Quant Macro Investing

Risk Taking Disciplined

BDI 與債息

HKEJ

BDI 與債息

法興銀行著名策略師 Albert Edwards 似乎知道老畢開邊瓣,在今日刊發的每周分析報告中,以圖表形式,比較了運費指數與德國十年期政府債券孳息走勢,發現債市與股市一樣,形態和方向跟 BDI 非常相似,而運費指數同樣走在債息之先【圖】。何以用德國十年期債息作比較基準,Edwards 未加說明。

老畢估計,那是由於德國乃出口大國,對環球貿易變化的敏感度,在西方發達國中無出其右,以德國債息結合運費指數測市,比以美債作基準更合理。

觀圖看勢,BDI 自6月初高位回落四成,CRB 商品指數6月至今亦見阻力重重,德國債息則偏軟……。看樣字,被拿來跟運費指數 pair up 的指標,大都在等候股市確認弱勢。雖說大政府當道,積極造淡並非上策,但不為風險資產轉勢作對沖,風險可能更高。

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September 11, 2009 - Posted by | Cross-asset-class

1 Comment »

  1. […] For example, check out the relationship between BDI and German government bond yield here. […]

    Pingback by Simple Quant Investing « Quant Investing | October 21, 2009 | Reply


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