c***6
发帖数: 229 | 1 各位投资高手，100万美元，只需要5%的年收益（不计通货膨胀），
但是需要风险为零，或者接近于零，能做到吗？怎么操作呢？
钱可以10年之内不用。在税上要最大利益话！
大家愿意讨论讨论吗？ |
s********n
发帖数: 1962 | 2 风险为零的投资是不存在的。风险接近零的一般都参考美国国债。十年期国债的收益率
现在大约是 3.30%。 而且国债在税上并没有什么好处。So, you got the idea.
其实你这种要求，风险比较小的投资是换成 RMB，然后买中国国债。
【在 c***6 的大作中提到】
: 各位投资高手，100万美元，只需要5%的年收益（不计通货膨胀），
: 但是需要风险为零，或者接近于零，能做到吗？怎么操作呢？
: 钱可以10年之内不用。在税上要最大利益话！
: 大家愿意讨论讨论吗？
|
m**********r
发帖数: 887 | 3 只需要5%的年收益（不计通货膨胀），
You mean 5% AFTER inflation? |
K***l
发帖数: 724 | |
c***6
发帖数: 229 | 5 不考虑通胀，nominal only.
【在 m**********r 的大作中提到】
: 只需要5%的年收益（不计通货膨胀），
: You mean 5% AFTER inflation?
|
t***s
发帖数: 4666 | 6 but after tax?
【在 c***6 的大作中提到】
: 不考虑通胀，nominal only.
|
c***6
发帖数: 229 | 7 no, 要求很低,就5%,
【在 t***s 的大作中提到】
: but after tax?
|
s********u
发帖数: 1054 | 8 零风险理论上讲不可能，因为只有美国国债才被认为是零风险。 不过愿意承担适当风险的话， 年平均5% 应该不难。建议学习这个版上 Tim 这样的 INDEX 投资者， 建立一个适当的 股票和债券的投资组合。 风险承担能力低的话考虑 50% EQUITY / 50% BONDS， 甚至 60% EQUITY /40% BONDS。
股票的指数ETF 买 SDY， 追踪 S&P 500 里面最近25年一直增加分红的上市公司的ETF。 08年DOW 跌37%， SDY 跌 22%。 最近两年SDY也一直BEAT DOW。
最后， 美国股市考虑进通货膨胀效应以后17的时间区间里面， 还从来没有负的收益。 INDEX INVESTING MAKES SENSE。
【在 c***6 的大作中提到】
: 各位投资高手，100万美元，只需要5%的年收益（不计通货膨胀），
: 但是需要风险为零，或者接近于零，能做到吗？怎么操作呢？
: 钱可以10年之内不用。在税上要最大利益话！
: 大家愿意讨论讨论吗？
|
|
t*m
发帖数: 4414 | 9 别学俺，亏了本罪过大了。
SDY
vanguard也有类似的产品。
Dividend Appreciation (VIG)
Vanguard High Dividend Yield ETF (VYM)
Vanguard Dividend Growth Fund (VDIGX)
风险的话， 年平均5% 应该不难。建议学习这个版上 Tim 这样的 INDEX 投资者， 建
立一个适当的 股票和债券的投资组合。 风险承担能力低的话考虑 50% EQUITY / 50%
BONDS， 甚至 60% EQUITY /40% B:
ETF
【在 s********u 的大作中提到】
: 零风险理论上讲不可能，因为只有美国国债才被认为是零风险。 不过愿意承担适当风险的话， 年平均5% 应该不难。建议学习这个版上 Tim 这样的 INDEX 投资者， 建立一个适当的 股票和债券的投资组合。 风险承担能力低的话考虑 50% EQUITY / 50% BONDS， 甚至 60% EQUITY /40% BONDS。
: 股票的指数ETF 买 SDY， 追踪 S&P 500 里面最近25年一直增加分红的上市公司的ETF。 08年DOW 跌37%， SDY 跌 22%。 最近两年SDY也一直BEAT DOW。
: 最后， 美国股市考虑进通货膨胀效应以后17的时间区间里面， 还从来没有负的收益。 INDEX INVESTING MAKES SENSE。
|
t*m
发帖数: 4414 | 10 说是这么说，操作起来也不容易。
1. 1M, 分批杀入，还是lump sum?分批的话，多长时间杀入？
2. balanced funds比较稳妥。最近bond变数很大，如果lump sum的话，balanced fund
也有很大风险。
请问楼主目前都用那些vehicle?
风险的话， 年平均5% 应该不难。建议学习这个版上 Tim 这样的 INDEX 投资者， 建
立一个适当的 股票和债券的投资组合。 风险承担能力低的话考虑 50% EQUITY / 50%
BONDS， 甚至 60% EQUITY /40% B:
ETF。 08年DOW 跌37%， SDY 跌 22%。 最近两年SDY也一直BEAT DOW。
。 INDEX INVESTING MAKES SENSE。
【在 s********u 的大作中提到】
: 零风险理论上讲不可能，因为只有美国国债才被认为是零风险。 不过愿意承担适当风险的话， 年平均5% 应该不难。建议学习这个版上 Tim 这样的 INDEX 投资者， 建立一个适当的 股票和债券的投资组合。 风险承担能力低的话考虑 50% EQUITY / 50% BONDS， 甚至 60% EQUITY /40% BONDS。
: 股票的指数ETF 买 SDY， 追踪 S&P 500 里面最近25年一直增加分红的上市公司的ETF。 08年DOW 跌37%， SDY 跌 22%。 最近两年SDY也一直BEAT DOW。
: 最后， 美国股市考虑进通货膨胀效应以后17的时间区间里面， 还从来没有负的收益。 INDEX INVESTING MAKES SENSE。
|
|
|
h****h
发帖数: 1168 | 11 sdy no good, only 3% yield.
i will do 90% bonds,
10% for csco/bac type 6m-1y option play.
conbined should beat 5%.
风险的话， 年平均5% 应该不难。建议学习这个版上 Tim 这样的 INDEX 投资者， 建
立一个适当的 股票和债券的投资组合。 风险承担能力低的话考虑 50% EQUITY / 50%
BONDS， 甚至 60% EQUITY /
ETF。 08年DOW 跌37%， SDY 跌 22%。 最近两年SDY也一直BEAT DOW。
。 INDEX INVESTING MAKES SENSE。
【在 s********u 的大作中提到】
: 零风险理论上讲不可能，因为只有美国国债才被认为是零风险。 不过愿意承担适当风险的话， 年平均5% 应该不难。建议学习这个版上 Tim 这样的 INDEX 投资者， 建立一个适当的 股票和债券的投资组合。 风险承担能力低的话考虑 50% EQUITY / 50% BONDS， 甚至 60% EQUITY /40% BONDS。
: 股票的指数ETF 买 SDY， 追踪 S&P 500 里面最近25年一直增加分红的上市公司的ETF。 08年DOW 跌37%， SDY 跌 22%。 最近两年SDY也一直BEAT DOW。
: 最后， 美国股市考虑进通货膨胀效应以后17的时间区间里面， 还从来没有负的收益。 INDEX INVESTING MAKES SENSE。
|
s********u
发帖数: 1054 | 12 It is not investing but gambling to play options, especially for small
investors. Do you think you could use it to generate stable returns?
What is the edge for small investors to get involved in options? High powered computers, expensive trading software and algorithms designed by Ph.ds from Ivy league schools, or convenient access to expert networks?
%
【在 h****h 的大作中提到】
: sdy no good, only 3% yield.
: i will do 90% bonds,
: 10% for csco/bac type 6m-1y option play.
: conbined should beat 5%.
:
: 风险的话， 年平均5% 应该不难。建议学习这个版上 Tim 这样的 INDEX 投资者， 建
: 立一个适当的 股票和债券的投资组合。 风险承担能力低的话考虑 50% EQUITY / 50%
: BONDS， 甚至 60% EQUITY /
: ETF。 08年DOW 跌37%， SDY 跌 22%。 最近两年SDY也一直BEAT DOW。
: 。 INDEX INVESTING MAKES SENSE。
|
t***s
发帖数: 4666 | 13 是美国投资者吗？那样买muni，no tax。effective return可以到5%以上。
【在 c***6 的大作中提到】
: no, 要求很低,就5%,
|
t*m
发帖数: 4414 | 14 you don't worry about the "bond bubble"?
【在 t***s 的大作中提到】
: 是美国投资者吗？那样买muni，no tax。effective return可以到5%以上。
|
N********n
发帖数: 8363 | 15
Stay out of bond market unless you wanna lose your pants.
【在 t***s 的大作中提到】
: 是美国投资者吗？那样买muni，no tax。effective return可以到5%以上。
|
t***s
发帖数: 4666 | 16 why? muni ytm 3%+ easily ah. just buy and hold. what to loose?
of course, reinvestment of the coupons could be a problem.
【在 N********n 的大作中提到】
:
: Stay out of bond market unless you wanna lose your pants.
|
m**********r
发帖数: 887 | 17 那就走permanent portfolio吧，ETF版：
25% GLD
25% VTI
25% TLT
25% SHY |
c***6
发帖数: 229 | 18 我现在大概是 30% bond fund,
25% equity, 45% cash
三月份的时候入市的，那时候是 40% bond，
40% equity, 20% cash,
现在 equity 里面 70% 是 dividend > 4% 的蓝筹，
30% 是概念股以及 high risk 股票，
目前后悔9月份 bond fund 退出太少，应该退出一半以上，
equity 目前还在逐渐减仓阶段，
然后就突然觉得 cash 太多了，有点怕钱闲的慌，然后想问问
大家都意见，大家不要笑话俺，哈哈。
fund
%
【在 t*m 的大作中提到】
: 说是这么说，操作起来也不容易。
: 1. 1M, 分批杀入，还是lump sum?分批的话，多长时间杀入？
: 2. balanced funds比较稳妥。最近bond变数很大，如果lump sum的话，balanced fund
: 也有很大风险。
: 请问楼主目前都用那些vehicle?
:
: 风险的话， 年平均5% 应该不难。建议学习这个版上 Tim 这样的 INDEX 投资者， 建
: 立一个适当的 股票和债券的投资组合。 风险承担能力低的话考虑 50% EQUITY / 50%
: BONDS， 甚至 60% EQUITY /40% B:
: ETF。 08年DOW 跌37%， SDY 跌 22%。 最近两年SDY也一直BEAT DOW。
|
c***6
发帖数: 229 | 19 ETF 不是都有 TIME DECAY 吗？
【在 m**********r 的大作中提到】
: 那就走permanent portfolio吧，ETF版：
: 25% GLD
: 25% VTI
: 25% TLT
: 25% SHY
|
j*a
发帖数: 14423 | 20 that's leveraged ETF. 2x/3x ETF etc.
【在 c***6 的大作中提到】
: ETF 不是都有 TIME DECAY 吗？
|
|
|
t*m
发帖数: 4414 | 21 这句话中听。目前的bond前景难测，购买要慎重。
【在 N********n 的大作中提到】
:
: Stay out of bond market unless you wanna lose your pants.
|
K***l
发帖数: 724 | 22 做Iron Condor，选10-20支大盘蓝筹股，平均分配资金，一个月一个月做，如果每月只
求1%，基本无风险，每年10%轻轻松松。 |
s********n
发帖数: 1962 | 23 你做过吗？没看看去掉 bid/ask spread 还有多少油水？碰到一次 lehman 那样的
暴跌你帐户就直接清零了，还基本无风险？
【在 K***l 的大作中提到】
: 做Iron Condor，选10-20支大盘蓝筹股，平均分配资金，一个月一个月做，如果每月只
: 求1%，基本无风险，每年10%轻轻松松。
|
c***6
发帖数: 229 | 24 不懂不碰
【在 K***l 的大作中提到】
: 做Iron Condor，选10-20支大盘蓝筹股，平均分配资金，一个月一个月做，如果每月只
: 求1%，基本无风险，每年10%轻轻松松。
|
K***l
发帖数: 724 | 25 当然做过，没做过就不会在这里说了。我之前比较贪，一般都做当月spread credit 20
%，爆仓的
机会也不多，而且做十支当月可以承受2支爆仓；如果做10%其实风险就已经不大了，可
以承受一
支爆仓；1%的话即使碰到金融海啸也不见得会有爆仓的，而且又是分散操作，就算爆它
1-2个也没
关系；另外，看大势，几年之内lehman倒闭的情况不会再出现了。何况这种事有先兆的
，次贷危
机当时已经嚷嚷一阵子了，lehman倒之前股价也已一塌糊涂了，绝不是可以做的对象。
那种不会
倒的大盘蓝筹就算受金融海啸冲击，一个月内跌幅还是有限的。这个可以去做一个基础
性研究，
比如你想做到1%的spread的宽度有多大，过去30年内这支股票有没有从OE到OE的涨跌幅
度超出这
个宽度，如果算上互联网泡沫爆炸、金融海啸在内，从来没有过，那么这种操作基本就
是安全
的，爆仓的可能性低于0.1%，而且我又是分散的，几十支蓝筹股一起做，全年来看，爆
个1-5个，
对全年收益无太大影响。
【在 s********n 的大作中提到】
: 你做过吗？没看看去掉 bid/ask spread 还有多少油水？碰到一次 lehman 那样的
: 暴跌你帐户就直接清零了，还基本无风险？
|
s********n
发帖数: 1962 | 26 The tail risk is always higher than you thought. Think about the
flash crash in May 2010. In market, never say never.
Anyway, right now it's 3 weeks to the January OE. So let's try
a real example. Please show us a few of your picks including
strike prices, assuming we'll build the portfolio tomorrow
morning.
20
【在 K***l 的大作中提到】
: 当然做过，没做过就不会在这里说了。我之前比较贪，一般都做当月spread credit 20
: %，爆仓的
: 机会也不多，而且做十支当月可以承受2支爆仓；如果做10%其实风险就已经不大了，可
: 以承受一
: 支爆仓；1%的话即使碰到金融海啸也不见得会有爆仓的，而且又是分散操作，就算爆它
: 1-2个也没
: 关系；另外，看大势，几年之内lehman倒闭的情况不会再出现了。何况这种事有先兆的
: ，次贷危
: 机当时已经嚷嚷一阵子了，lehman倒之前股价也已一塌糊涂了，绝不是可以做的对象。
: 那种不会
|
K***l
发帖数: 724 | 27 就知道你要说flash crash，那个对我构不成影响，除非发生在OE当天，因为我只关心
从一个
OE到另一个OE的价格变化，中间股价怎么变，对我不会有影响，也不会形成margin
call，做
spread就是这样的，这你明白。
好，现在做sample:
IBM，现价145左右，我认为一个月的变动不会超过15块，所以买165的call,卖160的
call,卖
130的put，买125的put，spread credit在0.1，保证金是5块，其实预期回报率已经有2
%；好
了三周之后咱们看OE当天收盘IBM会不会超过130到160的范围.
类似IBM这样的大盘蓝筹股很多，比如xom、jnj、mcd等等，当然股价最好超过50，这样
比较好
操作，DOW 30里有一半符合要求吧。还有跟踪指数的qqqq、spy、es、nq等产品更加适
合做
iron condor，而且价格大幅变动的可能性更低。
每个月挑个10个没问题。其实，用指数产品的话，也不用挑了，因为本身指数已经分散
风险
了。
【在 s********n 的大作中提到】
: The tail risk is always higher than you thought. Think about the
: flash crash in May 2010. In market, never say never.
: Anyway, right now it's 3 weeks to the January OE. So let's try
: a real example. Please show us a few of your picks including
: strike prices, assuming we'll build the portfolio tomorrow
: morning.
:
: 20
|
w***w
发帖数: 6301 | 28 我做了一个emini模拟。
http://www.mitbbs.com/article_t0/Stock/33209589.html
风险不会比Iron Condor高，收益不会低于Iron Condor的十倍。
请大家关注。
多数时候市场趋势的可预测性接近百分之百。所以trading performance取决于你对趋
势的判断水平。换句话说，不是市场不可预测，而是你是不是达到那个水平。
我相信我现在的水平能达到操作5次赚4次。上周五第一次操作到现在profit超过20%。
请大家关注我的操作，以检验我的理念。
本想贴在本版，后来想可能与版旨不合。 |
s********n
发帖数: 1962 | 29 "多数时候市场趋势的可预测性接近百分之百"
You must be kidding me.
I'll be honest to you: Usually when I see this kind of statement I
delete the post, because it's plainly naive to me and I think it can
be very misleading to newbies. The reason your system is successful
recently is most likely because we are in a good trend market. I don't
trust anything that hasn't been back-tested for 10 years. And yet I
haven't seen anything personally that can pass a strict back-test
for 10 years with enough samples.
I'll leave the post here this time just to be open-minded.
【在 w***w 的大作中提到】
: 我做了一个emini模拟。
: http://www.mitbbs.com/article_t0/Stock/33209589.html
: 风险不会比Iron Condor高，收益不会低于Iron Condor的十倍。
: 请大家关注。
: 多数时候市场趋势的可预测性接近百分之百。所以trading performance取决于你对趋
: 势的判断水平。换句话说，不是市场不可预测，而是你是不是达到那个水平。
: 我相信我现在的水平能达到操作5次赚4次。上周五第一次操作到现在profit超过20%。
: 请大家关注我的操作，以检验我的理念。
: 本想贴在本版，后来想可能与版旨不合。
|
s********n
发帖数: 1962 | 30 Okay, so if IBM goes out of (125,165) you lose all, if IBM stay in
(130,160) you gain 2%. It's about a 10% up or down in a month. And
if you win 50 times and loss 1 time, you break even, assuming no
compounding.
Now, can you tell me how many time IBM went up or down by more than
10% from OE to OE in the past 50 months? In case you haven't noticed,
there are at least 4 times down and 2 or 3 times up.
You can give another example with QQQQ if you want, but I simply
don't think it makes any difference.
有2
【在 K***l 的大作中提到】
: 就知道你要说flash crash，那个对我构不成影响，除非发生在OE当天，因为我只关心
: 从一个
: OE到另一个OE的价格变化，中间股价怎么变，对我不会有影响，也不会形成margin
: call，做
: spread就是这样的，这你明白。
: 好，现在做sample:
: IBM，现价145左右，我认为一个月的变动不会超过15块，所以买165的call,卖160的
: call,卖
: 130的put，买125的put，spread credit在0.1，保证金是5块，其实预期回报率已经有2
: %；好
|
|
|
w***w
发帖数: 6301 | 31 I didn't do anything related to back test.
Anything I said is through the test of day to day market activities.I have more than 10 years market experiences.
I am not sorprised lot of people don't believe my words.
Just watch my performance, is that a best tool to defeat me or be defeated?
【在 s********n 的大作中提到】
: "多数时候市场趋势的可预测性接近百分之百"
: You must be kidding me.
: I'll be honest to you: Usually when I see this kind of statement I
: delete the post, because it's plainly naive to me and I think it can
: be very misleading to newbies. The reason your system is successful
: recently is most likely because we are in a good trend market. I don't
: trust anything that hasn't been back-tested for 10 years. And yet I
: haven't seen anything personally that can pass a strict back-test
: for 10 years with enough samples.
: I'll leave the post here this time just to be open-minded.
|
s********n
发帖数: 1962 | 32 Yes, that's why I leave it there. We'll watch your performance. Just
make sure you post it real-time.
more than 10 years market experiences.
【在 w***w 的大作中提到】
: I didn't do anything related to back test.
: Anything I said is through the test of day to day market activities.I have more than 10 years market experiences.
: I am not sorprised lot of people don't believe my words.
: Just watch my performance, is that a best tool to defeat me or be defeated?
|
c***6
发帖数: 229 | 33 讨论好像已经离题很远了，大家能不能给点浅显易懂的？
俺折腾不起这些option什么的了。 |
s********n
发帖数: 1962 | 34 The point is: 5% is a very high target right now if you don't want
to bear much risk.
【在 c***6 的大作中提到】
: 讨论好像已经离题很远了，大家能不能给点浅显易懂的？
: 俺折腾不起这些option什么的了。
|
w***w
发帖数: 6301 | 35 The trades I post at 股版 will be in real time.
If you ask I can also post here, but it will not be so real time for the
reason I need to do 股版 first.
But since I usually hold my position quite long time, so it doesn't matter
much for 1 or 2 points miss.
【在 s********n 的大作中提到】
: Yes, that's why I leave it there. We'll watch your performance. Just
: make sure you post it real-time.
:
: more than 10 years market experiences.
|
A****e
发帖数: 58 | 36 找个quantitative strategy的fund投资一下好了，年收益5%还是很有可能相当稳定实现
的。
给个参考，看到一个fund,portfolio annual volatility 大约8%，年收益7.8%。风险还
是很小了。
【在 s********n 的大作中提到】
: The point is: 5% is a very high target right now if you don't want
: to bear much risk.
|
T*******t
发帖数: 9274 | 37 有1m的人还要问别人？
【在 c***6 的大作中提到】
: 各位投资高手，100万美元，只需要5%的年收益（不计通货膨胀），
: 但是需要风险为零，或者接近于零，能做到吗？怎么操作呢？
: 钱可以10年之内不用。在税上要最大利益话！
: 大家愿意讨论讨论吗？
|
c***6
发帖数: 229 | 38 哪个fund? 可否分享一下？
实现
险还
【在 A****e 的大作中提到】
: 找个quantitative strategy的fund投资一下好了，年收益5%还是很有可能相当稳定实现
: 的。
: 给个参考，看到一个fund,portfolio annual volatility 大约8%，年收益7.8%。风险还
: 是很小了。
|
w***w
发帖数: 6301 | 39 "The reason your system is successful
实际上市场总是一个trend market。任何不升不跌的局面都是非常短暂的。在一些拉锯
的市场如果把时间放长一点，他们也只是trend market的一个组成部分。
这就是我为什么hold的时间长一点，而不理睬短期市场的拉锯起伏。 |
c***6
发帖数: 229 | 40 1m is nothing, seriously.
【在 T*******t 的大作中提到】
: 有1m的人还要问别人？
|
|
|
s********n
发帖数: 1962 | 41 I am not going to argue more. I know I cannot convince you. You don't
have to post it here. We'll keep an eye on your post in stock board.
I understand you are not doing day-trading, so it's okay to slip 1-2
points.
【在 w***w 的大作中提到】
: "The reason your system is successful
: 实际上市场总是一个trend market。任何不升不跌的局面都是非常短暂的。在一些拉锯
: 的市场如果把时间放长一点，他们也只是trend market的一个组成部分。
: 这就是我为什么hold的时间长一点，而不理睬短期市场的拉锯起伏。
|
s********n
发帖数: 1962 | 42 LZ is asking for almost no risk. 8% annual volatility is quite some risk.
实现
险还
【在 A****e 的大作中提到】
: 找个quantitative strategy的fund投资一下好了，年收益5%还是很有可能相当稳定实现
: 的。
: 给个参考，看到一个fund,portfolio annual volatility 大约8%，年收益7.8%。风险还
: 是很小了。
|
a**n
发帖数: 2431 | 43 1m
不是什么大数目
国内卖一两套房子的事情
所有还是有很多这样的人需要财经咨询的
【在 T*******t 的大作中提到】
: 有1m的人还要问别人？
|
K***l
发帖数: 724 | 44 Option的价格很大程度上取决于volatility，像现在volatility这么低的情况下，10%
宽度的spread可以做到2%，那么在高volatility的市场下，宽度可以做到更宽，也就是
说很大程度上抵消了被冲破的可能性。所以这个strategy是每个月OE那天调整的，要看
下一个月的市场判断。
还有一个纪律就是在次贷危机及之后大规模恢复这种市场大起大落阶段要避免做这个，
这样也就避免了大部分剧烈起伏的阶段。
综合来看，平均一年做5-6次，回报率已经10%了。
唯一可能出现的风险是在OE当天发生突发性事件导致极其剧烈的波动，这种无征兆的日
子历史上也有过几次，但发生在OE当天的似乎没有吧，通常之后几天市场都会恢复正常。
综上，一年5%，无风险，只要花点功夫还是可以做到的。
【在 s********n 的大作中提到】
: Okay, so if IBM goes out of (125,165) you lose all, if IBM stay in
: (130,160) you gain 2%. It's about a 10% up or down in a month. And
: if you win 50 times and loss 1 time, you break even, assuming no
: compounding.
: Now, can you tell me how many time IBM went up or down by more than
: 10% from OE to OE in the past 50 months? In case you haven't noticed,
: there are at least 4 times down and 2 or 3 times up.
: You can give another example with QQQQ if you want, but I simply
: don't think it makes any difference.
:
|
s********n
发帖数: 1962 | 45 Man, when you start adding this and that conditions, you should have
known your strategy got problem. The implied volatility has very small
correlation with the real volatility after fact. This has been known
and can be easily proved again.
And please, you didn't know the crisis and the rebound before hand,
otherwise there are ways that can make much much more.
The killing issue is that, say you trade on 20 stocks, if one fails,
it wipes out the gain from everything else. And the chance of 1 failure
in 20? I would say it's almost guaranted.
常。
【在 K***l 的大作中提到】
: Option的价格很大程度上取决于volatility，像现在volatility这么低的情况下，10%
: 宽度的spread可以做到2%，那么在高volatility的市场下，宽度可以做到更宽，也就是
: 说很大程度上抵消了被冲破的可能性。所以这个strategy是每个月OE那天调整的，要看
: 下一个月的市场判断。
: 还有一个纪律就是在次贷危机及之后大规模恢复这种市场大起大落阶段要避免做这个，
: 这样也就避免了大部分剧烈起伏的阶段。
: 综合来看，平均一年做5-6次，回报率已经10%了。
: 唯一可能出现的风险是在OE当天发生突发性事件导致极其剧烈的波动，这种无征兆的日
: 子历史上也有过几次，但发生在OE当天的似乎没有吧，通常之后几天市场都会恢复正常。
: 综上，一年5%，无风险，只要花点功夫还是可以做到的。
|
s********n
发帖数: 1962 | 46 A little more about it:
Technically speaking, you are trying to trade volatilities. Your
strategy is based on an assumption that the real volatility is almost
always lower than the implied volatity of OTM options, which can be
easily proved wrong. If you know in certain period that the real
volatility will be bigger than the implied volatility, you can flip
your strategy upside down and still make money. But of course, you
cannot know that before hand.
On another issue: even for a liquid stock like IBM and for front month,
when you look at the options, the liquidity drys up quickly as you
move away from the current price. There is not much chance you can
fill a reasonably large order with fair price. And your IBM example
even didn't take commissions into consideration, otherwise, about
half of your potential profit is already gone. I think trade 4 legs
will at least cost you 4 bucks.
【在 s********n 的大作中提到】
: Man, when you start adding this and that conditions, you should have
: known your strategy got problem. The implied volatility has very small
: correlation with the real volatility after fact. This has been known
: and can be easily proved again.
: And please, you didn't know the crisis and the rebound before hand,
: otherwise there are ways that can make much much more.
: The killing issue is that, say you trade on 20 stocks, if one fails,
: it wipes out the gain from everything else. And the chance of 1 failure
: in 20? I would say it's almost guaranted.
:
|
K***l
发帖数: 724 | 47 所以说，这个把戏不是人人都能玩的，是需要很多经验和很多力气的。
我仍然清晰地记得次贷危机发生的过程，当时各种传闻沸沸扬扬，先是ETFC股价剧烈波
动，然后mortgage公司出问题，然后Bear Sterns三天时间股价从60-30-2，然后Lehman
股价被折腾地死去活来，然后才宣布倒闭，引起金融海啸，但市场在这之前总体还是上
涨，我如果做这种strategy早早就停止操作了。但是如果之前一直在做，那么从10年的
期间平均下来，一年5%还是可以做到的。
做这个首先要对大势有个判断，比如现在就是一个比较平稳的市场，各方面都恢复了很
多，经济在向上，虽然大盘在高位，可能会出坏消息调整，但不会很剧烈，金融海啸总
是要酝酿一段时间的，不会一下子出现的。
再说10-20支股票，都是有选择性的具有大盘蓝筹性质的，或者跟踪指数的，所以性质
上具有同一性的，虽然从数学概率上会有冲破的可能，但数理分析的前提是选股的随机
性，可现实是这些股是有基本面和长期股价走势支撑的，要冲破是极其不易的。
我的经验是，spread做到20%，当月10支里冲破的几率大概是1-3支；做到10%，冲破的
机会几个月才会出现1次；做到2%或以下，冲破的机会几乎不存在（在前面大势判断的
前提下）。
【在 s********n 的大作中提到】
: Man, when you start adding this and that conditions, you should have
: known your strategy got problem. The implied volatility has very small
: correlation with the real volatility after fact. This has been known
: and can be easily proved again.
: And please, you didn't know the crisis and the rebound before hand,
: otherwise there are ways that can make much much more.
: The killing issue is that, say you trade on 20 stocks, if one fails,
: it wipes out the gain from everything else. And the chance of 1 failure
: in 20? I would say it's almost guaranted.
:
|
K***l
发帖数: 724 | 48 你说的很对，这玩意儿就是在市场认为该股的imlied volatility的极限边缘做文章，
但由于基本面的存在，这个极限基本很难被达到，而且我已可以避开这种容易被达到的
阶段，当然这只是大概，也许会误判而被伤到，但几率已经很低。
流动性也是个问题，但在这些volatility边缘的还有些报价的option还是可以买、卖到
的，1-200个没问题，也就是一支股分配5万到10万，正好符合100W的资金量。
交易佣金在IB的话是0.7左右一个，如果是penny option价格只有一半，所以四个leg，
一共也就1块多，对收益影响不会太大。
【在 s********n 的大作中提到】
: A little more about it:
: Technically speaking, you are trying to trade volatilities. Your
: strategy is based on an assumption that the real volatility is almost
: always lower than the implied volatity of OTM options, which can be
: easily proved wrong. If you know in certain period that the real
: volatility will be bigger than the implied volatility, you can flip
: your strategy upside down and still make money. But of course, you
: cannot know that before hand.
: On another issue: even for a liquid stock like IBM and for front month,
: when you look at the options, the liquidity drys up quickly as you
|
s********n
发帖数: 1962 | 49 If somebody had predicted the big drops in history and stay out before
it comes, even buy-and-hold can make much more than 10% a year over
however long time you name. Why bother with your 5% strategy?
"首先要对大势有个判断"... this is already a very very hard job.
How can you claim you can "easily" make some return based on such a
huge condition?
Lehman
【在 K***l 的大作中提到】
: 所以说，这个把戏不是人人都能玩的，是需要很多经验和很多力气的。
: 我仍然清晰地记得次贷危机发生的过程，当时各种传闻沸沸扬扬，先是ETFC股价剧烈波
: 动，然后mortgage公司出问题，然后Bear Sterns三天时间股价从60-30-2，然后Lehman
: 股价被折腾地死去活来，然后才宣布倒闭，引起金融海啸，但市场在这之前总体还是上
: 涨，我如果做这种strategy早早就停止操作了。但是如果之前一直在做，那么从10年的
: 期间平均下来，一年5%还是可以做到的。
: 做这个首先要对大势有个判断，比如现在就是一个比较平稳的市场，各方面都恢复了很
: 多，经济在向上，虽然大盘在高位，可能会出坏消息调整，但不会很剧烈，金融海啸总
: 是要酝酿一段时间的，不会一下子出现的。
: 再说10-20支股票，都是有选择性的具有大盘蓝筹性质的，或者跟踪指数的，所以性质
|
K***l
发帖数: 724 | 50 我只是说碰到这种大势要stay away,而不是try to make money out of it。其实你去
看金融危机，早期时已经有感觉，几家公司的异动，这时有几种可能，一种就是大跌，
一种是政府救市成功，市场恢复平稳，如果是有了方向判断，然后去操作，那就有损失
的可能性，如果你觉得不对劲，但也不知道结果好坏，你大不了不做，stay at cash，
这并不是很难的事吧。
【在 s********n 的大作中提到】
: If somebody had predicted the big drops in history and stay out before
: it comes, even buy-and-hold can make much more than 10% a year over
: however long time you name. Why bother with your 5% strategy?
: "首先要对大势有个判断"... this is already a very very hard job.
: How can you claim you can "easily" make some return based on such a
: huge condition?
:
: Lehman
|
|
|
k***n
发帖数: 3158 | 51 then LZ is too greedy
wants the same return as those who bear larger risks
mission impossible
【在 s********n 的大作中提到】
: LZ is asking for almost no risk. 8% annual volatility is quite some risk.
:
: 实现
: 险还
|
s********n
发帖数: 1962 | 52 As I said, if you can do that, even a buy-and-hold strategy (but stay
with cash when you don't feel right) can make much more than 10%.
Why bother with your 5% strategy?
>> 这并不是很难的事吧
It's always easy when you look back. But it's much harder than you thought.
【在 K***l 的大作中提到】
: 我只是说碰到这种大势要stay away,而不是try to make money out of it。其实你去
: 看金融危机，早期时已经有感觉，几家公司的异动，这时有几种可能，一种就是大跌，
: 一种是政府救市成功，市场恢复平稳，如果是有了方向判断，然后去操作，那就有损失
: 的可能性，如果你觉得不对劲，但也不知道结果好坏，你大不了不做，stay at cash，
: 这并不是很难的事吧。
|
k***n
发帖数: 3158 | 53 then why mentioning this to LZ who obviously was not looking for such a play?
are you wasting your time here or just trying to show off that you are
the man who can play this "high-level" game? grow up!
Lehman
【在 K***l 的大作中提到】
: 所以说，这个把戏不是人人都能玩的，是需要很多经验和很多力气的。
: 我仍然清晰地记得次贷危机发生的过程，当时各种传闻沸沸扬扬，先是ETFC股价剧烈波
: 动，然后mortgage公司出问题，然后Bear Sterns三天时间股价从60-30-2，然后Lehman
: 股价被折腾地死去活来，然后才宣布倒闭，引起金融海啸，但市场在这之前总体还是上
: 涨，我如果做这种strategy早早就停止操作了。但是如果之前一直在做，那么从10年的
: 期间平均下来，一年5%还是可以做到的。
: 做这个首先要对大势有个判断，比如现在就是一个比较平稳的市场，各方面都恢复了很
: 多，经济在向上，虽然大盘在高位，可能会出坏消息调整，但不会很剧烈，金融海啸总
: 是要酝酿一段时间的，不会一下子出现的。
: 再说10-20支股票，都是有选择性的具有大盘蓝筹性质的，或者跟踪指数的，所以性质
|
K***l
发帖数: 724 | 54 LZ is asking for 5% return with no risk and no time and effort. I am trying
to say with some time and efforts, the former two goals might be
achieveable.
play?
【在 k***n 的大作中提到】
: then why mentioning this to LZ who obviously was not looking for such a play?
: are you wasting your time here or just trying to show off that you are
: the man who can play this "high-level" game? grow up!
:
: Lehman
|
K***l
发帖数: 724 | 55 Buy and hold doesn't necessarily work, even blue chip stocks may drop over a
flat or bull market.
.
【在 s********n 的大作中提到】
: As I said, if you can do that, even a buy-and-hold strategy (but stay
: with cash when you don't feel right) can make much more than 10%.
: Why bother with your 5% strategy?
: >> 这并不是很难的事吧
: It's always easy when you look back. But it's much harder than you thought.
|
s********n
发帖数: 1962 | 56 you can just do index. I was actually talking about SP500.
My point is: "首先要对大势有个判断" is a huge condition. If you can do
that, then 90% of the job is done and the door is open. The rest part
is only about technical details and actually easy.
a
【在 K***l 的大作中提到】
: Buy and hold doesn't necessarily work, even blue chip stocks may drop over a
: flat or bull market.
:
: .
|
K***l
发帖数: 724 | 57 Even for index, there can be a lost decade which did happen in history.
"首先要对大势有个判断" does't mean very accurate, but if you sense something
, you stay away for a few months to watch, that's doable.
【在 s********n 的大作中提到】
: you can just do index. I was actually talking about SP500.
: My point is: "首先要对大势有个判断" is a huge condition. If you can do
: that, then 90% of the job is done and the door is open. The rest part
: is only about technical details and actually easy.
:
: a
|
s********n
发帖数: 1962 | 58 yes, there is a lost decade. But keep in mind we are talking about it
because you are assuming people can sense the big drop in 2008 and stay
out.
And I wasn't talking about very accurate prediction. People knew the
trouble in March 2007, yet the market only paused a bit and kept making
new high until 8 months later. You could be smart enough to stay out
starting from the beginning of 2007, but when do you come back?
something
【在 K***l 的大作中提到】
: Even for index, there can be a lost decade which did happen in history.
: "首先要对大势有个判断" does't mean very accurate, but if you sense something
: , you stay away for a few months to watch, that's doable.
|
K***l
发帖数: 724 | 59 It's a ten year play as required by LZ. I can stay out for 2-3 years, no
problme.
I'll keep watching the market, if the financials are in problem, then I stay
away from them, if I see the turbulance like Bear Sterns and Lehman, I stay
away totally. I'll come back in early 2010, and may stay away for 1-3
months whenever the flash crash, Dubai concerns, Greece debt concerns happen
. Now in the beginning of 2011, it's a perfect time to play because there
is no bad news, and no likely one in the near future. Stocks are high, so
not much room to move upside, but downside is also limited because no bad
news. Simple cyclical market movement is well covered by this strategy.
【在 s********n 的大作中提到】
: yes, there is a lost decade. But keep in mind we are talking about it
: because you are assuming people can sense the big drop in 2008 and stay
: out.
: And I wasn't talking about very accurate prediction. People knew the
: trouble in March 2007, yet the market only paused a bit and kept making
: new high until 8 months later. You could be smart enough to stay out
: starting from the beginning of 2007, but when do you come back?
:
: something
|
s********n
发帖数: 1962 | 60 >> Stocks are high, so not much room to move upside, but downside is
>> also limited because no bad news.
You'll see how dramatic it will turn out. There is no need to argue
more right now.
stay
stay
happen
【在 K***l 的大作中提到】
: It's a ten year play as required by LZ. I can stay out for 2-3 years, no
: problme.
: I'll keep watching the market, if the financials are in problem, then I stay
: away from them, if I see the turbulance like Bear Sterns and Lehman, I stay
: away totally. I'll come back in early 2010, and may stay away for 1-3
: months whenever the flash crash, Dubai concerns, Greece debt concerns happen
: . Now in the beginning of 2011, it's a perfect time to play because there
: is no bad news, and no likely one in the near future. Stocks are high, so
: not much room to move upside, but downside is also limited because no bad
: news. Simple cyclical market movement is well covered by this strategy.
|
|
|
K***l
发帖数: 724 | 61 I agree with you, and I am actually going long mid term.
But applying the specs of this strategy, there isn't going to be dramatic
increase month over month.
【在 s********n 的大作中提到】
: >> Stocks are high, so not much room to move upside, but downside is
: >> also limited because no bad news.
: You'll see how dramatic it will turn out. There is no need to argue
: more right now.
:
: stay
: stay
: happen
|
m**********r
发帖数: 887 | 62 This is very dangerous thinking.
Now in the beginning of 2011, it's a perfect time to play because there
【在 K***l 的大作中提到】
: I agree with you, and I am actually going long mid term.
: But applying the specs of this strategy, there isn't going to be dramatic
: increase month over month.
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D*****a
发帖数: 2847 | 63 全是马后炮。。
stay
stay
happen
【在 K***l 的大作中提到】
: It's a ten year play as required by LZ. I can stay out for 2-3 years, no
: problme.
: I'll keep watching the market, if the financials are in problem, then I stay
: away from them, if I see the turbulance like Bear Sterns and Lehman, I stay
: away totally. I'll come back in early 2010, and may stay away for 1-3
: months whenever the flash crash, Dubai concerns, Greece debt concerns happen
: . Now in the beginning of 2011, it's a perfect time to play because there
: is no bad news, and no likely one in the near future. Stocks are high, so
: not much room to move upside, but downside is also limited because no bad
: news. Simple cyclical market movement is well covered by this strategy.
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h*******s
发帖数: 3932 | 64 企业债券现在什么行情？
【在 c***6 的大作中提到】
: 各位投资高手，100万美元，只需要5%的年收益（不计通货膨胀），
: 但是需要风险为零，或者接近于零，能做到吗？怎么操作呢？
: 钱可以10年之内不用。在税上要最大利益话！
: 大家愿意讨论讨论吗？
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h*******s
发帖数: 3932 | 65 yes, hold until maturity is fine. everything is on the table.
【在 t***s 的大作中提到】
: why? muni ytm 3%+ easily ah. just buy and hold. what to loose?
: of course, reinvestment of the coupons could be a problem.
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a******o
发帖数: 7982 | 66 这都是从股版过来的牛人？
【在 c***6 的大作中提到】
: 1m is nothing, seriously.
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p****e
发帖数: 1028 | 67 how do you define risks?
daily mtm risk or shortfall risks?
i can show a few government bond strategies that bear little shortfall risks
, given you are willing to bear the credit risk of the US government.
【在 c***6 的大作中提到】
: 各位投资高手，100万美元，只需要5%的年收益（不计通货膨胀），
: 但是需要风险为零，或者接近于零，能做到吗？怎么操作呢？
: 钱可以10年之内不用。在税上要最大利益话！
: 大家愿意讨论讨论吗？
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c***6
发帖数: 229 | 68 my definition of zero risk is:
zero risk:
minimum possible up side - maximum possible down side > 5%. :P
close to zero risk:
minimum possible up side - maximum possible down side > 3%.
high risk:
minimum possible up side - maximum possible down side > current market 1 yr
CD rate.
The up down is based on yearly data, or two years maximum,
not total over 10 years or longer.
risks
【在 p****e 的大作中提到】
: how do you define risks?
: daily mtm risk or shortfall risks?
: i can show a few government bond strategies that bear little shortfall risks
: , given you are willing to bear the credit risk of the US government.
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s********n
发帖数: 1962 | 69 I don't understand your explanation...
yr
【在 c***6 的大作中提到】
: my definition of zero risk is:
: zero risk:
: minimum possible up side - maximum possible down side > 5%. :P
: close to zero risk:
: minimum possible up side - maximum possible down side > 3%.
: high risk:
: minimum possible up side - maximum possible down side > current market 1 yr
: CD rate.
: The up down is based on yearly data, or two years maximum,
: not total over 10 years or longer.
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p****e
发帖数: 1028 | 70 I dont quite understand it either, but seems ce666 is concerned about max
drawdown over lifetime of his investment.
Honestly in my opinion, given the current investment environment, this goal
is not realistic for individual investors.
【在 s********n 的大作中提到】
: I don't understand your explanation...
:
: yr
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c***6
发帖数: 229 | 71 "-" 就是减去
">" 就是大于
不好意思，俺英语太烂了。 |
s********n
发帖数: 1962 | 72 I understand what "-" and ">" means...
But I still have no clue what you are trying to say.
【在 c***6 的大作中提到】
: "-" 就是减去
: ">" 就是大于
: 不好意思，俺英语太烂了。
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c***6
发帖数: 229 | 73 晕
【在 s********n 的大作中提到】
: I understand what "-" and ">" means...
: But I still have no clue what you are trying to say.
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b*******d
发帖数: 192 | 74 hehe, you need to worry about false positive, i.e. stay out for too long.
I think half of the time of a bull market, people feel the bull market will
finish in any moment.
【在 K***l 的大作中提到】
: 我只是说碰到这种大势要stay away,而不是try to make money out of it。其实你去
: 看金融危机，早期时已经有感觉，几家公司的异动，这时有几种可能，一种就是大跌，
: 一种是政府救市成功，市场恢复平稳，如果是有了方向判断，然后去操作，那就有损失
: 的可能性，如果你觉得不对劲，但也不知道结果好坏，你大不了不做，stay at cash，
: 这并不是很难的事吧。
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d****o
发帖数: 443 | 75 好像还差49M才能找Fidelity人认真给管理一下：
http://www.investmentnews.com/article/20101024/REG/310249954
还是买JLPSX吧。
【在 T*******t 的大作中提到】
: 有1m的人还要问别人？
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f****s
发帖数: 315 | 76 I like this post, and what stockdemon pointed makes more sense to me if you
think twice...
This fund looks impressive, and may meet lz's requirement.
http://www.iasg.com/groups/group/vegasoul-capital-management-lt |
s********h
发帖数: 158 | 77 he is basically defining risk by the delta btwn the minimum upside potential
and the the maximum downside potential.
that's reasonable, but it depends
on how u go about assessing the potential vs risk.
【在 s********n 的大作中提到】
: I understand what "-" and ">" means...
: But I still have no clue what you are trying to say.
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n******n
发帖数: 12088 | 78 u should put it to joke board.
【在 s********n 的大作中提到】
: "多数时候市场趋势的可预测性接近百分之百"
: You must be kidding me.
: I'll be honest to you: Usually when I see this kind of statement I
: delete the post, because it's plainly naive to me and I think it can
: be very misleading to newbies. The reason your system is successful
: recently is most likely because we are in a good trend market. I don't
: trust anything that hasn't been back-tested for 10 years. And yet I
: haven't seen anything personally that can pass a strict back-test
: for 10 years with enough samples.
: I'll leave the post here this time just to be open-minded.
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g*****g
发帖数: 34805 | 79 This is a neutral long condor strategy.
The main problem though, is the transaction fee
and the spread in buy/ask price.
You get lots of small gain, and one quick move
on either side can wipe out your many gains.
Like you said, spread credit is maybe 0.2 for
the spread, and your max loss is 5. And you also
pay 0.04 at least for transaction. i.e One loss
can equal 30 gains.
有2
【在 K***l 的大作中提到】
: 就知道你要说flash crash，那个对我构不成影响，除非发生在OE当天，因为我只关心
: 从一个
: OE到另一个OE的价格变化，中间股价怎么变，对我不会有影响，也不会形成margin
: call，做
: spread就是这样的，这你明白。
: 好，现在做sample:
: IBM，现价145左右，我认为一个月的变动不会超过15块，所以买165的call,卖160的
: call,卖
: 130的put，买125的put，spread credit在0.1，保证金是5块，其实预期回报率已经有2
: %；好
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h*******y
发帖数: 864 | 80
I completely agree. Any rising stock will keep rising. Until it stops rising
. It worked 100% of the time. I have back-tested with all available
historical data.
【在 w***w 的大作中提到】
: "The reason your system is successful
: 实际上市场总是一个trend market。任何不升不跌的局面都是非常短暂的。在一些拉锯
: 的市场如果把时间放长一点，他们也只是trend market的一个组成部分。
: 这就是我为什么hold的时间长一点，而不理睬短期市场的拉锯起伏。
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