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25 апреля, 17:53

5 Best Performing No-Load Mutual Funds of Q1

The best performer among the no-load fund category in the first quarter is Rydex NASDAQ-100 2x Strategy H.

25 апреля, 02:30

Procrastinating on April 24, 2017

**Over at [Equitable Growth](http://EquitableGrowth.org): Must- and Should-Reads:** * **A Low-Pressure Economy Is Not Only Dark But Invisible in the Horserace Noah Smith is Running… | Equitable Growth** * **Bridget Ansel**: _Weekend reading: “This post is tax-ing” edition | Equitable Growth_ * **Matthew Yglesias**: _If you really respect Trump voters, tell them the truth_: "A wave of recent columns argue that what Trump superfans... * **Ezra Klein**: _The GOP’s biggest health care achievement has been making Obamacare more popular_: "It is bizarre watching House Republicans persuade themselves that the problem they face on health care... * **Fatih Guvenen and Greg Kaplan**: _Top Income Inequality in the 21st Century: Some Cautionary Notes_: "IRS and SSA data reveal diverging patterns in top income shares... * **Kevin Drum**: _We're Now In the Second Biggest Housing Boom of All Time_: "The most remarkable feature of this chart... * **Òscar Jordà, Moritz Schularick, and Alan M. Taylor**: _Monetary Policy Medicine: Large Effects from Small Doses?_: "How do we know that higher interest rates will bring prices under control?... * **Chris Hayes**: _On escaping the “doom loop” of Trump's presidency_: "I tend to think of it in terms of my own behavior... * **Hyun Song Shin**: _Accounting...

24 апреля, 11:10

Shanghai stocks post the biggest daily loss this year

SHANGHAI stocks fell today by the sharpest rate so far this year, as market sentiment were dampened after regulator tightened control on aggressive investment and capital management. The Shanghai Composite

23 апреля, 15:51

Links for the Week of April 23, 2017

**Must-Reads:** 1. **Kevin Drum**: _We're Now In the Second Biggest Housing Boom of All Time_: "The most remarkable feature of this chart... 2. **Òscar Jordà, Moritz Schularick, and Alan M. Taylor**: _Monetary Policy Medicine: Large Effects from Small Doses?_: "How do we know that higher interest rates will bring prices under control?... 3. **Rick Perlstein**: _I Thought I Understood the American Right. Trump Proved Me Wrongs_: "Direct-mail pioneers like Richard Viguerie created hair-on-fire campaign-fund-raising letters... 4. **Financial Times**: _Donald Trump Beats a Retreat_: "Another week, another series of flip-flops by America’s president... 5. **Ezra Klein**: _The GOP’s problem on health reform is they’ve spent years hiding their real position_: "The most interesting policy argument... is the debate between conservatives’ real position on health care and their fake position... ---- ---- **Should-Reads:** * **Fatih Guvenen and Greg Kaplan**: _Top Income Inequality in the 21st Century: Some Cautionary Notes_: "IRS and SSA data reveal diverging patterns in top income shares... * **Chris Hayes**: _On escaping the “doom loop” of Trump's presidency_: "I tend to think of it in terms of my own behavior... * **Hyun Song Shin**: _Accounting for global liquidity: reloading the matrix_: "In emerging market economies especially, a weakening of...

21 апреля, 20:50

Presidential Memorandum for the Secretary of the Treasury

MEMORANDUM FOR THE SECRETARY OF THE TREASURY   SUBJECT:                 Financial Stability Oversight Council     The Dodd-Frank Wall Street Reform and Consumer Protection Act, Public Law 111-203 (the "Dodd-Frank Act"), authorizes the Financial Stability Oversight Council (FSOC) to determine that a nonbank financial company's material financial distress    or the nature, scope, size, scale, concentration, interconnectedness, or mix of its activities    could pose a threat to the financial stability of the United States.  If the FSOC makes such a determination, the affected nonbank financial company shall be subject to supervision by the Board of Governors of the Federal Reserve System (Federal Reserve Board) and certain prudential standards.  The Dodd-Frank Act similarly authorizes the FSOC to designate certain financial market utilities and financial activities as "systemically important," and thus subject to certain risk management standards, among other things.  These determinations and designations have serious implications for affected entities, the industries in which they operate, and the economy at large.  Therefore, it is important to ensure that these processes for making determinations and designations promote market discipline and reduce systemic risk.  It is equally important to ensure that, once notified by FSOC that it is under review, any entity under consideration for a determination or designation decision is afforded due, fair, and appropriately transparent process.   Accordingly, by the authority vested in me as President by the Constitution and the laws of the United States of America, and to promote certainty in the financial markets, I hereby direct the Secretary of the Treasury (Secretary) to take the following actions:   Section 1.  Report on FSOC Processes.  The Secretary shall conduct a thorough review of the FSOC determination and designation processes under section 113 (12 U.S.C. 5323) and section 804 (12 U.S.C. 5463) of the Dodd-Frank Act and provide a written report to the President within 180 days of the date of this memorandum.  As part of this review, and along with any other considerations that the Secretary deems appropriate, the Secretary shall consider the following:   (a)  whether these processes are sufficiently transparent;   (b)  whether these processes provide entities with adequate due process;   (c)  whether these processes give market participants the expectation that the Federal Government will shield supervised or designated entities from bankruptcy; (d)  whether evaluation of a nonbank financial company's vulnerability to material financial distress, under 12 CFR 1310 App. A.II.d.1, should assess the likelihood of such distress;   (e)  whether any determination as to whether a nonbank financial company's material financial distress could threaten the financial stability of the United States, under 12 CFR 1310 App. A.II.a, should include specific, quantifiable projections of the damage that could be caused to the United States economy, including a specific quantification of estimated losses that would be likely if the company is not subjected to supervision under section 113;   (f)  whether these processes adequately consider the costs of any determination or designation on the regulated entity;   (g)  whether entities subject to an FSOC determination under section 113 or designation under section 804 are provided a meaningful opportunity to have their determinations or designations reevaluated in a timely and appropriately transparent manner; and   (h)  whether, prior to being subject to an FSOC determination under section 113 or designation under section 804, the entity should be provided with information on how to reduce perceived risk, so as to avoid being subject to such determination or designation.   As part of this review, the Secretary shall include in the required report:  the Secretary's conclusions regarding the issues enumerated above; recommendations, as appropriate, on how the FSOC processes for determinations under section 113 and designations under section 804 could be improved; and recommendations for any legislative changes necessary to improve these processes.   Sec. 2.  Evaluation and Review of the FSOC.  The Secretary shall also evaluate and report to the President on whether the activities of the FSOC related to the determination and designation processes under section 113 and section 804, respectively, are consistent with Executive Order 13772 of February 3, 2017 (Core Principles for Regulating the United States Financial System).  In the report, the Secretary should provide, if appropriate, recommendations for legislation or regulations that would ensure that the FSOC and its activities are consistent with the principles set forth in Executive Order 13772.   Sec. 3.  Temporary Pause of Determinations and Designations.  Pending the completion of this review and submission of the Secretary's recommendations, the Secretary shall, to the extent consistent with law, not vote for any non emergency proposed determinations under 12 CFR 1310.10(b) or any non-emergency proposed designations under 12 CFR 1320.13(c).   Sec. 4.  General Provisions.  (a)  Nothing in this memorandum shall be construed to impair or otherwise affect: (i)   the authority granted by law to an executive department or agency, or the head thereof; or   (ii)  the functions of the Director of the Office of Management and Budget relating to budgetary, administrative, or legislative proposals.   (b)  This memorandum shall be implemented consistent with applicable law and subject to the availability of appropriations.   (c)  This memorandum is not intended to, and does not, create any right or benefit, substantive or procedural, enforceable at law or in equity by any party against the United States, its departments, agencies, or entities, its officers, employees, or agents, or any other person. DONALD J. TRUMP    

21 апреля, 10:06

Links for 04-21-17

Prudential regulation, capital controls, and second-best - Dani Rodrik Regulators Accuse Subprime Mortgage Servicer of Years of Abuses - NYTimes Evidence-Based Policy in Antitrust - ProMarket America is Regressing into a Developing Nation for Most People - INET Want to...

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21 апреля, 04:10

Eligibility easing and the lender of last resort

Central banks helped contain the Global Crisis using a policy of 'eligibility easing'. The policy expanded the collateral that could be used to access liquidity facilities and the range of counterparties that could request liquidity. This column argues that although eligibility easing successfully reduced the need for central banks to act as lender of last resort or to provide emergency liquidity assistance, the time has come to determine its future role as a macro-prudential tool.

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21 апреля, 00:18

Prudential's Peters says risk-reward for junk bonds 'not favorable'

NEW YORK (Reuters) - PGIM Fixed Income senior portfolio manager Greg Peters said on Thursday that he has been reducing his overweight position in junk bonds because the "risk-reward is just not...

20 апреля, 21:54

The Blockchain Could Change the Backbone of the Stock Market

Technology already enables the stock market to be faster and more complex. But what if the actual plumbing behind the market was altered using the blockchain? The post The Blockchain Could Change the Backbone of the Stock Market appeared first on Visual Capitalist.

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19 апреля, 17:13

Riksbank cautious on plans for new macro-prudential tools

Central bank broadly welcomes government proposals but takes issue with elements it sees as limiting flexibility

19 апреля, 14:52

Top Ranked Value Stocks to Buy for April 19th

Top Ranked Value Stocks to Buy for April 19th

19 апреля, 09:01

Prudential призывает ставить на КНР и Европу вместо Трампа

(Bloomberg) -- Дэвид Хант, главный исполнительный директор PGIM, подразделения Prudential Financial Inc. по управлению активами на $1 триллион, рекомендует искать новые возможности за пределами крупнейшей в мире экономики, так как рынок США, возможно, переоценил способность президента Дональда Трампа достичь своих целей по экономическому росту.

18 апреля, 21:45

Парный трейдинг: 1 из 3 способов поиска пар на Python

Первый из трех способов автоматического поиска пар на Python для торговли по стратегии «Парного трейдинга». Исходя из результатов предыдущей статьи, во всех примерах мы будем использовать только поиск коинтеграции.Кратко о «Парном трейдинге»: в основе стратегии лежит предположение, что есть две акции, которые имеют глубокую экономическую связь друг с другом, и их цена движется в одном направлении с разной скоростью. Когда отстает акция А, мы ее покупаем и одновременно продаем в короткую акцию Б. И наоборот.Используем дневные цены закрытия, отрегулированные на дивиденды и сплиты. Вы можете скачать бесплатную историю дневных цен с Quandl. Подготовка к поискуДля правильной работы необходимо соблюсти следующие условия:Истории цен должны быть равной длины. (Результат сравнения историй за 200 дней и за 20 дней может быть непредсказуем).Значения должны быть переведены в относительные величины. (Тяжело сравнивать активы за $200 и за $1).Каждая история не должна обладать стационарностью сама по себе. (Важна именно стационарность спреда пары, а не отдельного актива в ней).Коинтеграцию каждого времянного ряда будем проверять с помощью метода Дики-Фуллера из библиотеки statsmodels. Код подготовки ниже: Исходный код на Quantrum.me.Выбор акций для поискаИскать пары будем среди активов торгующихся на рынке, включая ETF, ограничив следующими условиями:Цена более $10.Средний объем более 500 тыс. акций в день.ATR за 13 дней более $0.40.Проверяем на ликвидных активах с хорошим движением внутри дня. Из 6 тысяч американских акций, торгующихся на биржах, нам подходят ~1500 активов. Тестировать будем предыдущий год (360 календарных дней).1 из 3: Простой коинтеграционный тестИспользую самую первую попавшуюся на глаза функцию для проверки пары на стационарность.  Это тест на наличие единичных корней найден в библиотеке statsmodels.Функция проверки стационарности: statsmodels.tsa.stattools.coint(X, Y)Функция поиска пар получает словарь с историей относительного изменения цен и последовательно проверяет каждую пару. Для 1500 активов это примерно 1.1 миллиона вариантов.Выбираем пары с оценкой ниже 5% уровня ошибки и p-значением меньше 0,001. Код поиска пар ниже: Исходный код на Quantrum.me.На момент написания статьи тест нашел 6400 пар (~0.6%), поиск загружал 1 ядро процессора и длился порядка 45 минут. Вот первые несколько пар с наименьшим p-значением:XIV, SVXYIWB, SPYIVV, SPYDUST, GDXSPY, SPXU…Видно, что это ETF на индексы и первые два действительно имеют стационарный спред, а вот начиная с IVV и SPY найти проблемы нам помогут графики.Проверка найденных парПроверим несколько графиков найденных пар и оценим результаты, чтобы оценить, можно ли положиться на скрипт для автоматического поиска. Для проверки возьмем произвольные пары:XIV, SVXYDUST, GDXXLK, QQQPRU, CTMUS, WCGXIV, SVXYXIV — ETN (аналог ETF) обратный индексу страха $VIX. VSXY — ETF обратный индексу страха $VIX.На графике история цен и сигнальная линия z-оценки. SVXY домножен на коэффициент для приведения цен к единой величине. Видно, что график хорош, но два месяца назад (ноябрь-декабрь 2016) спред уменьшился. Причина в моем поставщике данных. Ранее была бо́льшая погрешность в цене, которую нивелировали.Код z-оценки: Исходный код на Quantrum.me.DUST, GDXDUST — 3х-кратный обратный ETF к GDX. GDX — ETF компаний-золотодобытчиков.График разочаровывает и подобных графиков в результатах много. Данные активы обратно-скоррелированы — этот факт в их природе существования. Функция coint(X, Y) на вход получает два времянных ряда и сама проверяет их стационарность. Видимо эта функция использует в основе проверку корреляции и дополнительно подгоняет ряды.XLK, QQQXLK — ETF на индекс технологических компаний. QQQ — ETF на индекс NASDAQ-100, где преимущественно технологические компании.Здесь результаты лучше, но так как в QQQ также много компаний из XLV (здравоохранение), то в январе 2017 XLK сумел вырваться вперед.PRU, CКопнем поглубже и возьмем несколько компаний.PRU — Prudential Financials, страховая компания. C — Citibank, банк.Большую часть года компании шли в ногу, что не удивительно, так как обе в XLF (финансовый сектор) и обе выигрывают от роста ставок. Но за январь 2017 появилось расхождение.TMUS, WCGTMUS — T-Mobile US, американский сотовый оператор. WCG — WellCare Health Plans, компания из сектора здравоохранения.Связь данной пары меня удивляет, но с графиком не поспоришь, они идут нога в ногу и обладают хорошим спредом. ВыводДанный метод имеет право на существование. Удается найти хорошие пары, которые достойны участия в бэктестинге. Но одновременно к нам приходит большое количество шлака, что заставляет отсматривать результаты вручную. Лучше себя проявил поиск с помощью метода Дики-Фуллера, о котором я буду писать в следующей статье.В комментариях задавайте вопросы и спрашивайте, что описать подробнее. Покажите примеры лучших пар, по вашему мнению.Обучение «Парному трейдингу» у профессионалов.

17 апреля, 23:43

Top Research Reports for Alphabet, Amgen & Lowe's

Top Research Reports for Alphabet, Amgen & Lowe's

16 апреля, 01:03

Why The Bank Of Canada Should "Cease And Desist"

Authored by Caleb McMillan via Mises Canada, "Beneath the symbol We’ll all assemble Oh how we’ll fly Oh how we’ll tremble”   — Captain Beefheart, “Ice Cream for Crow” If interest rates are the symbol beneath which we all assemble, then there are some bad times ahead. But Canada’s “leading economists,” say interest rates are “too blunt a tool” to cool the housing market. This week, Governor Stephen Poloz as expected did not raise rates, but continues to face tough questions about the connection between low rates and the “hot” housing market. Of course, he deserves every hard question thrown at him. And it’s nice that journalists are actually starting to question the obvious connection between low-interest rates and the housing bubble. With Canadians across the country locked out of their local housing markets, and with foreign buyers using Canadian property to protect their wealth from destructive communist dictatorships, frustration needs an outlet and it looks as if Poloz and the BoC are, finally, in the crosshairs. But that doesn’t mean Poloz will listen. After all, the central bank is supposed to remain “independent” from democratic government and popular opinion. Poloz is making his decisions based on his misunderstanding of the economy, not the will of the mob. As Avery Shenfeld, CIBC Capital Markets’ chief economist, told BNN in an email, “The Bank of Canada will likely stick to its view that house prices are best dealt with through macro-prudential policies particular to that market, with the interest rate setting used to steer the economy overall." Meaning, let the banks and federal government deal with the issue. The BoC will do what it can, but it will not include raising rates. Raising interest rates will certainly “cool” the housing market, but it will also lead to some unintended consequences that would “hurt” the overall economy. Remember, the BoC is stacked with Keynesians, who regard the “hangover theory” as implausible as the irrefutable Say’s Law.   So if the Bank can’t or won’t raise rates, and leaving the price of interest to the free market isn’t even on the table, then what about a rate cut? Doug Porter, chief economist at BMO Capital Markets, also told BNN, “The BoC should cease and desist with talk of possible further rate cuts, which simply fuel the sense that rates are never going higher, and instead start warning that rates will someday rise.” That would be smart, we’ll have to see what the weeks ahead bring. So far, Bank of Canada governor Stephen Poloz has left real estate to the experts, meaning, not him. Capital Economics Senior Canada Economist David Madani told BNN that the “Bank of Canada needs to pay more attention to the housing issue because it is a huge threat to the entire economy.” But Poloz, like his predecessor before him, prefers “moral suasion.” Madani thinks the Bank should be using “much stronger language.” Oh, how we’ll fly, oh how we’ll tremble.

12 апреля, 09:05

Во второй половине года мировые рынки будет штормить

Вчера наш рынок показал позитивную динамику, но геополитическая ситуация остается напряженной, поэтому есть большие сомнения, что индекс ММВБ преодолеет ближайшие техническое сопротивление 2005 пунктов. Есть и другое сопротивление 2060 пунктов. Рост возможенпозже, огда будет обозначена дата встречи Путина и Трампа. В понедельник Дональд Трамп не исключил дополнительных ударов по Сирии. Северная Корея пригрозила ядерным ударом по США после переброски американских военных кораблей к берегам Южной Кореи. Рост геополитической напряженности увеличивает инвестиционный спрос на "тихую гавань" – золото, йену, казначейские облигации. "Главный вопрос – будет ли эскалация. Рынки всегда волнуются по этому поводу, особенно когда меняется правительство", – говорит стратег по рынкам в Prudential Financial Кинси Кросби. Во вторник страны "Большой семе

11 апреля, 02:01

Under-fire Barclays chief is probably guilty of behaving like a chump

Poor Jes Staley will have to get by on just his £10,000 a day basic salary after trying to unmask a whistleblowerWe know that Barclays chief executive Jes Staley committed a “serious offence” when he tried to unmask a whistleblower, and that the poor thing will now have to get by on just his basic salary of nearly £10,000 a day when his bonus is slashed as punishment. What we don’t know is if the Financial Conduct Authority and the Bank of England’s Prudential Regulation Authority will go further once their investigations are concluded.The regulators’ ultimate weapon is declaring an individual not fit and proper to be a director of the bank and therefore forcing Staley’s dismissal, although Barclays’ share price (which had risen slightly by the close of trading) tells you the market thinks that outcome highly unlikely. Continue reading...

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10 апреля, 13:56

In Latest Banking Scandal, Barclays' CEO Probed For Attempt To "Unmask" Whistleblower

It appears that "unmasking" is not merely a scandalous ploy employed in US politics. Overnight, Barclays CEO Jes Staley has unleashed the latest banking scandal, following reports he is facing major sanctions from UK regulators and a “very significant” pay cut for trying to uncover the identity of an internal whistleblower. The former JPM veteran is being investigated by the Financial Conduct Authority and the Bank of England’s Prudential Regulation Authority for breaking rules surrounding the treatment of whistleblowers, the FT reports. The bank’s policies for handling whistleblowing are also being investigated. The Barclays CEO tried to unmask a tipster who alerted the bank to a personal matter involving a senior executive the bank said on Monday sending its shares lower as much as 1.2% . An investigation by law firm Simmons & Simmons LLP concluded that Staley “honestly, but mistakenly” believed that it was permissible to identify the author of the letter. The case is also under scrutiny by the Department of Financial Services in New York, the person said. As the FT elaborates, the allegations of attempted "unmasking" are the result of an attempt by Staley to protect a Barclay’s colleague who was subject to what he deemed an “unfair attack” by the whistleblower, who sent an anonymous letter to the board last year raising concerns about a recently-recruited “senior employee” and Mr Staley’s involvement in their recruitment. A second letter was also sent to one senior executive. As Bloomberg adds, Staley requested that the bank’s Group Information Security team identify the author and the team asked for and received assistance from U.S. law enforcement agencies, according to the statement. The attempt to identify the author wasn’t successful, the bank said. A person familiar with the probe confirmed that the individual who Mr Staley had been trying to protect was Tim Main, a New York-based banker who joined Barclay’s in June 2016 to be chairman of the investment bank’s financial institutions group. Although Mr Main came Barclays from Evercore, he had previously spent 20 years at JPMorgan, where he rose through the ranks along with Mr Staley. Mr Main could not immediately be reached for comment. Today's revelation is a significant blow to the British bank, which has spent much of the last five years attempting to repair its ethical reputation following its role in the Libor rigging scandal. In 2012, it was forced to pay £290m in fines to US and UK regulators for attempting to manipulate the interbank rate. Staley has admitted his error and formally apologized to the board, Barclays said. “I have apologized to the Barclays Board and accepted its conclusion that my personal actions in this matter were errors on my part,” Staley said in the statement. “I will also accept whatever sanction it deems appropriate. I will cooperate fully with the Financial Conduct Authority and the Prudential Regulatory Authority, which are now both examining this matter.” “I am personally very disappointed and apologetic that this situation has occurred, particularly as we strive to operate to the highest possible ethical standards,” said John McFarlane, Barclay’s chairman. The hit to Staley's pay from the improper attempt to uncover the whistleblower will be decided only after the regulators’ investigations are complete, Barclays said. Last year, Staley made £4.2 million. Staley's future as this point appears uncertain: as Bloomberg notes, Barclays has made excellent progress under Staley and his removal at this stage would hurt the bank’s prospects for further improvement, Shore Capital analyst Gary Greenwood wrote in a note to investors. Given the bank’s history of regulatory misdemeanors, the latest investigation is a “very significant embarrassment” for the board as it tries to rebuild Barclays’s reputation, he said. Under Staley, Barclays has slashed about 6,000 jobs in the last six months and cut dividends after fourth-quarter profit fell. The attempt to identify the whistle-blower came to the attention of the Barclays board early this year after an employee raised concerns. The board notified the FCA and the PRA and other authorities. “The Board has concluded that Jes Staley, group chief executive officer, honestly, but mistakenly, believed that it was permissible to identify the author of the letter and has accepted his explanation that he was trying to protect a colleague who had experienced personal difficulties in the past from what he believed to be an unfair attack, and has accepted his apology,” Chairman John McFarlane said in the statement. Barclays has taken a more aggressive posture toward government allegations than some of its rivals. While other lenders settled similar claims, Barclays balked at paying the amount the government sought to resolve allegations that it deceived investors who purchased $31 billion of mortgage-backed securities a decade ago, before the housing bubble popped. The bank is now defending a lawsuit brought by the U.S. Justice Department in December over the matter.   The bank has called those allegations “disconnected from the facts.” If found to have violated whistleblower laws, Barclays could face penalties from regulators.

09 апреля, 19:01

Australia advised to play it cool in a hot market

IN their struggle to cool red-hot property prices, Australia’s authorities are ratcheting up measures that could dent the whole market but are avoiding more targeted steps that have had some success in

07 апреля, 10:13

Ma Jun: banks are encouraged to support green finance

TO encourage efforts on battling environmental challenges, China will rate banks on their fund support for green investment with the inclusion of such actions into the country’s macro prudential financial