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HSKAX: Two Out Of Two In Crash Prediction
It is pretty difficult to argue with deleveraging market neutrals, of which the HSKAX is the most indicative example, supported by the entire infrastructure of the JPM-Fed complex. Just like a month ago, so our post two days earlier that HSKAX is predicting something bad was about to occur, was disregarded by some... Probably the same ones who could have saved themselves a 4% drop in the S&P. And with the deleveraging continuing, we invite all skeptics to keep ignoring this one very critical signal.
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Turd gets his wish fulfilled:
by Turd Ferguson
on Fri, 06/04/2010 - 11:18
#394961
Wow, this is really starting to wash out.
Personally, The Turdman is hoping for a -400-500 loss for the Dow so I can watch/listen to all the hand-wringing and angst all weekend as we wait for Monday.
this will be played and is already being played by the MSM so come monday, friday is forgotten ....for a very short time . Any unexpected events over the weekend could kill damage control and it seems something is going to give .
My personal expectations for this merry go round I have been watching is:
the GUlf capping will be declared a great success even if it is not then tuesday the first tropical storm appears and they start removing the cap. Tyler have you got any old ROV's around to check out the site yourself?
Societe Generale recieves money to bail em out from french govt as the retirement age in france is changed from 62 to 83 .
Hungary has a miraculous 2 day recovery when a stress test is done from 9-10 am tomorrow and goldman will declare it the safest place in the world to keep your money .
The Ecb will accept Extra virgin olive oil as collateral for cash from the following countries -Greece spain ,Italy, and Portugal. Beer and whiskey will be accepted from Ireland.
_ a special unemployment report will be released an hour before monday's open declaring that a new birth death model is being used and 40 million jobs were created on saturday bringing the unemployment rate to zero in the US and Mexico !
75 blimps with GO BEN written on the side will be flying over the US full of 100 dollar bills to be dropped continuously for the next 40 days and 40 nights .
Gold will lose its status as a back up currency and will be confiscated around the globe as central banks and paid off physicists declare it the only weapon to fight a killer asteroid headed our way named "wormwood". It will all be shot into space to deflect it .Problem is it wont work .
You left out Israel commandeers/torpedoes humanitarian-aid vessel headed towards Gaza
Yes there will be a full on paint war as the humanitarians now know you dont bring knives to a paint fight. My suggestion buy Stock in Dutch Boy
good one.
Cover The World. . . Red.
Cover The World. . . Red.
Look, I understand your cynicism. However, the S&P just set a weekly close below the weekly close of FlashCrash week. This is extremely bearish. Hedgies and fund managers are going to stew all weekend long as they decide how they will sell on Monday.
And sell they will. They will.
I agree with you Turd (may I call you that?)-Monday will be a definite down day .Hell the Euro might not even make it until Monday .My cynicism is pointed at how CB's and gov'ts really have not much left in the bag of tricks and how everyday people will go about their everyday business this weekend as if nothing is wrong because they will be totally unaware we are about to go over a cliff. The MSM is going to paint it all rosie until the hedgies are out then say we didnt see that coming . Also I am trying to make light of a situation where we have never really tread before .
Is cynicism grounded in truth, still cynicism?
its the best kind
I've always maintained that there is a fine line between cynicism and realism.
In this case, we are all realistic.
"The power of accurate observation is commonly called cynicism by those who have not got it."
--George Bernard Shaw
Reality: Dow up 400 on Monday
if i were a gov of the ECB, i'd take saffron & rioja from spain. oregano, olives & ouzo from greece. cheese from the portuguese. and from italy, the golden chapel underneath st. peter's cathedral (yes, there is one). plus, the pine cone statue (the pope lost all rights to the pineal gland after his latest shenanigans imo).
france, i'll take the wormwood : the key to making a potent absinthe. and some provencial lavender fields to invite the rainbow festival crew to come squat on.
they can have the rest. do what thou wilt, just leave us alone from now on or we're coming for the michaelangelos and the bordeauxs.
one more thing : berlusconi's right middle finger...just cuz...
TuuuuuuuuuuurdMAN!!!!!!!
I gotta admit, Tyler. You're smelling like a rose right now. Godfader is trying to write up a thesis right now.. which is all of 3 words long.
Here's a thesis: Forget cash, forget shorting. The only position you should be in is fetal.
Absozippinlutely:
"Mother do you think they'll drop the bomb?
Mother do you think they'll like this song?
Mother do you think they'll try to break my balls?
Mother should I build the wall?
Mother should I run for president?
Mother should I trust the government?
Mother will they put me in the firing line?
Mother am I really dying?"
Mother: PF: Wall (rest left out to save unreal estate).
I can't wait to see the T-600's get rolled out. Can you?
How about missionary?
Iceland...Land of the Free
cossack, check this, inspired by iceland:
http://vimeo.com/12236680
happiness is just around the corner?
Thanks for the tip, Tip. I am freakn dying to leave ASAP. Nine bloody years in Europe and never made it past Sweden. I may do it yet, one way ticket, of course.
summer solstice & aurora borealis await you my friend.
As for me and Turd, we think the position we are all in is fecal.
Head, shoulders, (knees and toes.)
+1 You made the fish laugh.
CNBC have to roll out Ric Icelands fine Mishkin & Dick buy LEH Bove's to calm themselves down.....
In the infamous words of Sling Blade:
"Mr. Mishkin, step away from the hot girls because you sir fail at both life and dancing"
Oh my, now there's a Decider. Hey now.
CNBC in a classic "blame the govarmint when the market drops" move, trying to blame financial regulation. :)
Got Rosie on now. :eek:
Scott Wapner will need a dark room & some diazepam......
Pandora's box has been open on the TBTF: Open season on lawsuits began today as a Minnesota jury returned a plaintiff verdict in a $400million suit against Wells Fargo by 4 non-profits for fraud and violation of fiduciary. $30million damages were awarded without punitive damages.
Calling all trial lawyers!
Do you have a link?
http://minnesota.publicradio.org/display/web/2010/06/04/wells-fargo-frau...
that is minnesota nice for you. other jurisdictions won't be so obliging. it may not get dropped from helicopters (or blimps), but it's going to get spread around.
Can someone explain to me why a market neutral fund drop is a signal that markets are going down?
OK, here you go. It's a sign of massive de-leveraging. Now, pay attention going forward. I'm not doing this for you again.
http://www.zerohedge.com/article/market-neutral-deleveraging-pain-acute-...
I searched ZH before I asked the question and I read that article, but I suppose I should have been more clear with my question. How is this de-leveraging supposed to push down markets and why is this even considered de-leveraging?
A market neutral fund is market neutral. So if it de-leverages it's long side, it must inherently also be de-leveraging it's short side to stay market neutral. Half it's trades pushes down the market and half of the trades push up the market...(That's my interpretation).
Also, in terms of correlations, a look at HSKAX from around July 2009 to Apirl 2010 shows a consistent drop in value while the S&P went up from July 2009 to more or less April 2010 ~ 30%.
So basically, I still don't get why a drop in a market neutral fund is a signal for markets to go down especially when the correlation was nonexistent from July 2009-April 2010. (Has something changed since then that would make a correlation exist?) Also I don't see how it is a sign of de-leveraging or how the deleveraging would hurt the S&P...
Anyways, since I'm here to learn, let me know what I'm missing.
As a professional market neutral trader, bull baby... I have the precise questions you have posed to no avail. So it's an NAV chart of a $3 billion "market neutral" mutual fund.
(1) Their returns are singularly unimpressive. Most market neutral pros made a killing during the Financial Crisis (because of gaping bid-ask spreads and huge inefficiencies exploitable by basic quant analysis). But these Rocket Scientists took a 6% hit... then made back 8%... and have now pissed it away.
(2) Because NAV tanks there is an assumption by ZH of "deleveraging"... which should have minimal market and NAV impact.
(3) There are subsequent assumptions that the "assumed deleveraging" is the result of a decrease in "market liquidity".
(4) Like a cherry on top, there is a 3rd assumption that the previous assumptions have strong "Market Crash" predictive value. A phony NFP where they are counting each census worker multiple times and an orderly 3% decline "proves" this?
(5) The only substantiation offered is the observation that "liquidity is now totally gone and 100k SPY blocks move the market." A billion $$$ fund could trade only such blocks.
Now a link to either of the curt HSKAW pieces clears it all up??
Competent MN traders do not deleverage when expecting volatility. They live off volatility. And MN traders, by definition, do not predict market events. They simply wait for volatility to happen... and then exploit it.
See also: http://zerohedge.blogspot.com/2009/04/incredibly-shrinking-market-liquidity.html
tends to signal low dispersion, too
Low dispersion = high correlation = high prob(crash)
The issue is whether or not one should be looking at market neutral fund performance or look straight to correlation in the first place.
Implied correlation is also at post Lehman highs
EUR is also sad today. Can Ben hold the whole thing up himself? Will Timmy's mom get the money she needs for his operation?
Tune in Sunday night for Asia Open!
Ha Ha! Sounds like some great drama, can't wait.
+1
In soviet Russia...cliff hangs you?
Is Timmy going to have a pair implanted or his forked-tongue fixed?
Iceland....Home of the Brave
Mishkin, that guy gets on CNBC and spouts the central banker line every single time and the a holes on squawk sit there and suck his dick more or less. I hate him. I hate those people on Sqauwk more than life itself. I wish they would all go down to the gulf and swim in the oil and die.
Why stop with just Squawk, when you have a full day's worth of morons to rag on?
Besides, I like the Marie Osmond commercials. Yum!
ghastly sight on air
Liesman fellates fed's mishkin
swallows at finish
JPM! Good bye jpig when silver gets wrung out for delivery!! 80 billion Gold mkt and 5 billion silver mkt!! Sure jpig can naked short the chit out of the baby faced silver market!! Now what about meeting the physical delivery!! Soon the vindication when the interventionist/manipulating naked short robbers cry they can't cover the naked shorts!! Too bad so sad and I'll shed a tear as I send each and every one of the jpig dead basturds to my very last song for them all! http://www.youtube.com/watch?v=FywT-txGuss
Silver plate the guns I haven't already gold plated! Bwhahahahahahahahahahahahahahahahahahahahahaha
Anyone have an opinion on when gold miners might decouple from the general market?
They won't because they're stocks. If you want exposure to gold, then buy gold. You want exposure to earnings of a goldminer, then buy goldminer stocks.
Hold physical yes, even hold primarily physical yes, but I'm fairly well stocked with miners, too. After the sag, then the printing, and the miners mean leverage.
Never. Gold miners are completely captured and do not operate as independant things. Think of them as abused wives in a town without police or able to make any friends to help.
we need more than metaphor here. the '30's precedent is quite strong. why is it so different this time?
You have to think of it as evolving strategies. What did they do differently after the 30's than they did before the 30's? The biggest thing is capture all the miners. Capture the media. Force gold out of peoples conciousness. Cut off their reaction pathway. It's a like a sifting funnel. They keep trying to make "accepting" the poverty as the only viable reasonable choice.
Money=Energy. Be it in human effort or fossil fuel terms. It takes more energy to get gold out of the ground now and take fossile fuels out of the equation and all the low hanging gold fruit is already on the surface. Even with their brutal operations in South Africa involving loads of man power it yeilds not much gold.
The miners are thier bitch. They pay them 1350 to 1450 an ounce for gold but it's all off book and they don't tax them. Do you really believe the gold miners could be such lousy market operaters closing out thier short books at the lows etc etc. They are all off book, on the inside, complicit with the game.
Energy is low we should be spending the last of our relatively easy energy towards moving into solar and wind and getting our mind off productivity and sticking more and more power tools into less and less hands. Decentralizing instead of shipping boat loads of steel all over the place becaue it makes economic sense ONLY because of the valuation distortions fiat money does to our conciousness.
Can someone wiser tell me if this is correct for the screenshot above:
NAV - Value of the positions at market in this fund.
Purch Prc - The current ask for the funds shares.
If this is correct is it normal for the shares to trade above NAV?
i'm not wiser and this could be very wrong: if this is a closed end fund, they can sell for a discount (more common) or a premium (because of management ability, rare assets, something) for a considerable period. it gives the price a kind of extra volatility and people try to trade on it too. obviously, all other things being equal, one would prefer a discount to a premium. open end funds trade based on net asset value and don't have discounts or premiums. some people think closed end funds are a bit of a scam. opinions differ.
Obama will give a press conference this weekend where he will ask for a do over. Next time will be better!
A Democrat I know suggested today (with a straight face) that Obama should announce an unlimited jobs program hiring unemployed people to clean up the oil from FL beaches, at $15/hr.
Talk about not letting a crisis go to waste.
Great. Use public tax money to pay citizens to clean up a private corporation's mess. Did you slap your friend?
Only union members will be eligible....
i hope they get benefits and pensions as well assuming 8% YoY RoR
Wasn't a friend, just someone I know. I ignored him.
Have a break, have a Kit Kat and then slap an acquaintance.
Get some real work from the Census folks and have them clean up the oil!
The Hedge Fund Research Equity Hedge Market Neutral Index would be a good proxy for the space. Why one would single out a random single market neutral mutual fund like Highbridge's is beyond me.
The HFR EHMNI is +2.7% YTD through May and -0.7% for June as of Thursday. Nothing to write home about.
Bless you TD. Played it and won.
Though I was hoping for S&P in the major tax form area.
HSKAX?? Fuck it! We'll do it live!
May Swoon >>> June Doom!
July bust?
Yep! Can't go wrong with physical hands on silver!! Gold reaching new price per USD highs and silver 70% off those highs of '80!! Holding it back for zoom zoom is not a doubt but then there's other stores of montary value like food which are a good bet while your FRN's still have purchasing power!! Jim Sinclair Jim Sinclair says trade in your paper for honest money now!! "If you do not see the hand of intervention in the gold market early this morning you are either wearing welders gear or are simply inept in this field.
Like the euro intervention being useless in the grand scheme of things, so is the gold intervention this morning.
Above $1224 the manipulators will lose their influence in the price of gold. We sure witnessed that last US night in the euro.
The real numbers now that you will not hear on F-TV are $1.19 and then $1.10, below which the euro will collapse. This will return us to the dark ages in Forex, but will be good for the business of Forex trading.
With regards to our newest sovereign problem, if you were Hungarian would you prefer to own gold or paper of any kind? That is assuming you had any money in the first place to buy gold." Jim Sinclair: This morning's blatant gold market interventionhttp://www.gata.org/node/8705 Celente says crash of 2010 on track which means your PAPER TURNS TO ASHES OVERNIGHT! Talk about a thief coming in the night!! republiCONs & demonCRAPS are lil scamBOs all! Get whats yours in your hands and make possession 100% the law among the lawless!! Do it now!!
in general i agree with you. however, much like the equity bear market rally from march '09 to april '10, the u.s. treasury may well have one more good run in it. it is acting a bit like it. not for the faint of heart, but just saying.
I cancelled my cable to avoid the distractions. Somebody please tell me how they're spinning it.
sloppily
Not that I'm against gold but I've a funny feeling the Gov knows just what they are doing.
They have no concern about more debt and are glad to "borrow" as long as others will give. For those foreigners holding T's and dollar reserves (China, Japan primarily), that is the paper that will be truly worthless. The US has no plan to pay this back nor to really inflate it away either (high inflation would destroy American economy through $100 or $200 or $400 dollar oil, etc.)...the only plan I can reckon for our gov is go for broke borrowing and then go protectionist. Awful shock for the exporters / creditors of the world when the US puts up 100% tariffs and taxes on nearly all imports and implements a Marshall Plan for America...building the factories, the infrastucture, make the goods we need, full employment in America is here again. Pickens gets his wish for America to run primarily on nat gas. We have the resources, the work force, the gov structure to do this. Whether we should is an entirely different question?
But this is the only path I can see by which America wins this game...unless America losing is the goal and then a wholy different path is possible (1 world goverment folks fill in here). However, protectionism would leave Asia in ruins and be the modern day equivalent of the middle ages when global trade drops and the world turns back local. America knows there is no military that can come and get us so they can act w/ impunity.
Crazy ... probably. But unless you can come up w/ a better "solution path"...then crazy it is. Unless there really is no plan at all or they actually believe the shit the CBO or WH put out...and then gold (and small to medium calibre weapons) are an exxxcelllllent idea.
TD
Check out JMNAX (also mn) ytd correlation.
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