HedgeIndex - Home Page

HedgeIndex - Home Page

The Credit Suisse First Boston/Tremont Hedgefund Index is the largest asset-weighted hedge fund index. It is broadly diversified, encompassing around 400 funds across ten style-based sectors, and representative of the entire hedge fund industry. This industry has grown to about a trillion dollars from more modest beginnings in 1949 with the fund of Alfred Winslow Jones. In short, this page gives you a snapshot of that whole hedgfund thang you keep hearin bout.

Swiss National Bank websit

SNB BNS Schweizerische Nationalbank. Banque nationale suisse. Swiss National Bank. Banca nazionale swizzera.

The place to find the speeches of Jean-Pierre Roth is at this website.

The link shows his latest. http://www.snb.ch/e/aktuelles/index.html?file=referate/text_referate1.html

Philipp Hildebrand, the 41-year-old Harvard trained, member of the Governing Board,
has representative speeches here also. His February 4, 2005, speech on Hedge Funds is there.

Welcome to the Bank of England website

Welcome to the Bank of England

This website is the convenient place to find the remarks of Mervyn King, Governor Bank of England. You might say this website is the virtual Old Lady of Threadneedle Street.

Statement by the Hon. SADAKAZU TANIGAKI,Governor of the Fund and the Bank for Japan,at the Joint Annual Discussion

Statement by the Hon. SADAKAZU TANIGAKI,Governor of the Fund and the Bank for Japan,at the Joint Annual Discussion

Here is an example of Japanese Finance Minister Tanigaki's thoughts.

Bank of Japan Speeches and Statements

Speeches and Statements

Governor Toshihiko Fukui's speeches can be found at this site.

ECB: Monthly Bulletin

ECB: Monthly Bulletin

The European Central Bank Monthly Bulletin is available online at the link above. Maybe not as riveting as Stephen King, but good background for the person interested in the world of foreign exchange. A 200-page treasure trove of information each month.

The 20 Most Influential People in FX

20MostInfluentialPeopleinFXRefco.pdf (application/pdf Object)

This article by Boris Schlossberg of Refco is well worth reading. Among the many things he says is the following quote about Gordon Brown, UK Chancellor of the Exchecquer. "Mr. Brown is considered to be the most talented and effective public servant in the G-7 world. Under his stewardship UK has continued its streak of 46 consecutive quarters of economic growth, remaining the only G-7 country to avoid recession since the year 2000."

European Central Bank and the Stability Pact

Bloomberg.com: Bloomberg Columnists

French and German budget deficits have breached the 3 percent level agreed upon in the so called stability pact. Now what?

Consumer Price Index Summary

Consumer Price Index Summary

This morning's CPI was up .6 percent before seasonal adjustment. After seasonal adjustment it met the expectation of .4 percent. This was mildly bullish for the dollar for about 15 minutes. Afterwards, the trading range returned to what it was before the announcement. For more information on the Consumer Price Index, investigate at the Bureau of Labor Statistics website, www.bls.gov

FRB: Press Release--FOMC statement and Board discount rate action--March 22, 2005

FRB: Press Release--FOMC statement and Board discount rate action--March 22, 2005

The release of this statement caused the dollar to strengthen immediately by close to a penny against the British Pound and about a penny against the Euro. Thus spaketh Chairman Greenspan.

What Did Wolfowitz Say Yesterday?

Examine his statement here word for word, without any spins from the media.

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Treasury International Capital Data for January $91.5 billion

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This number ($91.5 billion) compared with the $58 billion current account deficit shows that financing of the deficit continues stably and is not a problem at the moment.

The Bottom Line According to Greenspan

FRB: Testimony, Greenspan --Future of the Social Security program and economics of retirement -- March 15, 2005: "The necessary adjustments will become ever more difficult and larger the longer we delay. No changes will be easy. All programs in our budget exist because a majority of the Congress and the President considered them of value to our society. Adjustments will thus involve making tradeoffs among valued alternatives. The Congress must choose which alternatives are the most valued in the context of limited resources. In doing so, you will need to consider not only the distributional effects of policy changes but also the broader economic effects on labor supply, retirement behavior, and national saving. The benefits to taking sound, timely action could extend many decades into the future."

Social Security Taxes may need to increase from the present 12.4 percent to 18 percent by mid-century. Individual savings must also rise. Truly sobering projections.

FRB: Testimony, Greenspan --Future of the Social Security program and economics of retirement -- March 15, 2005

FRB: Testimony, Greenspan --Future of the Social Security program and economics of retirement -- March 15, 2005

Chairman Greenspan expresses his own views and not necessarily those of the Federal Reserve Board. Before the Senate Special Committee on Aging.

Anything Worth Doing Is Worth Overdoing.

shreve.pdf (application/pdf Object)

Here is a 350 page study on the connection between Stochastic Calculus and Finance. Not for the faint of heart. A quant needs to know this kind of stuff, though. I wonder if Alan Greenspan knows this subject. I wouldn't be surprised. I'm sure some of his staff do.

Carnegie-Mellon offers a Masters for Financial Quants. Master of Science in Computational Finance (MSCF)

MSCF : Statistical Arbitrage 46-936

The following course comes from that program. MSCF : Statistical Arbitrage 46-936. Could be interesting in light of the recent enlightenment on the subject of Statistical Arbitrage received by yours truly from a practitioner of this black art.

Uranium Data from the Department of Energy 1949-2003

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The price of uranium has about doubled in the past two years.
Good chance to test the supply elasticity of Uranium. In other words, we can see how much more uranium is produced at this higher price and how quickly that drives the price back down. Unless there is a uranium cartel I haven't heard of.

Graph of Uranium Price per Pound

UxC: Historical Price Graphs

Warren Buffet's Latest Letter to the Shareholders of Berkshire Hathaway

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See especially page 18 under Foreign Currencies

Valuation Models :: Balance of Payments

Daily FX :: Fundamental Research :: Valuation Models :: Balance of Payments

Carry Trades Defined and their relationship to the Interest Rate Parity valuation model

A Hole in the Interest Rate Parity Theorem -- Carry Trades

However, this theory has not held true since 1990, because despite higher interest rates in the U.S. versus Japan, the USD has appreciated against the JPY. One of the reasons for this shift is the popularity of carry trades. A carry trade involves buying or lending a currency with a high interest rate and selling or borrowing a currency with a low interest rate. Investors have been moving their funds into higher yielding currencies, therefore causing the higher yielding currencies to appreciate. These trades are popular in times of risk seeking and least successful in times of risk aversion. That is in risk seeking environments, investors tend to reshuffle their portfolios and sell low risk, but high value assets and buy higher risk and low value assets. Riskier currencies - those with large current account deficits - are forced to offer a higher interest rate to compensate investors for the risk of a sharper depreciation than that predicted by uncovered interest rate parity. The profit from a carry trade is an investor's payment for taking this risk. Carry trades are more likely to go wrong in times of risk aversion, such as global economic instability and geopolitical uncertainty. In such times, the riskier currencies - upon which carry trades rely for their returns - tend to depreciate. Typically, riskier currencies have current account deficits and, as risk appetite wanes, investors retreat to the safety of their home markets, making these deficits harder to fund.

Daily FX :: Fundamental Research :: Valuation Models :: Interest Rate Parity

FRB: Testimony, Greenspan --Economic outlook and current fiscal issues-- March 2, 2005

FRB: Testimony, Greenspan --Economic outlook and current fiscal issues-- March 2, 2005

Purchasing Power Parity Numbers from OECD for December 2004

The Purchasing Power Parity Theorem states that the foreign exchange rate of the currency tends towards the number that brings about the same purchasing power in the different countries.

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Another Look at Ichimoku Charts

A terse description of the Ichimoku charts and signals it generates can be seen at the link below.

This article and more available at Investopedia.com

Learning to Read Ichimoku Charts

The Japanese word "Ichimoku" can be translated as "one look" or "one glance." A Japanese newspaper man whose real name was Goichi Hosada, but who used the pen name "Ichimoku Sanjin," invented a charting technique before WWII.

Ichimoku's guidebook on the charts finally appeared in 1968, many years later. An article by Ken Muranaka which introduces these charts can be found at the following link.


ichimoku.pdf (application/pdf Object)

Although Mr. Muranaka translates many Japanese words to English, I think he goes a bit too far when he talks about "the standard line" and "the turning line." It is just as easy to go with the Japanese words for these, which are Kijun-Sen and Tenkan-Sen. The reason I say this is that the Ichimoku charts I look at most frequently come from the London office of the Mizuho Bank, and they show the lines simply as Kijun Sen and Tenkan Sen, rather than translating them into English. They are just wiggly lines on a chart, so it doesn't matter much what you call them. I just think it is less confusing if we use the names that appear on the charts you can look at every day.

http://www.mizuho-cb.co.uk/TresInternet/PDF'S/eur.pdf

For example, today's chart of the Euro/US$ showing the Ichimoku chart. More later.