【語重心長】投資新手或者唔想再做傻散嘅入一入嚟（4）

又唔一定less is more嘅，的確係有好多有效create alpha嘅方法，唔係班hedge fund靠咩揾食。的確就算係pension fund都唔會只係買 all market etf

但個問題係就咁all market etf已經贏過90%嘅人，你又要跑贏大市1%回報又要有alpha嘅話可能要俾多一百倍努力先有機會得

我都正想問點解future rate會大過三個月後spot rate，理論上future rate應該係等於三個月後 expected spot rate。除非三個月後spot rate唔等於而家嘅future rate，唔係我應該完全冇錢賺？

唔係新手嘢，費事洗版

Treasury futures 係有risk premium的
個mature date冇轉冇錯
但treasury future做緊嘅野係yield curve rolldown
情況同你係咁roll short term bond vs 買一張int bond

我用一條yield curve做例子
假設simple interest rate
呢一刻
1 year spot rate = 1%
2 year spot rate = 2%
咁f(1,2)= 2%*2-1%=3%

用普通買bond illustrate嘅話
Case 1: 買1年bond 到下年再roll多1年
Case 2: 買2年bond
Case 2 expected return高過case 1
因為term premium
咁啫係代表市場anticipate 1年後嘅1年spot rate 會低過呢刻嘅f(1,2) rate which is 低過3%

到treasury future嘅例子
Case: 買一隻一年後到期嘅一年treasury future
呢一刻嘅strike price應該係用future rate黎定
簡單discounting嘅話個strike price = 100-3=97

Align番買bond嘅例子 假設term premium係呢到同樣成立
1年後expected嘅1年spot rate 應該會<3%
所以到期日張bond 嘅expected price 會>97
亦會expectedly大過strike price
所以long treasury futures 有risk premium

我新手唔識

想問各位師兄推唔推薦買GLD/GLDM 代替債券位?
呢排金價升好多同埋金嘅作用應該同債一樣防股市大跌? 咁點解好似冇人提金ETF?

利申:唔係好識 求解

Btw大家講非新手嘢例如futures嗰陣介唔介意四重加密，費事洗版感謝

我明你意思, 不過有定冇risk premium只可以empirically observed出嚟, 討論唔會有結果.

好似係有research話有risk premium(term premium), 自己冇乜研究. 我唔係好信係因為以前工作整interest rate model好多時直接assume no term premium.

對新手嚟講, 最少去到cfa level (仲用緊bootstrapping整yield curve, 好似係), 可以assume no term premium.

yes, yes

我呢排係由mathematical finance 同patrick boyle啲舊片直接睇起，down咗Patrick Boyle教derivative 本書落嚟，好似幾簡潔易明，但係未詳細睇

其實學嚟對投資幾乎完全冇用，只係for fun對市場認識更深，反而學完係更加了解到個market已經係very efficiently priced，更加佩服hold the market呢個philosophy

VXUS包括埋small cap, 但VEU冇

https://expensive-middle-c07.notion.site/Crypto-60498fcf26ac48a3be5e52271b7bb07c

黃金問題read this, 的確係有方法製造股債以外嘅uncorrelated returns, 例如managed futures ，但呢啲嘢好複雜，唔係每個人都適合買

有理解錯？

冇理解錯

可唔可以話spx future 其實計左借貸成本減去股息

我見最新roll 3個月高水60點，約1%成本。全年計4%左右，等於5%借貸成本減1%股息回報

唔知我計法岩唔岩

啱

咁treasury future 其實有無息收在價格反映入面

我記得以前低息年代，睇恒生指數除淨月份會合理低水反映股息，而當時低息我估無咩利息成本計入去

future price減左expected dividend, settlement price減左actual dividend (除淨左).

所以long future gain/loss = underlying equity total return - funding cost + (expected dividend - actual dividend)

所以假設expected divided 接近 dividend

future gain or loss=市況升跌-借貸成本+dividend


咁如果treasury future 都係咁計，有funding cost 其實無得收息

呢篇文講實戰買MES操作
唔係Treasury futures不過都有提funding cost
https://www.bogleheads.org/wiki/User:Glorat/Using_futures_to_replicate_index_funds

相關討論（其實都係樓主之前貼的）
https://www.bogleheads.org/forum/viewtopic.php?t=329552

for treaury futures, equity total return就變左treasury total return. 而個return可以分為expected (risk free rate)同unexpected (price impact due to yield curve change).

risk free rate會大致同funding cost offset. 所以最終treasury futures return就係個unexpected change.