Capital Asset Pricing Model (CAPM)

While I am a believer of APT more than of CAPM, I will share some of my findings on CAPM. CAPM has many flaws: there are capital taxes, high transaction cost on illiquid securities with few floating shares, licensed leveraged funds do influence prices with outsized positions, different analyst has a different expectations of a... Continue Reading →

Non-Farm Payroll (NFP) Part I

What's NFP? NFP indicates the net hiring/firing of non-farmer workers for the previous month. It is published by the Bureau of Labour Statistics, usually on the first Friday of the month, in the Employment Situation Report. Some traders would lament that the attention shown on a headline figure is overstated. NFP headline and report significance really... Continue Reading →

A simple view of sector rotation

Continuing when my previous post here, market cycles leads economic cycle. This article aims to give a brief descriptive (not predictive) overview of how asset managers shift their exposure to sectors - according to the current style of investment, say, growth strategy - where expectations of future earnings revision are very positive - or in defensive... Continue Reading →

What the treasury yield curve is telling us for 2017? Where are we in a sector rotation cycle now?

We heard the news. Trump's opponents argued that his protectionist will bring back jobs to native Americans, but endanger America's position as the leader of technology and finance in the world. Trump's protectionist policies left ex-trade partners pondering if "US treasury would be really risk free" once Trump invades the Fed community with people sharing the same ideology as... Continue Reading →

A WordPress.com Website.

Up ↑