- Communication of sectors of the financial market
Present a convex pattern
On a metal plate tin from return.
It vglubinu is represented:
in the Double image leaves from two parties
Same it is accurate.
the Pattern is true...
Count Alexey Tolstoy
In this article we address again to a theme of management of a portfolio of actives. And this article differs from all our last publications on this theme that here we consider development and coherence of segments of the financial market, leaning against the analysis of the longest statistical numbers from all when - or speculative games used for the description in the Russian financial market.
Besides, the information saved up by us has allowed to spend classification of existing financial speculative actives by set of the criteria accepted in civilised practice (profitableness, liquidity, reliability).
In spite of the fact that in this article it is a little short-term tactical recommendations, it, in our opinion, can appear useful to development and correction of strategic typical algorithms sredne - and short-term speculative game.
Further edition intends to make publications under the co-ordinated analysis and the forecast of efficiency of game in the financial market on the algorithms described more low regular.
One of unconditional achievements of an economic reform can recognise that by the end of 1993 all characteristic segments for not centralised economy of the financial market have started to function practically. The analysis of dynamics of indicators of the financial market thus regularly carried out by us has revealed that its separate blocks already now function not separately: they are closely enough connected with each other. Development of the market of state credit obligations, by the way, has defined an approximate interval of time after which the new segment is entered in the general structure of the financial market - adaptation occupies about three - four months.
Result and simultaneously the certificate of enough strong coherence of segments is their close profitableness which has developed by the end of last year. (At once we will note: in this article effective profitablenesses everywhere paid off, that is the formula of difficult percent was used. Taxes or tax privileges were not considered.) For today average profitableness makes 400 - 450 % annual. It is considerable below a rate of inflation, however, judging by dynamics of interest rates on MBK, such level of profitableness is limiting for present operating conditions of the financial market substantially isolated from real sector of an economy.
already it is possible to confirm: the financial market is developed enough to perform operations of different duration, that is to consider a time diversification of tools of the market. The scheme 1 reflects procedure of acceptance of investment decisions taking into account time horizon of investment (in other words, taking into account desire of the investor to get profit after this or that term). If the investor is guided by long-term investments, it can to participate, for example, in voucher privatisation or to take shares in the secondary market. The investment decision should be based thus first of all on the branch analysis and the forecast, and the problem of liquidity or short-term profitableness here has no value. If it is a question of speculative operations absolutely other set of methods of the analysis and other tools of the market here be required.
Besides, became obvious that in the Russian financial market there was a dependence traditional for the developed markets between profitableness of different segments of the market and their other characteristics - reliability, liquidity and capacity. From table 1 in which characteristics of all segments are resulted, it is visible that as it and should be, higher profitableness corresponds to smaller liquidity and reliability.
at the description of characteristics of various actives we have allocated some sectors of the financial market (see table 1). It is the monetary market (understood in narrow sense, as the market of credits and deposits), the market of the state securities, the market of private securities, the currency market and the share market. Segments and the tools belonging to each of these sectors, are rather various on investment properties. At the market analysis it is necessary to consider all set of their properties, at all without being limited, as it often becomes, only profitableness.
financial actives: who is who
As attempt of classification of actives of the financial market on all set standard for civilised practice of the analysis of criteria is undertaken for the first time (and consequently is business responsible enough), in this section of article we will short stop on the description of those properties of the various actives which analysis has allowed us to place these actives in this or that part of table 1.
the Monetary market.
Interbank credits. This segment of the financial market is extremely non-uniform. On character of dynamics of its parametres (volumes of transactions, interest rates) and on the revealed communications of this market with others in it it is necessary to distinguish at least three tools: the three-monthly credits, one - and two-month credits and “ short money “. Tendencies of change of profitableness of these tools (effective interest rates) are presented on schedule 1.
it is obvious that dynamics of profitableness most “ long “ credits - three-monthly MBK - has steadier tendency and first of all it is connected with macroeconomic indicators (with dynamics of an exchange rate, speed of a turn of money etc.) . Profitableness under three-monthly credits long enough time remains almost invariable and settles down in a range 420 - 470 % annual. Profitableness on “ to short money “ slightly more low - 300 - 420 %. Thus almost always profitableness under credits to the direct borrower above, than on MBK.
we Will notice that three-monthly MBK, and also
strongly pronounced recurrence in dynamics of volume of transactions - an order 6 - is inherent 7 weeks in short money (schedule 2 constructed according to MFD) see. Therefore we define liquidity of these tools of the market as average: during the separate moments (happening and it is quite regular) demand for credits falls also their realisation becomes inconvenient.
volumes of transactions on one - two-month MBK have no such recurrence - and, accordingly, their liquidity a little above. Thus, unlike two other tools of the market of interbank credits, for them rigid inverse relationship between volume of transactions and the rate is characteristic. Therefore as a whole one - two-month MBK it is possible to consider the market as more predicted.
as to reliability as a whole for this segment of the market the risk of a non-return of the credit is great enough - without dependence from crediting term.
deposits. Under deposits we have defined profitableness in a range 180 - 300 %. The bottom border is given by deposits of the most reliable Savings Bank. Profitableness above 300 % from the point of view of reliability is represented suspicious. Market capacity of deposits to estimate inconveniently.
the state securities.
state credit obligations. The developed secondary market of these papers guaranteeing high liquidity, provides considerable week sales volume at rather small issue. Accurate repayment by the Ministry of Finance already several releases allows to characterise reliability of state credit obligations as high. Corresponding investment profitableness is insignificant - 185 - 190 %. Short-term gamble - more brave - allow to get profit at a rate of 350 - 400 % annual.
the gold certificate - very perspective segment, though its liquidity and reliability while more low, than at state credit obligations. Dynamics of a course of the gold certificate is shown on schedule 3. It is natural that January jump of a dollar exchange rate has sharply raised the current price of the certificate. Obviously, as in the further its price it will be defined basically by a dollar exchange rate on the Moscow Interbank Stock Exchange as exchange rate changes on an order are more dynamical, rather than changes of the price of gold in London.
in general at the analysis of investment possibilities of the gold certificate it is not necessary to hope for growth of the price of gold. We will remind that in the end of the last year analysts (basically western) - confidently predicted excess of level of $400 for ounce in January - February. However it has not occurred - the price persistently keeps near a mark of $380. At our isolation from this market, possibly, it is necessary to concern it with extra care.
bonds of a currency loan. First of all it is necessary to note huge volume to our measures of their issue - more than $4,5 billion (For comparison: market cost of all released vouchers makes for today about $2 billion) Other prominent aspect - simultaneous presence on a bond market with different terms of repayment. The first tranche (about $240 million) will be extinguished on May, 14th this year, last - in 2008. Basically it should allow is active to maneuver papers with different terms of repayment.
unfortunately, the secondary market of currency bonds is developed insufficiently. Too big difference testifies To it for such papers between purchase and sale courses, now a component about 3 % from the average price, in particular. Considering that profitableness of bonds makes an order of 30 % (in currency), it is easy to understand that the investor can get profit only after some months after bond acquisition when the buying up course will be overtaken by on what the bond has been bought. Though large operators already now trade among themselves with a margin making the tenth shares of percent from the price.
High profitableness of currency bonds is defined, possibly, some mistrust from investors. If in May the treasury accurately carries out of the obligations, than will prove reliability of these papers, it is possible to expect considerable growth of the price of currency bonds and respective decrease in profitableness.
in detail to consider a bond market of a currency loan experts assume in one of the nearest numbers.
the market of bank bills popular in investors, by our estimations, is insignificant: sales volumes hardly exceed 1 mlrd roubles a week. But this sector of the market is attractive the high liquidity and total absence of price risk as the price on which it will be possible to sell a paper, is known in advance. Profitableness of bank bills has reached 320 % (without taxes).
the Currency market.
the market of non-cash currency is most capacious of all sectors of the financial market. High liquidity, however reliability is inherent in it from - for sharp jumps of courses is low. Intermediate term profitableness changes in a wide range from zero to 500 %, now - approximately 150 % annual (on a tendency). Short-term gamble allow to take the income over 1000 % annual.
the future market actively developing in last year (basically efforts MTB), allows to receive very high profits - at accordingly high risk. Market capacity constantly grows, but it is still insignificant. However, as professional players of this market mark, in the long term, when the basic part of transactions with non-cash currency will pass to the interbank market, the future market becomes the basic arena of short-term gamble.
now simple operations of type of hedging (real purchase of currency at a current rate and sale in the future market) have profitableness of an order of 260 % annual. On schedule 4 the dollar exchange rate under quotations of future market MTB is given.
the share market the smallest. At all stock exchanges for a week it is made transactions for the sum of an order of 500 million roubles.
from the actions addressing in the market, it is necessary to allocate actions of banks. Average profitableness of investments into bank actions in 1993 has made, by our estimations, 450 %. The maximum profitableness of transactions with actions of banks (both intermediate term, and short-term) exceeds 1000 % annual. Actions of banks can be considered and as long-term investments, and not frozen in expectation of the future profit, and bringing in the constant income. A market lack - low enough liquidity.
among actions of huge number of other emitters units are worthy literally. These are actions of some hotels, trading and zolotopromyshlennyh the enterprises, investment funds. In our opinion, even best of these actions are risky enough, but basically they allow to take the income from short - and intermediate term gamble.
interrelation of sectors of the financial market
Constant control of the communications existing between the separate markets, allows to plan a stream of actives intelligently, aspiring to improve any of the interesting investor of indicators: profitableness, risk etc. The examples resulted more low only therefore became objects of the description that the majority of professional players operate on intelligent algorithms. Nevertheless the element of chance in game of some participants all - taki is great, and deviations from accurate algorithms are frequent.
therefore it seems to us expedient to describe in a recommendatory key the generalised mass experience of game. Thus we will notice that the most valuable the knowledge of these algorithms can appear not for those players who play “ Together with all “ and for those who likes to play “ against all “: if all throw money in that segment of the market where profitableness now grows, these players buy up the actives depreciated at present by absence of demand, counting upon profitableness while demand will return to this segment.
market MBK communication, state credit obligations and currency - a spot.
these communications are sense to consider only with reference to short-term speculative operations for the periods of rapid growth of a course are short, so, means for game on a course can be operatively thrown on a currency stock exchange only from the market “ short money “ or at the expense of preschedule dump of state credit obligations.
at an unstable situation in the currency market when players wait for jump of a course and stock exchange turns naturally fall, investors should to aspire keep high
liquidity of the actives quickly to throw means for a stock exchange when jump will begin. This reason is realised also in practice by large players that is considerably shown in the markets “ short money “ and state credit obligations.
the market “ short money “ from the beginning of year (when the course after jump has stopped in a corridor) endures a powerful phase of overflow, and simultaneously the share increases in structure of the realised credits supershort, given out for the term of less 7 - 10 days. These two factors have caused sharp falling of rates in this segment of the market from level of 340 % in the end of 1993 to 280 % in February 1994 - go (schedule 1 see). Differently, investors will - bondage have transformed the market “ short money “ in original “ a sediment bowl “ (before course activization) the actives - not so profitable, but liquid.
it is more difficult for this purpose andspolzovat today the market of state credit obligations. Judging by a failure of placing of issue 9 - go release and to reduction of issue 10 - go release on 23 % in comparison with previous, interest of investors to this kind of actives has a little decreased.
it is valid, at an unstable situation in the currency market to freeze means for three months in expectation of repayment term unreasonably. Profitableness from short-term investments in state credit obligations (that is at the expense of their preschedule dump on rise in prices peak) on last releases has shown a tendency to decrease. As a result leaves that in case of situation change at a currency stock exchange it is successful to get rid of state credit obligations most likely it will not turn out. Thus, by cumulative criterion liquidity - profitableness the market of state credit obligations today, on - visible, does not satisfy the investors expecting new acceleration of growth of a dollar exchange rate.
it is obvious, this circumstance and has forced the Ministry of Finance to reduce the cutting off price at placing 10 - go release of state credit obligations to 73,01 % of face value. Thus profitableness of state credit obligations at the price of cutting off has been raised to 252 %, and on the average price - to 223 %. As a result, if profitableness falling “ short money “ will proceed, 10 - j release can quite interest players as a reserve active.
communication of markets MBK and state credit obligations.
on schedule 6 on one - to two-month credits and pure effective profitableness 14 - day investments joint dynamics of the effective interest rate is presented to state credit obligations 5 - go, 6 - go and 7 - go releases.
accurate repetition of movement of one indicator by another allows to assume presence enough close connection between these two markets. (We will notice that this communication was showed only with 5 - go release, that is some time a segment of state credit obligations of veins new to our financial market according to own rhythm.)
the Mechanism of interaction and the logician of game here are that. At low rates of increase of the prices for state credit obligations (and, accordingly, their low short-term profitableness) on this market should throw available assets in calculation not on profitableness of preschedule dump, and on profitableness to repayment as slow growth of current quotations of state credit obligations testifies that they are underestimated at present to repayment. As a result, as the market of state credit obligations becomes profitable enough for game with three-monthly horizon, volumes of offered resources in market MBK decrease that, in turn, causes growth of interest rates.
the growing demand for state credit obligations from the investors who are guided by their high profitableness to repayment, causes acceleration of growth of their current prices and accordingly increases their appeal to the players focused on short-term profitableness. Increased under simultaneous influence of demand of both kinds of players of the price limit demand and as a result money flows from a segment of state credit obligations on market MBK.
It leads simultaneously to decrease in profitableness of state credit obligations at the expense of reduction of demand and to percent falling on MBK at the expense of offer increase. Further the cycle can repeat. Thus, at acquisition one - the two-month credit at the moment of falling of rates of increase of the prices for state credit obligations can be counted on minimum on an interval in one and a half month percent.
communication of the market three-monthly MBK and the currency market.
on schedule 8 dynamics of deviations from tendencies of the exchange rate of exchange and the effective interest rate on three-monthly MBK is presented. From it it is visible that the rate reacts to change of dynamics of a course approximately from two - a three-week log. Acceleration of falling of a rouble exchange rate distracts rouble means from market MBK on currency, promoting thus to interest rate growth. From this it follows that to expose three-monthly MBK on sale most favourably with some delay in relation to sharp acceleration of growth of a dollar exchange rate, namely through one - two weeks.
a situation in the currency market
the Currency market - the most powerful, and at change of the condition it has corresponding influence on others sektory the financial market. Therefore it is very important to understand its condition and to predict possible changes.
expectation by participants of the market of fast growth of a dollar exchange rate has under itself the serious bases. As we already repeatedly wrote, the situation when the dollar exchange rate falls or grows more slowly inflations, cannot proceed infinitely. Sooner or later the course will rest against powerful level of support, and its further dynamics will be defined by growth of the internal prices.
on schedule 5 dynamics of a dollar exchange rate taking into account inflation is shown. It is received by division of some a real course on the Moscow Interbank Stock Exchange (since March, 1991) on a consumer price index. Now a course “ in the prices of March, 1991 “ makes only 2 rbl. 30 copeck for dollar. We will remind that approximately in those days the rouble was devalvirovan about 60 copeck to 1 rbl. 80 copeck for dollar, and many is defensible considered such devaluation insufficient and estimated a dollar parity to rouble as 1:3. Differently, it is possible to tell that today the dollar already has to become cheaper. Growth of its current quotations should start to overtake growth of inflation or at least to it to correspond.
it is valid if attentively to look at the schedule, it is possible to see that the tendency of last eight months specifies in close stabilisation - on - visible, around 2 R/ $ (in the prices of March, 1991). It means that if 2 R/ $ really become support level the dollar exchange rate will lag behind inflation no more than on 1,5 - 2,0 percentage points (at monthly inflation of exceeding 20 %).
it is not necessary to overestimate value of the technical analysis, of course. In due time, since May 1992 - go till May, 1993 a dollar exchange rate “ in real terms “ could not break through level of support in 6 R/ $ in any way. In the spring of last year it seemed that the rouble and will fall level with inflation. However in June there was something opposite - the dollar has started to fall. Nevertheless the probability of fast growth of a dollar exchange rate, at least level with inflation, is now great more than ever. Consequences of this probable event are resulted on the scheme 2.
certainly, game on dollar exchange rate jumps is most profitable, however in this case it is necessary to foresee the moment of the beginning of the next jump precisely. And taking into account the algorithms set forth above game “ Against all “ in this situation there can be not less profitable, than a game “ together with all “.
Characteristics of the basic tools of the financial market
* Savings Bank deposits (the maximum reliability);
** on an available retrospective show, further - close to currency incomes;
*** without payment of taxes;
**** now approximately 150 %; ***** now approximately 250 %
VLADIMIR - BESSONOV, TATYANA - GUROV, ALEXANDER - IVANTER, VALERY - FADEEV