.

Mortgage rates (conforming) -- borrowing cost for a 30-year, fixed-rate mortgage loan.
Investment-grade corporate bonds -- rate at which high-credit-quality companies borrow.
High-yield corporate bonds -- rate at which lower-credit-quality companies borrow.
Municipal bonds -- rate at which municipalities borrow, including obligations of states, cities, hospitals, and universities.

Overall, long-term borrowing rates are at extremely high levels and most continued to deteriorate through the end of October (see table below). Corporate borrowing rates, for both investment-grade and high-yield companies, spiked to absolute yield levels not seen in at least two decades and yield spreads (relative to safe Treasury yields) rose to the highest levels on record. Municipalities suffered similar results, as muni bond yields rose to record highs relative to Treasury bond yields. Fixed 30-year mortgage rates failed to follow the 10-year Treasury bond yield lower and ended October higher than a year ago.
pompano at 12/16/2008 11:49 快速引用
Big Ben should be sent to jail.

wildcrane :
好几天忘了看金融信息,今天发现Fed又要将息了。
xiaoqiang at 12/16/2008 11:50 快速引用
1. Short-Term Credit Indicators represented by the following: LIBOR -- 3-Month London Interbank Offered Rate; TED Spread -- the difference between yields on three-month Treasury yields bills and inter-bank EuroDollar rates (three-month LIBOR); Commercial Paper -- 3-Month A2/P2/F2 Nonfinancial Commercial Paper.

2. Long-Term Credit Indicators represented by the following: Mortgage Rates -- FHLMC 30-Year Fixed Rate Mortgage Rate; Investment-Grade Bonds -- Lehman Brothers (LB) Corporate Bond Index; High Yield Bonds -- Merrill Lynch High Yield Bond Master II Index; Municipal Bonds -- LB Municipal Bond Index.

You cannot invest directly in an index.

The Merrill Lynch High-Yield Bond Master II Index is an unmanaged index that tracks the performance of below-investment grade, U.S. dollar-denominated corporate bonds publicly issued in the U.S. domestic market.

LB U.S. Corporate Bond Index is an unmanaged index that tracks publicly issued U.S. corporate bonds that meet the specified maturity, liquidity, and quality requirements to be considered investment-grade. To qualify, bonds must be SEC-registered.

The LB U.S. Municipal Bond Index covers the USD-denominated long term tax exempt bond market with four main sectors: state and local general obligation bonds, revenue bonds, insured bonds, and pre-refunded bonds.

Although bonds generally present less short-term risk and volatility than stocks, bonds do entail interest rate risk (as interest rate rise, bond prices usually fall and vice versa) and the risk of default.

Lower-quality securities generally offer higher yields but also carry more risk of default or price changes due to potential changes in the credit quality of the issuer.
pompano at 12/16/2008 11:52 快速引用
我还没写完学习心得呢,你们就反应这么快啊?

派你们在返回去读一读我的体会,加以评论。偶理解的对吧? 还算学儿实习之吧? Laughing happy
wildcrane at 12/16/2008 11:55 快速引用
你的体会 is applicable during normal times, not now. The Fed is bankrupting this country.

wildcrane :
我还没写完学习心得呢,你们就反应这么快啊?

派你们在返回去读一读我的体会,加以评论。偶理解的对吧? 还算学儿实习之吧? Laughing happy
xiaoqiang at 12/16/2008 11:57 快速引用
pompano :
One more important:
TED spread -- the difference between 3-month LIBOR (inter-bank rate) and the 3-month Treasury bill (risk-free rate), shows the willingness of banks to lend to each other relative to the government (proxy for bank risk aversion).

Since the peaks seen during the week of Oct. 10, 2008, inter-bank lending rates, both on an absolute basis (LIBOR) and relative to Treasury yields (TED spread), have declined significantly. This is the first sustained decline in these rates since the spring of 2008, although inter-bank rates are still very high relative to Treasury yields on a historical basis (and were even significantly higher than early September 2008). Commercial paper rates also have declined from their peaks, but still remain elevated compared to levels in mid-September.


very interesting! 我的课本上竟然没有 Laughing 打你

如果能给出个大概的数据范围就更好了。赞一个
wildcrane at 12/16/2008 11:58 快速引用
xiaoqiang :
你的体会 is applicable during normal times, not now. The Fed is bankrupting this country.

wildcrane :
我还没写完学习心得呢,你们就反应这么快啊?

派你们在返回去读一读我的体会,加以评论。偶理解的对吧? 还算学儿实习之吧? Laughing happy


货币政策或者财政手段好像都适应不正常而生的。只不过是都有后果罢了。

你可以做一个对于不同后果的比较分析。

你以为他们愿意这样做啊?没办法的办法。 Laughing
wildcrane at 12/16/2008 12:03 快速引用
If a person spends more than he produces, fudging his account book can only carry him forward for a little while.

Fed has been fudging his book for quite some time, and has already become a donkey with no trick left.



wildcrane :
pompano :
One more important:
TED spread -- the difference between 3-month LIBOR (inter-bank rate) and the 3-month Treasury bill (risk-free rate), shows the willingness of banks to lend to each other relative to the government (proxy for bank risk aversion).

Since the peaks seen during the week of Oct. 10, 2008, inter-bank lending rates, both on an absolute basis (LIBOR) and relative to Treasury yields (TED spread), have declined significantly. This is the first sustained decline in these rates since the spring of 2008, although inter-bank rates are still very high relative to Treasury yields on a historical basis (and were even significantly higher than early September 2008). Commercial paper rates also have declined from their peaks, but still remain elevated compared to levels in mid-September.


very interesting! 我的课本上竟然没有 Laughing 打你

如果能给出个大概的数据范围就更好了。赞一个
xiaoqiang at 12/16/2008 12:04 快速引用
As Ron Paul said, doing nothing is still a viable option. Let the losers lose.

wildcrane :
xiaoqiang :
你的体会 is applicable during normal times, not now. The Fed is bankrupting this country.

wildcrane :
我还没写完学习心得呢,你们就反应这么快啊?

派你们在返回去读一读我的体会,加以评论。偶理解的对吧? 还算学儿实习之吧? Laughing happy


货币政策或者财政手段好像都适应不正常而生的。只不过是都有后果罢了。

你可以做一个对于不同后果的比较分析。

你以为他们愿意这样做啊?没办法的办法。 Laughing
xiaoqiang at 12/16/2008 12:05 快速引用
这是结论不是分析。
因为他们做决策的人知道这是一条选项,为什么不选是我的问题?

你如何一定能分析论证this option is more viable? - i am interested in the insights, wrong or correct is not important to me - as we may never know the answer - particular it is a question regard to "to whom" it is better. Or basically, it is not only an economic policy but maybe more of a political decision.

xiaoqiang :
As Ron Paul said, doing nothing is still a viable option. Let the losers lose.

wildcrane at 12/16/2008 12:10 快速引用
You are falling into the trap of technical analysis, or worse, philosophical analysis.

The sun rises from the east, and it has nothing to do with how many solutions you can find for a differential equation.

wildcrane :
这是结论不是分析。
因为他们做决策的人知道这是一条选项,为什么不选是我的问题?

你如何一定能分析论证this option is more viable? - i am interested in the insights, wrong or correct is not important to me - as we may never know the answer - particular it is a question regard to "to whom" it is better. Or basically, it is not only an economic policy but maybe more of a political decision.

xiaoqiang at 12/16/2008 12:15 快速引用
Laughing
I dare challenge you that the program we face now challenges the usefulness of philosophical analysis.

and by the way philosophy is close to mean to diaglect, debate and how to argue. i didn't not ask you to give me technical analysis, and you still could give me good philosophical arguments. why is it so?


xiaoqiang :
You are falling into the trap of technical analysis, or worse, philosophical analysis.

The sun rises from the east, and it has nothing to do with how many solutions you can find for a differential equation.
wildcrane at 12/16/2008 12:22 快速引用
so basically, i took your statement as a philosophical one - and i give its value as a philosophical one - it is indeed 道家的“无为”之说。
wildcrane at 12/16/2008 12:24 快速引用
The technical question you raised is a very complicated one, and most of the "experts" got it wrong so far, because most of them have been "surprised" Surprised since the beginning of this year.


I normally take a more simplistic view to complicated matters. Circuit City reports today that it intends to cut 50% of its capital spending next year. I consider circuit city is representative of the consumer retail sector because it is not very poorly run. Let's say consumer spending accounts for 50% of the GDP (the real number is much higher than this), it means there is roughly a 25% drop of the US economy yet to come.

Obm's stimulus plan is about 5% of the GDP. There is a 20% shortfall at the very least.


There are other ways to estimate the direction of this economy. None of them will be accurate. But if you give the estimation a 100% margin of error, the picture is still ugly. And the Fed can do NOTHING about it.

wildcrane :
so basically, i took your statement as a philosophical one - and i give its value as a philosophical one - it is indeed 道家的“无为”之说。

xiaoqiang at 12/16/2008 12:38 快速引用
别管复杂不复杂,瞧瞧,人家设计出模型就能发财。这个报告要花400块美金。


Based on PRSgroup's political composite risk score of year 2004, 中国76.8分,美国77.5分。

http://www.prsgroup.com/prsgroup_shoppingcart/pc-32-6-researchers-dataset-icrg-t3b.aspx
wildcrane at 12/16/2008 14:32 快速引用
xiaoqiang :
The technical question you raised is a very complicated one, and most of the "experts" got it wrong so far, because most of them have been "surprised" Surprised since the beginning of this year.


I normally take a more simplistic view to complicated matters. Circuit City reports today that it intends to cut 50% of its capital spending next year. I consider circuit city is representative of the consumer retail sector because it is not very poorly run. Let's say consumer spending accounts for 50% of the GDP (the real number is much higher than this), it means there is roughly a 25% drop of the US economy yet to come.

Obm's stimulus plan is about 5% of the GDP. There is a 20% shortfall at the very least.


There are other ways to estimate the direction of this economy. None of them will be accurate. But if you give the estimation a 100% margin of error, the picture is still ugly. And the Fed can do NOTHING about it.



like the way you made your arguments.
disagree with the conclusion.

An example can be given by thinking of treating a patient. Doctor can rarely do one thing or gives one dose that could completely save a severely illed patient. Yet, whatever (medicine, etc.) is given to the patient may serve as the first step to recover; and further if the medicine somehow boosted the patient's immune system, it may help more. Rather more, if the patient has more hope and willing power, and he/she could survivie something 'impossible' - or not 'nothing'.
wildcrane at 12/16/2008 14:47 快速引用
I like the patient analogy.

It is a like a cancer patient. Without cutting off the cancer cells, feeding more nutrients to the patient only exacerbates his condition.

wildcrane :
xiaoqiang :
The technical question you raised is a very complicated one, and most of the "experts" got it wrong so far, because most of them have been "surprised" Surprised since the beginning of this year.


I normally take a more simplistic view to complicated matters. Circuit City reports today that it intends to cut 50% of its capital spending next year. I consider circuit city is representative of the consumer retail sector because it is not very poorly run. Let's say consumer spending accounts for 50% of the GDP (the real number is much higher than this), it means there is roughly a 25% drop of the US economy yet to come.

Obm's stimulus plan is about 5% of the GDP. There is a 20% shortfall at the very least.


There are other ways to estimate the direction of this economy. None of them will be accurate. But if you give the estimation a 100% margin of error, the picture is still ugly. And the Fed can do NOTHING about it.



like the way you made your arguments.
disagree with the conclusion.

An example can be given by thinking of treating a patient. Doctor can rarely do one thing or gives one dose that could completely save a severely illed patient. Yet, whatever (medicine, etc.) is given to the patient may serve as the first step to recover; and further if the medicine somehow boosted the patient's immune system, it may help more. Rather more, if the patient has more hope and willing power, and he/she could survivie something 'impossible' - or not 'nothing'.
xiaoqiang at 12/16/2008 14:51 快速引用
这个我完全同意。非常担心老了社保,衣保都没钱了。养老金里的钱不是被市场就是被通胀或者俩这同时吃掉了。

想不出什么办法来啊。

xiaoqiang :
If a person spends more than he produces, fudging his account book can only carry him forward for a little while.

Fed has been fudging his book for quite some time, and has already become a donkey with no trick left.



wildcrane :
pompano :
One more important:
TED spread -- the difference between 3-month LIBOR (inter-bank rate) and the 3-month Treasury bill (risk-free rate), shows the willingness of banks to lend to each other relative to the government (proxy for bank risk aversion).

Since the peaks seen during the week of Oct. 10, 2008, inter-bank lending rates, both on an absolute basis (LIBOR) and relative to Treasury yields (TED spread), have declined significantly. This is the first sustained decline in these rates since the spring of 2008, although inter-bank rates are still very high relative to Treasury yields on a historical basis (and were even significantly higher than early September 2008). Commercial paper rates also have declined from their peaks, but still remain elevated compared to levels in mid-September.


very interesting! 我的课本上竟然没有 Laughing 打你

如果能给出个大概的数据范围就更好了。赞一个
wildcrane at 12/16/2008 14:53 快速引用
The Fed is done. No more rate cuts, only hyperinflation.

祝你好运
xiaoqiang at 12/16/2008 14:55 快速引用
这个说法我其实完全同意。所以我用的词是强心剂。

[quote="xiaoqiang"]I like the patient analogy.

It is a like a cancer patient. Without cutting off the cancer cells, feeding more nutrients to the patient only exacerbates his condition.
quote]
wildcrane at 12/16/2008 14:57 快速引用
xiaoqiang :
The Fed is done. No more rate cuts, only hyperinflation.

祝你好运


问题是我们怎么办?

我在想我们怎么不被潮水淹没?

我想大部分中国人是通过存钱的办法,所以再坏可能不会最坏? But is this true?

and there is really no win-solution?
wildcrane at 12/16/2008 15:00 快速引用
Such insane action from Big Ben will not last forever. He might be the first Fed Chair to be impeached or forced to resign. And 炮森 will go to jail. 祝你好运

wildcrane :
xiaoqiang :
The Fed is done. No more rate cuts, only hyperinflation.

祝你好运


问题是我们怎么办?

我在想我们怎么不被潮水淹没?

我想大部分中国人是通过存钱的办法,所以再坏可能不会最坏? But is this true?

and there is really no win-solution?
xiaoqiang at 12/16/2008 15:03 快速引用
The problem is that US has such a big debt, it will always or at least for a long time to bear the financial instability.

And if inflation is serious problem, we cannot depend on saving.

If we invest mostly in the US market, we have to bear the market risk.

How do you think the international investing? Have you or any one been paying attention to China market or other non-US market?
wildcrane at 12/16/2008 15:06 快速引用
Globalization and International Investing:

根据我眼前的数据好像奥地利是个好的选择,1999-2003, average return is 10.01 and risk is 16.2 (relatively low), and it's correlation to US is 0.34 - also low.

And among the emerging country, the candidate seem to be Peru, return=15%, risk=15.96, and corrlation=0.16 with US market.

How to buy international securities?

1. mutual fund (Diversified. Can trade on secondary market but buy and sold at the end of the day.)

2. some ETFs

3. WEBS (world equity benchmark shares. offers broad portfolio of country-specific equity markets, 17 countries. Can buy, sell, short on the AMEX exchange - trade on secondary market. Passively managed to follow MSCI. Pay brokage commissions when buy and sell, but fees are low. Dealing with US dollars.)

4. ADRs (Buy the share from a bank - one foriegn company's stock. Dealing with US dollar and trade like a stock.)

Risks:

1. exchange rate risk (past research shows that exchange rate risks are not highly correlated across countries. so if well-internationaly diversified, the risk suppose to diminish.

2. political risk and policy change risk.

Since mid-1990s, due to the globalization, the correlation among countries have been increasing. For example, the correlations between changes in American shares and European's increased from mid-90's 0.4 to 0.8 in 2000. (www.economist.com, The Economist, March 22, 2001).

Using the past return to estimate the future return may over exagerate the benifit of diversification. However, it would be less so to estimate the future risk. 这一点说明,国际投资的主要目的不是为了赚大钱,而可以在不好的时候避免大损失。

There was past studies that suggest that the correlation among country returns during the periods of turbulence in captial markets. If so benefit from diversification would be lost exactly when they are needed the most. (Esstentional of Investments, P645). -- 这次的经验好像也说明同样的问题:坏的时候都坏,避免不了国际化的风险。多元的国际分配职能避免某个国家内的风险。

学习完的体会是:投资就是赌博,好比人生就是赌博一样。没有什么现成的理论。 祝你好运

好像还是头在自己周围的股票里,只要自己身边的不迭自己的钱就不跌,如果跌邻居都跌,如果能做到比邻居跌得少一点就好。- 想来想去还是conservative的办法比较好。

我就这样在学习投资知识中,实现了一个从liberal到保守的转变。 Laughing Laughing I am joking.


Mutual Funds and Investment Companies:
1. Investment company types:
(1) Unit Investment trusts are unmanaged in that once the portfolio is established, it is fixed.
(2) Closed-ended funds trade like other securities; they do not redeem shares for their investors.
(3) Open-ended funds will redeem shares for net asset value at the requrest of the investor. These are the mutual funds. NAV=(asset market value - liabilities)/share outstanding.
2. Mutual Funds policies: money markets fundsl equity funds; fixed-income funds; balanced and income funds; asset allocation funds; index funds; and specialized sector funds.
3. Advantages and disadvantages of mutual funds: free from adm burdens, lower trading costs, but have to pay management fees and other expenses; also can not decided the timing of captial gains realization.
4. Fee structure:
(1) load/no load/front load: sales commission. Legal limit is 8.5% but usually not higher than 6%. It means that among $100, actually 94$ got invested.
(2) Back Load Fund: declines 1% a year so after 5-6 years, no load.
(3) Operating Expenses (adminstative and manegement fees 9(1%): .2-2%. Shareholders do not get bill. It is deducted from the fund periodically.
(4) 12-B1 fee (market fee such as ads, annual report, prospectus, advertise, and sales commissions) - legally the max can't exceed 1%. These is deducted from the fund. So it may says no-load but actually takes out the sales commision every year here. If invest long time, a one-time front load may be more advantageous.
5. rate of return: (nav1-nav0+income + capital gain)/nav0 - but didn't exclude expenses.
6. Trading expenses: turnover ratio
7, ETFs: (1) can trade continuously (match capital gains and losses; and time the market),; (2) can trade short and trade on margin; (3) lower management fee than mutual funds.
wildcrane at 12/16/2008 16:08 快速引用
磨磨蹭蹭读完了一章,上网玩儿了半天,想再读一章,实在没有读小说好玩儿。无聊阿, 阿欠

再读完3章,就可以安心度假去了。可实在读不下去了。

今天又忘带家门钥匙了。所以磨蹭这等到楼上有人回去了,偶在地下室私藏了一把 wink

回家去了,吃饭去, 睡觉去。

今天没喝咖啡,想戒咖啡了。

嗯,借个什么路想回去瞧瞧。
wildcrane at 12/16/2008 17:40 快速引用
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