Research - zaujímavé články

Podielové fondy, ETF, Hedge fondy
Pravidlá fóra
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radvan
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Research - zaujímavé články

Príspevok od používateľa radvan »

trosku dlhsi clanok ale velmi zaujimavy:

https://www.gmo.com/America/CMSAttachme ... jcZrTH0%3d" onclick="window.open(this.href);return false;

je tam napr aj rozobrate, ako sa da pekne urobit synteticky akoze-hedge fund cez jednoduchu opcnu strategiu ...
These results suggest that hedge funds as a group earn steady returns by underwriting extreme downside market
moves. Remarkably, an asset class that purports to be an “alternative” source of returns, with low correlation to equity
markets, turns out to be simply another way to take downside equity market risk. Individual funds and strategies
certainly vary greatly, but in aggregate, once fees are taken into account, hedge funds appear to offer nothing beyond
a way to sell insurance against sharp market declines. This is a perfectly reasonable way to earn a return, but from a
risk perspective offers less diversifi cation than many investors expect.
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filip glasa
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Re: Research

Príspevok od používateľa filip glasa »

a nejaký lepší názov na túto sekciu by si nevedel?
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Re: Research

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ved to zmen ... zaujimave clanky? ... co sa ti hodi viac ...
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Re: Research - zaujímavé články

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zaujimavy clanok o investiciach do mien:

http://www.advisorperspectives.com/arti ... _Alpha.php" onclick="window.open(this.href);return false;
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osamely chodec
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Re: Research - zaujímavé články

Príspevok od používateľa osamely chodec »

zaujimavy clanok , naozaj,ak bude pokracovanie pridaj to tu
Existujú starí obchodníci a odvážni obchodníci. Je len veľmi málo starých, odvážnych obchodníkov. “ -Ed Seykota-
Porozumiet znamená zvyknúť si.
Láska nad zlato, myšlienka nad majetok.
Chodci a cyklisti vážia menej ako šoféri a šoférky. (prieskum EU)
RomanS
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Re: Research - zaujímavé články

Príspevok od používateľa RomanS »

fajn clanok... mierne nadvazujuci co mi lezal uz mesiac na disku kym som ho precital :) http://www.bis.org/publ/bppdf/bispap58j.pdf
troska statistiky ohladom active currency manazerov
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Re: Research - zaujímavé články

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RomanS napísal:fajn clanok... mierne nadvazujuci co mi lezal uz mesiac na disku kym som ho precital :) http://www.bis.org/publ/bppdf/bispap58j.pdf
troska statistiky ohladom active currency manazerov
super clanok :) ... ked mas viac takych co ti lezia na disku tak to hod sem :)
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este som necital cele ... ale zjavne to bude dost anti real estate:

http://www.bis.org/publ/work318.htm" onclick="window.open(this.href);return false;
The paper investigates how ageing will affect asset prices. A small model is used to show that economic and demographic factors drive asset, and in particular house, prices. These factors are estimated in a panel regression framework encompassing BIS real house price data from 22 advanced economies between 1970 and 2009. The estimates show that demographic factors affect real house prices significantly. Combining the results with UN population projections suggests that ageing will lower real house prices substantially over the next forty years. The headwind is around 80 basis points per annum in the United States and much stronger in Europe and Japan. Based on the analysis, global asset prices are likely to face substantial headwinds from ageing.
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Re: Research - zaujímavé články

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hedge fund hall of fame:

http://nymag.com/news/features/2007/hedgefunds/30342/" onclick="window.open(this.href);return false;
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este jedna pekna prezentacia ... par historickych hedge fund managerov a ich vynosy... do polky zhruba ...

http://www.optirisk-systems.com/events/ ... iemba1.ppt" onclick="window.open(this.href);return false;

zaujimavy je Thorpe - Sharpe ratio 3 pocas 20 rokov ...
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pekny clanok
http://gestaltu.blogspot.com/2011/08/de ... blues.html" onclick="window.open(this.href);return false;

studia k tomu:
http://www.frbsf.org/publications/econo ... 11-26.html" onclick="window.open(this.href);return false;
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Re: Research - zaujímavé články

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velice dobry clanok k futures trhu s ropou:

Naked Oil - http://www.theoildrum.com/node/8834" onclick="window.open(this.href);return false;
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Re: Research - zaujímavé články

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arbitraz od staroveku do zaciatku 20. storocia:

http://www.sfu.ca/~poitras/EQF_ARB$$.pdf" onclick="window.open(this.href);return false;
This article discusses the history of arbitrage from ancient times until the beginning of the twentieth
century. Opportunities for arbitrage trading in ancient times are related to the movement of goods
over distance. The key role of the bill of exchange in arbitrage trading during the Middle Ages is
identified and the connection to ‘arbitration of exchange’ discussed. A 17th century arbitrage
involving the gold and bill of exchange markets is detailed. As reflected in merchant manuals of
that period, the connection between riskless arbitrage trading and the method of conducting
arbitration of exchange in the 18th and 19th centuries is detailed. An overview of 19th century
arbitrage trading in securities and commodities is also provided. The article concludes with an
examination of the etymology and historical usage of the word ‘arbitrage’ and the associated
‘arbitration of exchange’.
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momentum effect pre bezneho retail investora (male portfolia, zapocitane vyssie transakcne naklady) ...

jedna z najjednoduchsich strategii so slusnou profitabilitou:

http://eprints.gla.ac.uk/33326/1/33326.pdf" onclick="window.open(this.href);return false;
This study uses U.K. data and investigates whether small investors can exploit the continuation effect in share prices. Individual traders are not in a financial position to buy and sell short hundreds of firms, as suggested by existing academic research, and thus this study uses extreme performance companies to implement the strategy. We find that strong momentum gains appear when extreme winners and losers are employed. These returns remain strong even after considering the transaction costs of implementing such strategies, including commissions, stamp duty, selling-short costs, and bid-ask spread. Overall, we show that a relatively large number of small investors can enjoy momentum gains, providing some evidence against stock market efficiency.
http://papers.ssrn.com/sol3/papers.cfm? ... id=1694700" onclick="window.open(this.href);return false;
While there is a large literature documenting the profitability of momentum strategies, their implementation is afflicted with many difficulties. Most importantly, high turnover and costs to hold short positions, especially in small-cap stocks, result in high transaction costs. We restrict our investment universe to large-capitalized stocks included in the S&P 100 index. Moreover, we implement simple investment strategies that invest long in single stocks and short in the stock index. Such simple and cost-saving momentum strategies generate economically high and statistically significant abnormal returns. These results are robust to various risk-adjustments including the CAPM, the Fama French (1993) three-factor model, and a conditional version of the Fama and French (1993) three-factor model.
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Re: Research - zaujímavé články

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super studia o vplyve demografie na vykonnost akciovych/dlhopisovych trhov ... odporucam prestudovat (snad to tu niekto cita :) ) ... pekne grafy na konci s demografickymi predpovedami ...

http://papers.ssrn.com/sol3/papers.cfm? ... id=1810985" onclick="window.open(this.href);return false;
It seems natural that the shifting composition of a nation’s population ought to influence GDP growth and perhaps also capital markets returns. As the baby boomers have aged, many people have studied past demographic data in an effort to extract indications for the future influence of the boomers on many aspects of the economy. We extend this body of literature by analyzing the effect of demographic changes on three measures of great importance for countries all over the world: real per capital PPP-adjusted GDP growth, stock market excess returns, and bond market excess returns.

We confirm what others have already demonstrated, but we extract markedly more statistical significance by adapting a polynomial curve-fitting technique pioneered by Fair and Dominguez (1991), to this new purpose. In our work, we find that a growing roster of young adults (age 15–49) is very good for GDP growth, a growing roster of older workers is a little bad for GDP growth, and a growing roster of young children or senior citizens is very bad for GDP growth.

We find surprisingly powerful results when we apply the same technique for exploring the links between demography and capital markets returns, net of the strong and well-documented effects of valuation and yield levels. Stocks perform best when the roster of people age 35–59 is particularly large, and when the roster of people age 45–64 is fast-growing. Bonds follow a similar pattern, with an age-shift: they’re best when the roster of people age 50–69 is growing quickly. We carry out three different forms of robustness checks, each of which provides statistical significance in different ways: applying different country weights, testing alternative demographic variables, and confirming GDP results on out-of-sample countries.

It would be dangerous to forecast the future based on these results. Tacitly, we would be assuming that past relationships between demography and either GDP growth or capital market returns will hold unaltered in the future. However, given the high levels of statistical significance in the historical relationships, it is too tempting to resist exploring the possible implications for future GDP growth and capital market returns. These implications—with all the caveats that must necessarily be offered—are sobering, to say the least.
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Iran - NATO analyza

http://www.theoildrum.com/node/8956" onclick="window.open(this.href);return false;
The balance of interests around the Strait of Hormuz can be analysed from a Games Theory perspective. All players profit from the trade that passes in both senses through this choke-point, and any disruption has a negative impact on all of them; since they all stand to lose, no player changes strategy and the game remains in equilibrium. The sanctions imposed by the NATO members on Iran menace this equilibrium, as they can eventually translate into an effective disruption of the Strait, for the large part closing it to Iran. NATO has chosen this strategy because it now evaluates the equilibrium as having a negative impact: the hypothetical nuclear menace from Iran. In its turn, if the Iranian foreign trade is seriously impacted then further disruption to the Strait stops having a negative impact internally and a strategy change to active disruption becomes profitable because it has negative impacts on other players. NATO has indeed played boldly and it remains to be seen how deep the consequences may be.

For now military action seems a remote hypothesis. Iran still has the ability to keep the Strait open to its ports, in spite of the sanctions. And naturally Iran can always at some point decide to abide by the inspections from the IAEA. From the NATO side military action appears likewise an unlikely scenario, as Iran's prolific military technology seems a deterrent on its own, to which can be added the unpredictable reactions from other major players at the global scale.

If a military conflict ever comes to develop around the Strait of Hormuz on the wake of this new batch of sanctions, it will be a definitive clarification of power over the region. In the three decades following the proclamation of the Carter Doctrine, wars in the region raged for a total of 20 years. NATO imports ever less oil from the Persian Gulf and its economic might has clearly waned during the last decade. Is the Carter Doctrine still affordable these days? Is it even practicable? A military clash at the Strait of Hormuz will certainly answer these questions.
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dobra knizka:
Brazilská průmyslová společnost Semco se zbavila manuálů a předpisů, sekretářek a archivů, prohlídek na vrátnici a dalších věcí, „bez kterých to nejde“. A jde to. Už skoro třicet let.
http://www.finmag.cz/cs/finmag/knizni-r ... ra-a-bati/" onclick="window.open(this.href);return false;
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skratene vysvetlenie fungovania ekonomiky:

https://www.bwater.com/Uploads/FileMana ... ewater.pdf" onclick="window.open(this.href);return false;
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porovnanie HFT a Low Freqency Trading (vsetko pomalsie nez HFT :) ) ... a co sa da v LFT pouzit z HFT sveta ... pekny research ...

http://papers.ssrn.com/sol3/papers.cfm? ... id=2034858" onclick="window.open(this.href);return false;
Over the last two centuries, technological advantages have allowed some traders to be faster than others. We argue that, contrary to popular perception, speed is not the defining characteristic that sets High Frequency Trading (HFT) apart. HFT is the natural evolution of a new trading paradigm that is characterized by strategic decisions made in a volume-clock metric. Even if the speed advantage disappears, HFT will evolve to continue exploiting Low Frequency Trading’s (LFT) structural weaknesses. However, LFT practitioners are not defenseless against HFT players, and we offer options that can help them survive and adapt to this new environment.
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vynikajuca studia k cene zlata:

http://papers.ssrn.com/sol3/papers.cfm? ... id=2078535" onclick="window.open(this.href);return false;
Gold objects have existed for thousands of years but gold has only been an actively traded object since 1975. Gold has often been described as an inflation hedge. If gold is an inflation hedge then on average its real return should be zero. Yet over 1, 5, 10, 15 and 20 year investment horizons the variation in the nominal and real returns of gold has not been driven by realized inflation. The real price of gold is currently high compared to history. In the past, when the real price of gold was above average, subsequent real gold returns have been below average. As a result investors in gold face a daunting dilemma: 1) seek inflation protection by paying a high real gold price that almost guarantees a decline in future purchasing power or 2) avoid gold and run the risk of a decline in future purchasing power if inflation surges. Given this situation is it time to explore “this time is different” rationalizations? We show that new mined supply is surprisingly unresponsive to prices. In addition, authoritative estimates suggest that about three quarters of the achievable world supply of gold has already been mined. On the demand side, we focus on the official gold holdings of many countries. If prominent emerging markets increase their gold holdings to average per capita or per GDP holdings of developed countries, the real price of gold may rise even further from today’s elevated levels.
odporucam precitat predtym, nez sa niekto rozhodne utekat sa poistit proti inflacii do "Prazskej mincovne" napr. (http://www.prazska-mincovna.sk/Prazska_ ... ava_SK.htm" onclick="window.open(this.href);return false;)
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filip glasa
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Re: Research - zaujímavé články

Príspevok od používateľa filip glasa »

kto mi tento paper co na neho odkazuje radvan spracuje do clanku, tak ho vyplatim v zla..., vlastne v striebre :D
zlato nemam :wink:
Prílohy
SSRN-id2078535.pdf
(1.63 MiB) 410 stiahnutia
radvan
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dve dobre researche:

Faber: Global Value: Building Trading Models with the 10 Year CAPE
papers.ssrn.com/sol3/papers.cfm?abstract_id=2129474
Abstract:
Over seventy years ago Benjamin Graham and David Dodd proposed valuing securities with earnings smoothed across multiple years. Robert Shiller popularized this method with his version of this cyclically adjusted price-to-earnings ratio (CAPE) in the late 1990s, and issued a timely warning of poor stock returns to follow in the coming years. We apply this valuation metric across over thirty foreign markets and find it both practical and useful, and indeed witness even greater examples of bubbles and busts abroad than in the United States. We then create a trading system to build global stock portfolios based on valuation, and find significant outperformance by selecting markets based on relative and absolute valuation.

- chystate sa niekto kupit Grecko ? :)

a

Frazzini, Kabiller, Pedersen: Buffett’s Alpha
http://www.econ.yale.edu/~af227/pdf/Buf ... dersen.pdf" onclick="window.open(this.href);return false;
Abstract:
Berkshire Hathaway has a higher Sharpe ratio than any stock or mutual fund with a history of more than 30 years and Berkshire has a significant alpha to traditional risk factors. However, we find that the alpha become statistically insignificant when controlling for exposures to Betting-Against-Beta and quality factors. We estimate that Berkshire’s average leverage is about 1.6-to-1 and that it relies on unusually low-cost and stable sources of financing. Berkshire’s returns can thus largely be explained by the use of leverage combined with a focus on cheap, safe, quality stocks. We find that Berkshire’s portfolio of publicly-traded stocks outperform private companies, suggesting that Buffett’s returns are more due to stock selection than to a direct effect on management.
Buffett’s track record is clearly outstanding. A dollar invested in Berkshire Hathaway in November 1976 (when our data sample starts) would have been worth more than $1500 at the end of 2011. Over this time, Berkshire realized an average annual return of 19.0% in excess of the T-Bill rate, significantly outperforming the general stock market’s average excess return of 6.1%.
Berkshire stock also entailed more risk, realizing a volatility of 24.9%, higher than the market volatility of 15.8%. However, Berskhire’s excess return was high even relative to its risk, earning a Sharpe ratio of 19.0%/24.9% = 0.76, nearly twice the market’s Sharpe ratio of 0.39. Berkshire realized a market beta of only 0.7, an important point that we will discuss in more detail when we analyze the types of stocks that Buffett buys. Adjusting Berkshire’s performance for market exposure, we compute its Information ratio to be 0.66.
- perfektny research na temu z coho je jeho vynos ... ziadna raketova veda ...

ale ... mali by ste niekto gule toto ustat a pokracovat dalej vo svojom style ?
These performance measures reflect Buffett’s impressive returns, but also that Berkshire has been associated with some risk. Berkshire has had a number of down years and drawdown periods. For example, from June 30, 1998 to February 29, 2000, Berkshire lost 44% of its market value while the overall stock market gained 32%. While many fund managers might have had trouble surviving a 76% shortfall, Buffett’s impeccable reputation and unique structure as a corporation allowed him to stay the course and rebound as the internet bubble burst.
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Kontrast
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Re: Research - zaujímavé články

Príspevok od používateľa Kontrast »

Dakujem ti radvan za vsetky linky ktore postujes. Je super ze sem davas zaujimave veci, ktore by clovek musel hladat resp. sledovat vsade mozne ci sa nieco neobjavilo zaujimave.

Resarch paper na cenu zlata bol skutocne dobry.
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Príspevok od používateľa radvan »

Well napísal:Dakujem ti radvan za vsetky linky ktore postujes. Je super ze sem davas zaujimave veci, ktore by clovek musel hladat resp. sledovat vsade mozne ci sa nieco neobjavilo zaujimave.

Resarch paper na cenu zlata bol skutocne dobry.
rado sa stalo :) ... som rad, ze sa to niekomu z fora zda uzitocne :) ... ja toho mesacne precitam kvanta, takze nemam problem sem obcas hodit nieco zaujimave, co mam pocit, ze by mohlo zaujat ludi z fora ...

inak filip, ten research o tom buffetovi je fakt dobry ... to je v pohode aj na samostatny clanok ...
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Kontrast
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Re: Research - zaujímavé články

Príspevok od používateľa Kontrast »

urcite sem hadz co mozes. paper o bufferovi bol tiez dobry, zaujimave ako pouziva paku.
pre zaujemcov zhrnutie: je uspesny pretoze:

1. paka a velmi lacne peniaze (ich cena je dokonca pod urocenie t-bills)
2. ziadne tlaky od akcionarov (nemusi sa spravat ako spravcovia vo fondoch, ktori sa snazia nevytrcat)
3. stabilne a kvalitne spolocnosti
radvan
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Príspevok od používateľa radvan »

jednoduche a efektivne investicne portfolio:

http://advisorperspectives.com/dshort/g ... Part-1.php" onclick="window.open(this.href);return false;
http://advisorperspectives.com/dshort/g ... Part-2.php" onclick="window.open(this.href);return false;
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kolega
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Re: Research - zaujímavé články

Príspevok od používateľa kolega »

radvan napísal:jednoduche a efektivne investicne portfolio:

http://advisorperspectives.com/dshort/g ... Part-1.php" onclick="window.open(this.href);return false;
http://advisorperspectives.com/dshort/g ... Part-2.php" onclick="window.open(this.href);return false;
lajk, diky za taketo linky (a hej niekto ich cita :-D ).
Kontrast
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Re: Research - zaujímavé články

Príspevok od používateľa Kontrast »

nejake nove zaujimave veci na citanie? :)
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Re: Research - zaujímavé články

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az tak ma nic neohurilo v poslednej dobe ... ale ked nemas co citat, tak napr. tento research k "Managed futures" je zaujimavy:

https://workspace.imperial.ac.uk/busine ... b/wp11.pdf" onclick="window.open(this.href);return false;
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Kontrast
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Re: Research - zaujímavé články

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nemas nahodou prosim ta nieco zaujimave na citanie ohladom komodit - zelezo/med/hlinik/chrom? :)
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nemam priamo ziadny takyto research (k jednotlivym komoditam co si vymenoval) ...

ale mam iny zaujimavy research od pimca:

http://europe.pimco.com/EN/Insights/Pag ... emium.aspx" onclick="window.open(this.href);return false;

a zaujimava webka - databaza CTA - Commodity Trading Advisors:

http://www.managedfutures.com" onclick="window.open(this.href);return false;

asi by to malo byt v inej teme :) ... ale je zaujimave pozriet si vykonnosti tych fondov/manazerov, ktori su roky v businese a nie su to ziadny Buy&Hold, ale slusni traderi futures ... ze pre firmy co to robia dlhsie ako 10 rokov je tazke najst niekoho so Sharpe nad 1.0 pripadne s pomerom ROR / Max DD nad 0.5 ... ak ma niekto 15%+ vynos, tak ma drawdowny bezne 20-40% ... mozno len na zrealnenie ocakavani ...
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Re: Research - zaujímavé články

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Diky pozriem sa na to.

Neplanujem investicie do futures ani priamo do kovov, ale len som pozeral na moznosti investicie do taziarenskych spolocnosti, kedze su dnes na velarocnych minimach.
kolega
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Re: Research - zaujímavé články

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radvan
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twitter trading je BS ...

Twitter Hedge Fund dead
http://turnkeyanalyst.com/2012/05/the-d ... r-trading/" onclick="window.open(this.href);return false;
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kolega
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radvan napísal: twitter trading je BS ...

Twitter Hedge Fund dead
http://turnkeyanalyst.com/2012/05/the-d ... r-trading/" onclick="window.open(this.href);return false;
... najprv som dlho premyslal co je to BS :-D

nuz, mne to davalo viacej zmysel ako napriklad obchodovanie podla pohybliveho priemeru ale co uz.
(ale teda dik za osvietenie)
radvan
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ten twitter je proste len indikator sentimentu ... rovnako ako AAII sentiment polls, Put-Call ratio, VIX, Michigan confidence index, sentiment blogerov atd. atd. ... neni dovod preco by to malo mat sumarne nejaku ultra lepsiu predpovedaciu schopnost ako ine podobne veci ... v tej studii urobili backtest na 20 dnoch dat ... a potom podla toho urobili hedge fund ... to nemalo sancu fungovat ...
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dobra analyza nakolko su "real" assets naozaj "real" ... vyvraca par "misconceptions" o tom, ze aky perfektny hedge proti inflacii su zlato alebo nehnutelnosti ... a ze najlepsi hedge je cash ... takze to co tu vsetci dokola omielaju - ak sa bojite inflacie, tak robte dobre ulozky v bankach ...

Ang: 'Real' Assets
http://papers.ssrn.com/sol3/papers.cfm? ... id=2161124" onclick="window.open(this.href);return false;
Abstract:
Traditionally, “real” assets such as inflation-indexed bonds, commodities and real estate were thought to have correlate well with inflation and thus provide protection against rising price levels. But many of these assets turn out not to be that “real.” While a single real bond provides a constant real return by definition, real bonds as an asset class has a correlation with inflation close to zero. Among commodities, only energy has been a decent inflation hedge. Gold, surprisingly, has been a poor inflation hedge. Real estate has some, but certainly far from complete, inflation-hedging ability. Cash (T-bills), in contrast, is one of the best inflation hedges.
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pekny research:
http://www.portfolio-cafe.com/wp-conten ... ction-.pdf" onclick="window.open(this.href);return false;
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http://www.mebanefaber.com/2012/11/28/t ... s-of-2012/" onclick="window.open(this.href);return false;

jedno z najuspesnejsich ETF minuly rok (v tom, kolko $ bolo schopne raisnut) je Emerging Markets High Yield Bonds ... to je psycho ... ked sa nieco zacne kaslat, tak to ETF je prve na odstrel ...
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namer
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radvan napísal:http://www.mebanefaber.com/2012/11/28/t ... s-of-2012/

jedno z najuspesnejsich ETF minuly rok (v tom, kolko $ bolo schopne raisnut) je Emerging Markets High Yield Bonds ... to je psycho ... ked sa nieco zacne kaslat, tak to ETF je prve na odstrel ...
na margo by som sa chcel spýtať, že kde ja nájdem nejaký zoznam úplne všetkých ETF napr. v USA, v Nemecku, atď. ? Koľko ich vlastne existuje ? Či je ich tak strašne veľa, že to ani nikto nevie ?
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