Tag Archive: decomposition

Deja Vu

2017-09-01

According to orthodox theory, if interest rates are falling because of term premiums then that equates to stimulus. Term premiums are what economists have invented so as to undertake Fisherian decomposition of interest rates (so that they can try to understand the bond market; as you might guess it doesn’t work any better). It is, they claim, the additional premium a bond investor demands so as to hold a security that much longer (more return to...

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Swiss National Bank: Composition of Reserves (Assets) and Investment Strategy

The Q1/2016 update on the SNB investment strategy and its assets. The Swiss National Bank is a passive conservative investor. As opposed to other investors, the exposure in currencies is as important as the strategic asset allocation according asset classes (bonds, equities, cash, real estate). The importance of currencies is one reason why the SNB is often called a hedge fund, the second the volatility of gains and losses.

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SNB Q2/2013 Composition of Reserves

2013-08-02

by George Dorgan

2013-08-02

We regularly publish the SNB asset structure by currency, rating & duration, they might be a template for the tactical asset allocation in these dimensions (CHF certainly excluded) for other fixed income and/or rather conservative asset managers. here the newest data Total Balance Sheet and Liabilities The total balance sheet size decreased from 511 bln. …

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SNB Q1 Results: Bottom-Fishing Cheap Yen, Increases Equity Share with Gains and Margin Debt

2013-04-30

by George Dorgan

2013-04-30

We regularly publish the SNB asset structure by currency, rating & duration, they might be a template for the tactical asset allocation in these dimensions (CHF certainly excluded) for other fixed income and/or rather conservative asset managers. Composition of SNB Forex Reserves, Q1/2013 With the strong results of 11.2 billion francs, the SNB reduced the …

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Composition of SNB Reserves Q4, 2012, Yield on Investment

2013-03-07

by George Dorgan

2013-03-07

We regularly publish the SNB asset structure by currency, rating & duration, they might be a template for the tactical asset allocation in these dimensions (CHF certainly excluded) for other fixed income asset managers. Moreover we publish the yield on investment. Composition of SNB Forex Reserves, Q4 2012 The Swiss National Bank (SNB) saw …

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How the SNB Destroyed Ashraf Laidi’s EUR/USD 1.35 Party

2012-10-31

by George Dorgan

2012-10-31

Trend Follower Ashraf Laidi Loses Against the Contrarian Investor SNB The currency strategist Ashraf Laidi recently evoked a EUR/USD exchange rate of 1.35 thanks to the risk appetite after the easing operations of the Fed and the ECB. We show that he and the masses of his Forex rooters actually traded against a big central …

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Trade Like a Central Bank: Buy EUR/USD at 1.24 and sell at 1.30! .. SNB

2012-10-31

by George Dorgan

2012-10-31

Composition of SNB Forex Reserves, Q3 2012 The Swiss National Bank (SNB) reduced the share of euros in the third quarter substantially from 60% in Q2 to 48% in Q3 and increased dollar and pound positions. The SNB bought 80 billion euros or more when the common currency was trading around 1.24$, especially at the end of …

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