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Thursday, February 16, 2023

Pair Trade Analysis- Nasdaq-100 & South Africa-40

تم إعداد هذا المنشور من قبل سنشري للاستشارات

Pair Trade Analysis- Nasdaq-100 & South...
تحليل تداول الأزواج: Nasdaq-100 & South Africa-40

*Trading in financial market carries risk and can result in loss of capital.
*This performance is only observed with historical backtests and not traded by the company.

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The product and investment ideas do not consider the risk profile and financial position of the recipient and may not be suitable for everyone. Trading in financial markets and use of margin involves a significant risk of loss, which can exceed deposits. Please read the complete disclaimer carefully.

إخلاء المسؤولية

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بالنظر إلى التقلبات العالية للمنتجات السلعية ، يجب الاحتفاظ بهامش كافي في الحساب.
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يمكن أن يتغير معدل الاحتفاظ مؤثراً بشكل سلبي أو إيجابي على التداول.
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لم تأخذ بيئة الاختبار في الاعتبار المعاملات أو أي تكاليف أخرى.
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قد تختلف العوائد إذا كان هناك أي خطأ في تنفيذ التداولات.
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الأداء السابق لا يدل ولا يضمن النتائج المستقبلية. قد ينطوي التداول في الأسواق المالية على خسارة رأس المال. يرجى قراءة إخلاء المسؤولية الكامل بعناية.
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يتم دائمًا البدء بتداول الزوج وإغلاق التداول بشكل متزامن. إذا تم إغلاق أحد ساقي التداول وترك الأخرى مفتوحة فلن تعتبر استراتيجية تداول أزواج بعد ذلك ومن الممكن حصول خسائر فادحة
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قد يؤدي أي تغيير إضافي في وحدات الماكرو الأساسية باستثناء تلك المذكورة أدناه إلى انحرافات كبيرة في نسبة الأداء وقد يؤثر سلبًا على أداء زوج التداول.

الإستراتيجية المنطقية

الفكرة الأساسية وراء الاستراتيجية هي أن أسهم شركات التكنولوجيا الأمريكية العريقة تميل إلى التفوق في الأداء على شركات جنوب أفريقيا على المدى الطويل.

تتطلب هذه الإستراتيجية أن يقوم المستثمر المتمرس بالبيع على مؤشر South Africa 40، وفي نفس الوقت يقوم بالشراء على مؤشر tech-heavy Index – Nasdaq 100. من خلال القيام بذلك ، من المرجح أن يحصل المستثمر على تكلفة احتفاظ تقارب 6.15٪ سنويًا تطبق حاليًا على مؤشر South Africa 40. بينما من ناحية أخرى ، سيتعين على الشخص دفع تكلفة احتفاظ تقارب 6.05٪ سنويًا ، وهي قابلة للتطبيق حاليًا على مؤشر Nasdaq 100. على أساس صافي ، يمكن أن يحصل المستثمرون على تكاليف احتفاظ تبلغ حوالي 0.10٪ سنويًا. (برافعة مالية مضاعفة).

تم اشتقاق الأرقام الواردة في الجدول من خلال الدخول في صفقات شراء في مؤشر US Nasdaq 100 ، وفي الوقت نفسه صفقات بيع في مؤشر South Africa 40 مع تعرض متساوٍ على كلا الجانبين.

على مدى السنوات الـ 16 الماضية ، مع رافعة مالية بخمس مرات ، كان من الممكن أن تحقق هذه الإستراتيجية ربحًا إجماليًا يقارب 445٪ (المتوسط التقديري - 11.11٪ سنويًا) بنسبة إصابة تبلغ 81.25٪. كما هو موضح في الجدول ، باستثناء ثلاث سنوات (2008 و 2012 و 2022) ، فقد تفوق مؤشر US Nasdaq 100 على South Africa 40 في كل عام.

حتى الآن هذا العام ، تفوق مؤشر Nasdaq 100 على مؤشر South Africa 40 مما أدى إلى مكاسب بنسبة 6٪ تقريبًا برافعة مالية مضاعفة.

Year Nasdaq
yearly
return
S. Africa 40
yearly
return
Long: NDAQ
Short: SA40
(Return)
Net holding
cost received
Total
return
Return post
exposure of $250K
on each investment
Profits/Losses each
year on $100,000
investment
2x lev 2x lev 2x lev 5x lev
2023 YTD 16% 10% 6% 0.1% 6.04% 15% $15,100
2022 -33% 1% -34% 0.2% -33.74% -84% -$84,350
2021 27% 23% 3% 4.9% 8.2% 21% $20,561
2020 48% 7% 41% 1.8% 42.4% 106% $105,914
2019 38% 9% 29% 4.2% 33.1% 83% $82,785
2018 -1.60% -11% 9% 3.4% 12.9% 32% $32,236
2017 31% 20% 11% 4.3% 15.2% 38% $37,936
2016 8% -4% 13% 5.0% 17.6% 44% $43,887
2015 8% 4% 4% 4.8% 8.5% 21% $21,180
2014 18% 6% 12% 4.8% 17.3% 43% $43,305
2013 32% 19% 12% 4.2% 16.6% 42% $41,609
2012 15% 22% -8% 3.9% -3.8% -9% -$9,414
2011 2% -1% 2% 4.1% 6.4% 16% $16,119
2010 18% 15% 3% 4.5% 7.7% 19% $19,208
2009 53% 29% 25% 5.7% 30.6% 76% $76,450
2008 -42% -26% -16% 8.9% -7.2% -18% -$18,124
Estimated Total 178% 445% $444,402
Average
Estimated Return
178%

Data Source: Bloomberg

Date: 08/02/2023

التحليل الأساسي

كان العام الماضي مليئًا بالتحديات لكل من السندات والأسهم. تسببت الحرب الروسية الأوكرانية في ارتفاع التضخم إلى أكثر من 9٪ بحلول يونيو 2022 ، مما أدى إلى ارتفاع أسعار معظم السلع وأثر بشكل مباشر على الأسواق المالية. ونتيجة لذلك ، واجه الاقتصاد الأمريكي زيادات لا هوادة فيها في أسعار الفائدة من جانب الاحتياطي الفيدرالي للسيطرة على التضخم. أثر الارتفاع السريع في سعر الفائدة القياسي على مؤشر tech heavy Nasdaq بشكل كبير. وخسر المؤشر 33٪ من قيمته خلال العام. شهدت أكبر ثماني شركات فيها انخفاضًا بنسبة 50٪ أو أكثر في أسعار الأسهم.

وفي الوقت نفسه ، شهدت جنوب إفريقيا عامًا أفضل ، حيث يعتمد اقتصادها بشكل أساسي على الصادرات السلعية ، مما يدعم سوقها المالي. على ما يبدو في "سنوات الأزمة" ، 2008 ، 2012 و 2022 ، تقوق South Africa 40 في الأداء على مؤشر Nasdaq. ومع ذلك ، فإن ما حدث في عام 2022 ، قد يكون أكثر من مجرد حادث غريب مع تراجع كل من السندات والأسهم خلال العام.

بالنظر إلى المستقبل ، فإن إعادة فتح الصين والاستراتيجية العادية التي اعتمدتها شركات التكنولوجيا لتقليل تكاليف التشغيل يمكن أن تساعد في عودة مؤشر Nasdaq إلى طبيعته خلال عام 2023. وقد انخفض معدل التضخم إلى 6.5٪ ، لذلك من المرجح أن تتحرك زيادات أسعار الفائدة بوتيرة أبطأ ستكون إيجابية للمؤشر التكنولوجي.

يتوقع المحللون أن معدل الفائدة المستهدف من بنك الاحتياطي الفيدرالي ، والذي يتأرجح حاليًا بين 4.5٪ و 4.75٪ ، قد يصل إلى الذروة عند 5.132٪ بحلول يوليو. بعبارة أخرى ، المحرك الأساسي للاندفاع التكنولوجي هو أن ذروة سعر الفائدة قريبة.

مسار سعر الفائدة

HI: 0.3306

Data Source: Bloomberg

Date: 08/02/2023

يتوقع المحللون أنه بعد بلوغ الذروة بالقرب من 5.132٪ ، يمكن لمجلس الاحتياطي الفيدرالي إجراء تخفيضين لسعر الفائدة بمقدار 25 نقطة أساس لكل منهما بحلول نهاية عام 2023.

التحليل الفني

يُظهر مخطط النسبة في Nasdaq 100-South Africa انتعاشًا محتملاً من دعم خط الاتجاه القوي لمدة 10 سنوات ، مما يوفر فرصة جيدة لدخول تجارة NASA. بالإضافة إلى ذلك ، ووفقًا لمؤشر Stochastic-RSI ، فإن سعر نسبة NASA يتم تداوله حاليًا في منطقة ذروة البيع ، مما يعني أن الزوج في وضع جيد من منظور العائد.

مخطط نسبة NASA

HI: 0.3306

Data Source: Bloomberg

Date: 08/02/2023

ملاحظة: يتضمن حساب العائد الاحتفاظ بالتكلفة والفائدة المستلمة في الإستراتيجية ، وقد يتغير هذا في المستقبل ، مما يؤثر على الإستراتيجية إما إيجابًا أو سلبًا. العوائد لا تأخذ في الاعتبار انخفاض قيمة الراند. يمكن للمستثمرين التطلع إلى التحوط من تعرض العملة بشكل منفصل

من الضروري ملاحظة أن تداول الأزواج ليس استراتيجية خالية من المخاطر. تأتي الصعوبة عندما تتحرك أسعار الأوراق المالية على عكس المواقف التي تم اتخاذها ، مما يؤدي إلى حدوث خسائر. وبالتالي ، فإن الالتزام بقواعد إدارة المخاطر الصارمة أمر حيوي عند التعامل مع المواقف المعاكسة.

Data Source: Bloomberg
Data & Prices as of : 08/02/2023

Risks and Assumptions for Back-tested trading strategies
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The risks and assumptions listed here are not intended to be an exhaustive summary of all the risks and assumptions involved.
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The strategy might suffer from look-ahead bias which occurs due to the use of information or data in a study or simulation that would not have been known or available during the period being analyzed. This can lead to inaccurate results in the study or simulation.
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Future price movements may not be exactly the same as the historical price movements and this could lead to variation in performance.
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Testing can sometimes lead to over-optimization. This is a condition where performance results are tuned so high to the past they are no longer as accurate in the future.
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The model assumes no slippages in trading. Slippage refers to the difference between the expected price of a trade and the price at which the trade is actually executed.
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Drawdowns in actual trading can be higher than the tested system and losses could be significant in the event of leverage.
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Unforeseen events can lead to variation in performance from the tested trading strategy.
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The tested result has been computed with price feeds available from Bloomberg.
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The testing environment has not considered transaction or any other costs.
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Trading indicators used for the purpose of testing has been provided by Bloomberg.
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The strategy might suffer from data mining fallacy, selection bias and backfill bias.

Data Source: Bloomberg
Data: 30/01/2023

Arun Leslie John
Chief Market Analyst

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