Go Fish

Although tomorrow's Fed minutes will likely attempt to elucidate some semblance of a revamped exit strategy, what's the point of wasting time thinking?  Many hedge funds, particularly in macro, are languishing this year because, well, it's been pretty difficult.   Meanwhile, the risk parity "own a bit of everything" crowd, whose travails attracted broad scrutiny last year, have performed very nicely indeed, thank you very much.

But hey- picking the right risk parity strategy might require some thinking as well.    Even better is an equally weighted "Spooz and Blues" portfolio, as popularized by Jefferies' David Zervos.  An equally vol-weighted portfolio of E-mini S&P futures and the 14th eurodollar contract has generated cumulative profits of $90 million per 1000 Spooz, including carry, since the beginning of 2009.  Moreover, the returns have been pretty consistent, with the "trade once a quarter" strategy delivering an information ratio (i.e., annualized return to risk) of 1.20 over that time period.

Macro Man has struggled a bit for inspiration on occasion and judging by how quiet the comments have been, so has the readership of this space.   Given that Ben Bernanke will tell you that Fed rates will stay low for a long, long time for the bargain price of $250k, maybe the best thing to do is slap on some Spooz and blues and go fishing?