Hard Data for Financial Thoughts

Wide gyrations yesterday and today in the JGB, Japan's 10-year rates.  Rates volatility is supposedly lower when absolute levels are low...

There is a new peak in the correlation between the S&P500 and the yield on the 10yr Treasury . The bottom graph in the screen shot bel...

Here’s a quick multi-factor analysis of Och-Ziff Overseas II, more precisely of its last 77 monthly NAVs (including May 2010). There are a...

Here's the ranking of the Top 30 pending M&A deals, ranked by deal size. It will be a hedge and private equity funds feast: not on...

HedgeBay tracks the average haircuts applied to investments in hedge funds resold on the secondary markets. It just reported its latest num...

The Standard & Poor Volatility Arbitrage index is a interesting benchmark for the different vol arb hedge funds out there. The index me...

The Owl Creek Overseas hedge fund is often presented as uncorrelated to equity markets -- but this is a myth. On the surface, it looks ...

BofA/ML published a report today, ranking U.S HFs by AUM as of Jan 1, 2010, in billion dollars. Some of their data are clearly wrong (e.g. P...

This graph of front-month futures contracts nicely shows the cyclical behavior of this commodity: because production is constant throughou...

Forgot to say that the new 30-year "Ultra" futures contract is made possible by the recent surge in issuance of 30-year bonds by t...

The T-Bond futures contract we all know has a large range of deliverable securities: all U.S. bonds with remaining terms to maturity of 15 y...

China and India piling up on gold? Sure; their reserves increased 76% and 56%, respectively, YoY, as can be seen below. Yet, their reserve...

A good macro-economic indicator: railroad freight carloads. Notice how flat the trend was, with very regular but very short end-of-year dro...

Based on the HFR indices, here are the top hedge fund strategies over the past decade. We can note that converts have had bad years but wer...

Palladium and copper came back in line with their linear historical relationship. The palladium contract was at $462 on 1/20, as indicated ...

Here's the same butterfly as of early afternoon Friday. The reason the downside peak we had seen on a previous post does not show up is...

The 50:50 fly on 1-month options on 1-, 2- and 5-year swaps is current 2.7 standard deviations from its 1-year average.

March contracts on palladium and copper at 0.8 std devs from their regression line.

Since my post of the pair trade long KBH/short RYL, KBH jumped 14.4% from $13.80 to $15.80 while RYL increased 6.8% from $20.50 to $21.90. ...

The quick study that follows looks at the past decade (from 1/1/00 to 12/31/09), and compares the total returns of a balanced portfolio of c...

I keep hearing that the low mobility of people between European countries is a challenge to the Euro zone. Now it looks like the U.S. may ...

The Fed proposed today to sell term deposits, a few weeks after setting up three-party reverse repos. Both are meant to absorb the banks...

The equities of KB Home and Ryland are strongly correlated. Still, market close on Dec 22 was an outlier. When overlapping the two plots, w...

Two hedge funds, Pershing Square and Hovde, have been arguing over the value of GGP. Ackman claimed today that the GGP (new ticker GGWPQ) a...

The 1:2:1 fly on 3-month options on the 2-, 5- and 10-year swaps reached levels not seen in 10 years. Definitely a trade to put on. ...

Morgan Stanley's "2010 Outlook" report shows that, even if spreads on investment-grade bonds have significantly tightened, the...

Interesting stats that the FXFB page on Bloomberg offers. A simple buy-and-hold strategy of being long the 3 most-yielding currencies of th...

On Dec 8 (sorry for the delay!) Standard & Poor's lowered its ratings on 12 classes from LNR CDO V's series 2007-1 (LNR CDO V),...

We know HY bonds have had a nice run since March this year, mostly due to retail mutual funds. The Smurfit Stone bond pulled up in Bloombe...

... simply brought XTO's price in line with its peers. For example, we had noticed on Oct 20 the dislocation w.r.t. Anadarko and sugges...

Safeway and Kroger dropped like a rock after their downgrade by UBS. But Kroger fell more, relatively, than Safeway, resulting in a data po...

Today's post is about hedging corporate bonds with the bonds or CDS of issuers in the same industry, taking paper companies as an exampl...

Realogy has a massive wall of debt to refinance by 2013: Not surprisingly, the cost of CDS protection on the firm's debt peaks at that h...

In a previous post, we noticed that CDS protection on Campbell Soup is abnormally expensive relative to that of HNZ. It is not consistent w...

The 1:2:1 butterfly on 3-month, 6-m and 12-m options on 1-year swaps did retrace from its low of -27 bpVol on Nov 20 to about -11 bpVol yest...

The VIX did continue to drop -- until Dubai scared the markets on Thanksgiving.

The P&L Wednesday would have been 0.263 * (42.40-41.36) + (14.39-14.09) = $0.573 per short share, or equivalently per 0.264 long share. ...

In this post, we focus on consumer food staple companies: Campbell Soup (CPB, in pink below), HJ Heinz (HNZ, in orange), ConAgra (CAG, green...

The amount of gold held by the gold iShares (shown in amber) has recently increased, but still has caught up with the increase in the value ...

Masco and Mohawk Industries have the same credit worthiness, as illustrated by their CDS graphs: Their stocks are highly correlated, too: th...