Blast from the past

Due to family circumstances, Macro Man will be away from the market and out of touch for most of the day on Monday. It's fortunate that he is running little risk, as the low liquidity environment of Labor Day and the uncertainty surrounding Hurricane Gustav will likely make for treacherous trading conditions.

Those readers (particularly relative newcomers to this space) looking for a bit of diversion from the day's trading may wish to peruse some of Macro Man's favourite posts from yesteryear, most of which are not particularly time-sensitive:

* A Remedial Lesson in Statistics: how much "signal" is there in traders' returns?

* Cornflakes Without the Milk: on the importance of dividends

* A Ratings Agency Toolkit: an insight into how ratings agencies arrived at some of their decisions

* Some Unique Factors for Your Next Quant Strategy: making models better...or not

* The Three Axioms of Globalization

* Does the Fed's dual mandate spell doom for the dollar ? On the currency perils of going for growth

And for those of a more literary bent:

* The Curious Case of the Vanishing Bid, parts I and II: Sherlock Holmes investigates the world of risky assets

* Financial Nursery Rhymes

* Macro Man channels Shakespeare

* And again

* Other forays into financial poetry

Macro Man will return on Tuesday.
Previous
Next Post »

8 comments

Click here for comments
Anonymous
admin
September 1, 2008 at 8:11 PM ×

Question - Sterling falling of a cliff in recent trading days yet MCX has been pretty robust of late.

Do currency/equity traders see the UK economy differently, is this just a re-alignment or are low trading volumes to blame??

Reply
avatar
Macro Man
admin
September 1, 2008 at 9:34 PM ×

No, I think everyone agrees that the UK economy is going to hell.....it's just that different things drive different assets at different times. I mused about this five months or so ago; it's not always easy to come up with the best trade, even when you have a high conviction view.

Reply
avatar
Anonymous
admin
September 2, 2008 at 12:38 AM ×

Yes quite - incredible how the equity market has shrugged off news that in isolation would be quite shocking.

UK house builders have rallied pretty hard lately but given the huge lay off in workforce one wonders where exactly future earnings are coming from..

Reply
avatar
Anonymous
admin
September 2, 2008 at 8:32 AM ×

have looked at MCX on numerous occassions over last few years. yes it is UK focused and in 2001 and 2002 this index saw earnings collapse compared to its large cap peers. but be aware of sector weighting. there is a lot of property stocks in there that are on their knees and manufacturers that will benefit (as they did in the US) on weak GBP versus euro & $. Saying that MCX is back to an interesting relative level versus UKX and ultimately everything is heading south. Keep in mind that FTSE 100 is now 40% energy and mining. today's oil price move through 200day will not help.

Reply
avatar
Macro Man
admin
September 2, 2008 at 8:34 AM ×

Funny enough, I have re-entered the short FTSE trade this morning....

Reply
avatar
Anonymous
admin
September 2, 2008 at 11:12 AM ×

I am too stupid to do anything complicated, but I did sell a lot of sterling at 2.00 just six weeks ago (better lucky than talented). :)

I think stocks have to follow. The collapse of oil means a weaker economy ahead - not good news.

MM, can you tell us (at least some of) the inputs to your macro S&P forecast return model? I know you won't reveal too much, but I would like to know what factor has changed to cause it to tank so rapidly.

KG

Reply
avatar
Macro Man
admin
September 2, 2008 at 11:21 AM ×

You're smarter than me, KG. I haven't made a bean out of short GBP...plus I am long (versus $) p.a..

The equity model looks at earnings and growth trends, and includes an inflation term that puts earnings into a "real" context.

Reply
avatar
Anonymous
admin
September 2, 2008 at 11:50 AM ×

What morning!!! Short UKX or MCX?? With Market sentiment as it is MCX at 10000 would be a surprise if oil reaches 100! Crazy times wot downturn?? Surely shome mishtake??

Reply
avatar