k**u
发帖数: 698 | 1 【 以下文字转载自 Stock 讨论区 】
发信人: catcher (Can I?), 信区: Stock
标 题: 高盛：完美无缺的一季！！！
发信站: BBS 未名空间站 (Mon May 10 19:44:54 2010, 美东)
神啊！
"I'm doing God's work" - Lloyd Blankfein
http://online.wsj.com/article/SB10001424052748703880304575236132462861088.html
Goldman Sachs Group Inc. traders didn't lose any money at the end of each
trading day during the first quarter, a first for the Wall Street firm,
which typically loses funds on at least a handful of days in the period.
Traders raked in more than $100 mill |
k**u
发帖数: 698 | 2 各位在大银行工作的大牛说说这种稳赚不赔是怎么实现的？怎么可能呢？
【在 k**u 的大作中提到】
: 【 以下文字转载自 Stock 讨论区 】
: 发信人: catcher (Can I?), 信区: Stock
: 标 题: 高盛：完美无缺的一季！！！
: 发信站: BBS 未名空间站 (Mon May 10 19:44:54 2010, 美东)
: 神啊！
: "I'm doing God's work" - Lloyd Blankfein
: http://online.wsj.com/article/SB10001424052748703880304575236132462861088.html
: Goldman Sachs Group Inc. traders didn't lose any money at the end of each
: trading day during the first quarter, a first for the Wall Street firm,
: which typically loses funds on at least a handful of days in the period.
|
x**y
发帖数: 10012 | 3 似乎去年高盛的交易也只有一天是赔的
【在 k**u 的大作中提到】
: 各位在大银行工作的大牛说说这种稳赚不赔是怎么实现的？怎么可能呢？
|
k**u
发帖数: 698 | 4 怎么这么牛呢。有什么insight?
【在 x**y 的大作中提到】
: 似乎去年高盛的交易也只有一天是赔的
|
B*******t
发帖数: 135 | 5 做market-maker理论上就是稳赚不赔，market risk都应该hedge掉，主要的risk是
counter-party risk，也可以通过合理的margin/collateral 来cover掉。
当然高盛有一大部分trading是prop trading（按照CEO在Charlie Rose上讲的revenue
的10%是prop trading），也能稳赚不赔，那就是他们NB的地方。
【在 k**u 的大作中提到】
: 各位在大银行工作的大牛说说这种稳赚不赔是怎么实现的？怎么可能呢？
|
C*******r
发帖数: 10 | 6 这个是专门指prop desk吗？还是包括整个asset management? |
G*****3
发帖数: 71 | 7 Diversification is the key |
c*********u
发帖数: 361 | 8 ft, 不要传的太离谱了，这个是高盛历史上第一次实现单季度没有一天亏损
【在 x**y 的大作中提到】
: 似乎去年高盛的交易也只有一天是赔的
|
x**y
发帖数: 10012 | 9 trading就是个赌博游戏
比的什么?
智商 情报 和 技术
这几方面 高盛在情报和技术上面 领先
trader又都是top的
焉能不胜?
【在 k**u 的大作中提到】
: 怎么这么牛呢。有什么insight?
|
g*****u
发帖数: 14294 | 10 就这个讲得还有点靠谱。
revenue
【在 B*******t 的大作中提到】
: 做market-maker理论上就是稳赚不赔，market risk都应该hedge掉，主要的risk是
: counter-party risk，也可以通过合理的margin/collateral 来cover掉。
: 当然高盛有一大部分trading是prop trading（按照CEO在Charlie Rose上讲的revenue
: 的10%是prop trading），也能稳赚不赔，那就是他们NB的地方。
|
|
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a***r
发帖数: 594 | 11 a couple reasons it is a favorable environment for a broker dealer right now.
1. diversification. One needs to remember that we are looking at many
different businesses: FX, IR, Credit, Comod, Equity shares, Equity vol,
exotics. Each of these include different geo regions: NA, EU, Japan, Asia,
SA. any given time, some are up, some are down.
This is a natural advantage of the dealers. Ofcouse, the top level must be very smart in terms of risk allocation across the markets, regions etc.
2. Current
【在 k**u 的大作中提到】
: 怎么这么牛呢。有什么insight?
|
g*****u
发帖数: 14294 | 12 Very insightful. Thanks for sharing.
Can you please elaborate a little more how the dealer might hedge his
directional positions, equity, that is?
now.
very smart in terms of risk allocation across the markets, regions etc.
to pay some cost to off load its short risk. in a strong bear market, a
dealer wil be forced into a net long, which it needs to hedge.
And a lot short term range investors who flip their positions on regular
basis.
to
【在 a***r 的大作中提到】
: a couple reasons it is a favorable environment for a broker dealer right now.
: 1. diversification. One needs to remember that we are looking at many
: different businesses: FX, IR, Credit, Comod, Equity shares, Equity vol,
: exotics. Each of these include different geo regions: NA, EU, Japan, Asia,
: SA. any given time, some are up, some are down.
: This is a natural advantage of the dealers. Ofcouse, the top level must be very smart in terms of risk allocation across the markets, regions etc.
: 2. Current
|
w*****e
发帖数: 197 | 13 For equities, one popular way is to write options
covered by your position, i.e., short call when you
long, short put when you short. Most funds are active
in this. Or you can do the other way around, buy options
as your insurance. You can also hedge with indices etc,
With tons of techniques, traders need to make decisions.
In my opinion, this is where good traders offer
their value on the table. Numbers are not hard to come by,
but numbers are static, the market is always dynamic.
So you need t
【在 g*****u 的大作中提到】
: Very insightful. Thanks for sharing.
: Can you please elaborate a little more how the dealer might hedge his
: directional positions, equity, that is?
:
: now.
: very smart in terms of risk allocation across the markets, regions etc.
: to pay some cost to off load its short risk. in a strong bear market, a
: dealer wil be forced into a net long, which it needs to hedge.
: And a lot short term range investors who flip their positions on regular
: basis.
|
v******e
发帖数: 264 | 14 我虽然不算内行，但觉得这个说法最合理。
低风险也暗示着低收益。为什么每天都不赔很重要，难道不是一个季度的总收益最重要？
【在 c*********u 的大作中提到】
: ft, 不要传的太离谱了，这个是高盛历史上第一次实现单季度没有一天亏损
|
g****l
发帖数: 214 | 15 prop也可以赔啊，反正只有10%，损失还有另外90%来cover。所以不能因此说高盛的
prop是稳赚不赔
revenue
【在 B*******t 的大作中提到】
: 做market-maker理论上就是稳赚不赔，market risk都应该hedge掉，主要的risk是
: counter-party risk，也可以通过合理的margin/collateral 来cover掉。
: 当然高盛有一大部分trading是prop trading（按照CEO在Charlie Rose上讲的revenue
: 的10%是prop trading），也能稳赚不赔，那就是他们NB的地方。
|
g*****u
发帖数: 14294 | 16 "低风险也暗示着低收益" 那是平均而言。
要？
【在 v******e 的大作中提到】
: 我虽然不算内行，但觉得这个说法最合理。
: 低风险也暗示着低收益。为什么每天都不赔很重要，难道不是一个季度的总收益最重要？
|
a***r
发帖数: 594 | 17 for a dealer, if you got hit a lot on your bids but not on your asks, and got
long a lot. there are a few things you can do among many:
1. lower your asks, so they get hit more likely, thereby give away part of
the bid ask spread.
2. go hit other people's bid, thereby off load you long, but give away the
full bid-ask spread.
3. hedge with index. actually, most places, people will first do index based
macro hedge anyway, then tweak residual single name risks.
4. none one delta hedges, such as us
【在 g*****u 的大作中提到】
: Very insightful. Thanks for sharing.
: Can you please elaborate a little more how the dealer might hedge his
: directional positions, equity, that is?
:
: now.
: very smart in terms of risk allocation across the markets, regions etc.
: to pay some cost to off load its short risk. in a strong bear market, a
: dealer wil be forced into a net long, which it needs to hedge.
: And a lot short term range investors who flip their positions on regular
: basis.
|
g*****u
发帖数: 14294 | 18 This is real good!
got
based
【在 a***r 的大作中提到】
: for a dealer, if you got hit a lot on your bids but not on your asks, and got
: long a lot. there are a few things you can do among many:
: 1. lower your asks, so they get hit more likely, thereby give away part of
: the bid ask spread.
: 2. go hit other people's bid, thereby off load you long, but give away the
: full bid-ask spread.
: 3. hedge with index. actually, most places, people will first do index based
: macro hedge anyway, then tweak residual single name risks.
: 4. none one delta hedges, such as us
|
s*******b
发帖数: 42 | 19 谁说mraket-maker理论上稳赚不赔的...
revenue
【在 B*******t 的大作中提到】
: 做market-maker理论上就是稳赚不赔，market risk都应该hedge掉，主要的risk是
: counter-party risk，也可以通过合理的margin/collateral 来cover掉。
: 当然高盛有一大部分trading是prop trading（按照CEO在Charlie Rose上讲的revenue
: 的10%是prop trading），也能稳赚不赔，那就是他们NB的地方。
|
B*******t
发帖数: 135 | 20 我说理论上（如果该做的都做到了并且作对了的话）
请教一下怎么赔？
【在 s*******b 的大作中提到】
: 谁说mraket-maker理论上稳赚不赔的...
:
: revenue
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x**y
发帖数: 10012 | 21 market maker如果有存货 就有风险了
而且有些market maker是有obligation的
【在 B*******t 的大作中提到】
: 我说理论上（如果该做的都做到了并且作对了的话）
: 请教一下怎么赔？
|
a**n
发帖数: 3801 | 22 理论上就没有稳赚不赔的买卖。。
用英文讲，叫no arbitrage，赫赫
【在 B*******t 的大作中提到】
: 我说理论上（如果该做的都做到了并且作对了的话）
: 请教一下怎么赔？
|
g*****u
发帖数: 14294 | 23 MM通常有很多库存long and short。
Obligation to provide liquidity也不是说要便宜了对家。
上周四不也出现0.01的成交价了嘛。
【在 x**y 的大作中提到】
: market maker如果有存货 就有风险了
: 而且有些market maker是有obligation的
|
G*****3
发帖数: 71 | 24 Apparently it is not just Goldman. JPM and BoA made money everyday for the
first quarter too.
http://www.bloomberg.com/apps/news?pid=20601039&sid=ax0kTsl0dBXw |
G*****3
发帖数: 71 | 25 It is funny when you read the article in details. It was saying that the
reason that they could all make money every day it is that the government is
giving them free money. |
d*j
发帖数: 13780 | 26 citi 也是的
MS 也只有几天亏钱
【在 G*****3 的大作中提到】
: Apparently it is not just Goldman. JPM and BoA made money everyday for the
: first quarter too.
: http://www.bloomberg.com/apps/news?pid=20601039&sid=ax0kTsl0dBXw
|
a***r
发帖数: 594 | 27 as others said, as long as you carry positions, you can loose money.
As a market maker, it is important to "stand ready and willing" to take the
other side for your clients. if you do not, you loose market share, quickly.
I worked in OTC space, where it is very important to keep your clients. I
think for exchanged traded, a market maker is required to show qoutes on
exchanges and must executed at those qoutes when hit.
so you WILL have positions, at times very underisable positions. like in the
【在 B*******t 的大作中提到】
: 我说理论上（如果该做的都做到了并且作对了的话）
: 请教一下怎么赔？
|
W*******d
发帖数: 63 | 28 almost all the large banks had a perfect quarter.
Nothing mysterious here: with current very steep yield curve,
they can borrow at close to zero cost at short term and
invest at long term treasury bond at 3%.
【在 k**u 的大作中提到】
: 【 以下文字转载自 Stock 讨论区 】
: 发信人: catcher (Can I?), 信区: Stock
: 标 题: 高盛：完美无缺的一季！！！
: 发信站: BBS 未名空间站 (Mon May 10 19:44:54 2010, 美东)
: 神啊！
: "I'm doing God's work" - Lloyd Blankfein
: http://online.wsj.com/article/SB10001424052748703880304575236132462861088.html
: Goldman Sachs Group Inc. traders didn't lose any money at the end of each
: trading day during the first quarter, a first for the Wall Street firm,
: which typically loses funds on at least a handful of days in the period.
|
G*****3
发帖数: 71 | 29 I have done a lot of market making for the exchange. The nightmare comes
when the price is trading discontinuously (a large trade take out a few
prices at the same time) and your connection isnt fast enough to take out
your hedge....On the other hand, OCT is much better, as you can tell people
to fuck off when you dont like the trade at the same time know what people
are up to.
the
quickly.
the
longer
【在 a***r 的大作中提到】
: as others said, as long as you carry positions, you can loose money.
: As a market maker, it is important to "stand ready and willing" to take the
: other side for your clients. if you do not, you loose market share, quickly.
: I worked in OTC space, where it is very important to keep your clients. I
: think for exchanged traded, a market maker is required to show qoutes on
: exchanges and must executed at those qoutes when hit.
: so you WILL have positions, at times very underisable positions. like in the
|
B*******t
发帖数: 135 | 30 你说的“理论上”跟我说的“理论上”不是一个层次的，你那个更“理论上”。
在你那个层次的“理论上”连offer-bid spread都没有，sell side都是做活雷锋的角
色。
【在 a**n 的大作中提到】
: 理论上就没有稳赚不赔的买卖。。
: 用英文讲，叫no arbitrage，赫赫
|
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B*******t
发帖数: 135 | 31 嗯，你说的我同意，但是有必要澄清一下我说的“理论上”是哪个“理论上”
First of all, as a market maker, it is NOT IMPORTANT to "stand ready and
willing" to take the other side for your clients. Instead, that's its role
BY DEFINITION.
我说的“理论上”如下。
考虑market-maker最基本的business model。
在liquid market上参与市场交易，基于自己对市场的阅读理解给出bid-offer spread
，这个spread是这一部分赚钱的根本。
同时根据liquid market上的价格信息来决定如何hedge自己的position。比如这个版上
很多人要打交道的pricing model/vol calibration 就是这一个环节的技术核心。
Market-maker的角色by definition就是在市场上take the other side，但不是说take
the other side就
【在 a***r 的大作中提到】
: as others said, as long as you carry positions, you can loose money.
: As a market maker, it is important to "stand ready and willing" to take the
: other side for your clients. if you do not, you loose market share, quickly.
: I worked in OTC space, where it is very important to keep your clients. I
: think for exchanged traded, a market maker is required to show qoutes on
: exchanges and must executed at those qoutes when hit.
: so you WILL have positions, at times very underisable positions. like in the
|
a**n
发帖数: 3801 | 32 事实上不可能完美hedge啊 于是就有了亏损的可能
还有adverse selection问题
总之MM和其他的交易者一样，都是用各自的策略在
风险和收益间求得平衡 没有永远挣钱的买卖。。
spread
【在 B*******t 的大作中提到】
: 嗯，你说的我同意，但是有必要澄清一下我说的“理论上”是哪个“理论上”
: First of all, as a market maker, it is NOT IMPORTANT to "stand ready and
: willing" to take the other side for your clients. Instead, that's its role
: BY DEFINITION.
: 我说的“理论上”如下。
: 考虑market-maker最基本的business model。
: 在liquid market上参与市场交易，基于自己对市场的阅读理解给出bid-offer spread
: ，这个spread是这一部分赚钱的根本。
: 同时根据liquid market上的价格信息来决定如何hedge自己的position。比如这个版上
: 很多人要打交道的pricing model/vol calibration 就是这一个环节的技术核心。
|
a***r
发帖数: 594 | 33 hedge is not costless, when you hedge, you basically cross bid-mids of some
instruments. though they might be more liquid assets than the one you want
to hedge. e.g. index vs. single stock, index vs tranches.
your theory is based on a few assumptions among others:
1. hedge is costless, or NEVER more expensive than the bid-ask or hair cut
of the instrument being hedged. this is not always true. And hedging costs typically blow up at you when you want to rebalance you hedge the most
2. hedge is in
【在 B*******t 的大作中提到】
: 嗯，你说的我同意，但是有必要澄清一下我说的“理论上”是哪个“理论上”
: First of all, as a market maker, it is NOT IMPORTANT to "stand ready and
: willing" to take the other side for your clients. Instead, that's its role
: BY DEFINITION.
: 我说的“理论上”如下。
: 考虑market-maker最基本的business model。
: 在liquid market上参与市场交易，基于自己对市场的阅读理解给出bid-offer spread
: ，这个spread是这一部分赚钱的根本。
: 同时根据liquid market上的价格信息来决定如何hedge自己的position。比如这个版上
: 很多人要打交道的pricing model/vol calibration 就是这一个环节的技术核心。
|
B*******t
发帖数: 135 | 34 你说的这些我都同意啊，你前面说的我也同意。
我的意思我想我也说的很清楚了，mm有这么一个理论层面上的business model在理论层
面上他们可以稳赚不赔。当然谁都知道theoretical business model跟现实有差别（有
时候甚至差别不小）。我前面说的不是我的theory，而是mm的theoretical business
model。
或者我应该这么说：mm至少有这么一个稳赚不赔的theoretical business model（虽然
到实际层面上很多东西并不像theorey描述的那样）。而一般来说non-market-maker可
能连这样一个理论上稳赚不赔的business model都没有（当然很可能也有non-mm是有这
种business model的）。如果你是一个小hedge fund，通过fundamental analysis来
long/short股票，很显然你就没有这样一个（哪怕只是理论上）稳赚不赔的model。
some
typically blow up at you when you want to rebalance you h
【在 a***r 的大作中提到】
: hedge is not costless, when you hedge, you basically cross bid-mids of some
: instruments. though they might be more liquid assets than the one you want
: to hedge. e.g. index vs. single stock, index vs tranches.
: your theory is based on a few assumptions among others:
: 1. hedge is costless, or NEVER more expensive than the bid-ask or hair cut
: of the instrument being hedged. this is not always true. And hedging costs typically blow up at you when you want to rebalance you hedge the most
: 2. hedge is in
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g*****u
发帖数: 14294 | 35 这个所谓的理论模型是你想像的，还是能提供出参考链接？
这个稳赚不赔定义也不严格。是任何时间尺度，每一笔单子都赢利呢？还是嘛别的。
【在 B*******t 的大作中提到】
: 你说的这些我都同意啊，你前面说的我也同意。
: 我的意思我想我也说的很清楚了，mm有这么一个理论层面上的business model在理论层
: 面上他们可以稳赚不赔。当然谁都知道theoretical business model跟现实有差别（有
: 时候甚至差别不小）。我前面说的不是我的theory，而是mm的theoretical business
: model。
: 或者我应该这么说：mm至少有这么一个稳赚不赔的theoretical business model（虽然
: 到实际层面上很多东西并不像theorey描述的那样）。而一般来说non-market-maker可
: 能连这样一个理论上稳赚不赔的business model都没有（当然很可能也有non-mm是有这
: 种business model的）。如果你是一个小hedge fund，通过fundamental analysis来
: long/short股票，很显然你就没有这样一个（哪怕只是理论上）稳赚不赔的model。
|
a***r
发帖数: 594 | 36 even if there was such a "theoretical biz model", it s benefit is far out
weighted by the FACT that a dealer has much less control on what, when, how
much to trade than buy side investors, as long as he wants to maintain the
dealer status.
【在 B*******t 的大作中提到】
: 你说的这些我都同意啊，你前面说的我也同意。
: 我的意思我想我也说的很清楚了，mm有这么一个理论层面上的business model在理论层
: 面上他们可以稳赚不赔。当然谁都知道theoretical business model跟现实有差别（有
: 时候甚至差别不小）。我前面说的不是我的theory，而是mm的theoretical business
: model。
: 或者我应该这么说：mm至少有这么一个稳赚不赔的theoretical business model（虽然
: 到实际层面上很多东西并不像theorey描述的那样）。而一般来说non-market-maker可
: 能连这样一个理论上稳赚不赔的business model都没有（当然很可能也有non-mm是有这
: 种business model的）。如果你是一个小hedge fund，通过fundamental analysis来
: long/short股票，很显然你就没有这样一个（哪怕只是理论上）稳赚不赔的model。
|
