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"The Replicators Have A Problem" from Harley Bassman of the BAS/ML trading desk
Now that is an interesting and sophisticated analysis
sowing the seeds of future disaster
another example of how the FED has distorted the entire global securities market to baol out all its friends...
setting up the Mother of All Bubble-bursting Crashes
On January 5th the durables report for November was 'released'.
It showed a 0.2% increase. The report, of course, came in the middle of the first-week January market rally.
But now, in the dark of night, the number has been revised - to a decrease of 0.7%. The reason is a claimed "statistical error."
I recently asked the question: who is selling Volatility? My original suspicion was that- somehow The Fed was selling volatility- might this be the answer?
Where have you been for the last year? As far as FEB of 09 everyone got onboard selling vol in individual names.
This is news?
from approximately 3 months ago:
"Vanguard bond index funds to adopt float-adjusted benchmarks"
September 21, 2009
The boards of trustees of several Vanguard index funds have approved the adoption of Barclays Capital float-adjusted bond indexes to replace the Barclays indexes that currently serve as the funds' target benchmarks.
The new benchmarks better represent actual liquidity in the marketplace and should help insulate Vanguard's bond index funds from securities whose prices may be distorted by significant reduction in supply as a result of Federal Reserve buybacks. The term "float" refers to the amount of a given security available for public trading; it excludes amounts such as those held by company insiders, affiliates, or governments.
"We believe that float-adjusted indexes more accurately represent an investor's opportunities in a particular market," said Gus Sauter, Vanguard's Chief Investment Officer. "Whenever possible, Vanguard's index funds will seek to track benchmarks that follow this best practice."
how dare a merill analyst post such gibberish ?
scribd is annoying as hell.
Thank you for sharing your clever observation.
Interesting implications for a confimed bear like me. Cap structure arb on IG comes to mind.
Also, is there an unstated implication that some managers may be move out of standard benchmark universe to spice portfolio with junk credit?
All your base are belong to us -- Rothschild, Morgan, Warburg, Lazard, Schroder...
Resistance is futile.
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