tag:blogger.com,1999:blog-34323687.post2333575706740441760..comments2024-03-19T03:05:57.184+00:00Comments on Macro Man: Summarizing Draghi in 5 picturesMacro Manhttp://www.blogger.com/profile/12324967552369915949noreply@blogger.comBlogger80125tag:blogger.com,1999:blog-34323687.post-34240260245267571862016-09-12T00:41:29.609+01:002016-09-12T00:41:29.609+01:00Re Risk Parity - I think the systemic risks ("...Re Risk Parity - I think the systemic risks ("forced cascade selling" etc) that are being associated with these strategies are overstated. Total AuM is approx USD500m and equities probably account for no more than 20% of this. Celeriac1972noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-2614023534026995362016-09-11T23:23:07.415+01:002016-09-11T23:23:07.415+01:00Agree immigration would've been good if it was...Agree immigration would've been good if it was done right. "Uncontrolled", "unlimited" occurring for the "long term" aren't exactly the key words in this assumption.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-83138382466489254172016-09-11T22:17:04.720+01:002016-09-11T22:17:04.720+01:00@Anon 2:14 - The immigrants won't be changing ...@Anon 2:14 - The immigrants won't be changing your diapers, they'll be stealing your money, assaulting your daughters and committing other crimes. You will then be taxed further to pay for housing and benefits for them. Enjoy.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-59261117695736900222016-09-11T18:56:48.631+01:002016-09-11T18:56:48.631+01:00People were talking about risk parity and quant gu...People were talking about risk parity and quant guys force selling after brexit, with spx down 5% in 2 days and prior 3mths VIX average 15. Didn't happen. Now calling for risk parity unwind with a 2% downmove and past 2 months VIX average around 13? What % downmove in SPX would trigger cascading forced selling?cowboynoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-65726839004276772692016-09-11T17:55:40.002+01:002016-09-11T17:55:40.002+01:00@ abee, I don't get Trahan's stuff, but am...@ abee, I don't get Trahan's stuff, but am always interested to hear his take. One interesting thought he's expressed in the past is that "inflation/oil is the new Fed." I wonder whether his bearishness is predicated on rising DM inflation sapping real wages/consumption. I saw earlier this week a summary of Edwards' thoughts arguing that.<br /><br />For now, I interpret Friday's sell-off as reflecting 1) the sell-off in the long-end triggering selling of "bond-like" equities (even if just a rotation into other sectors, it'll at least increase vol), 2) dealers getting short gamma, starting from 2170 as argued by Kolanovic (we've gone from a long record gamma summer regime a to short gamma regime, so vol will now be higher), 3) de-leveraging by vol-sensitive players.<br /><br />People point to Draghi as catalyst for the bond sell-off (could someone tell me what, if anything, he said that was really narrative-shifting? I didn't hear anything), but I wonder whether the Reuters article on a BoJ policy of steepening the yield curve isn't more significant. The second article airing that idea, so maybe some truth in it. If the BoJ wants to steepen the long-end, I'd be very, very nervous holding shares of Campbell Soup!<br /><br />Focus is on Brainard. I doubt she makes a hawkish shift. Tarullo is another dovish board member. He spoke Friday and there was nothing there suggest a shift, to me at least. My question is whether this is a buyable dip in, say <5Y duration EM local bonds/EMFX carry, or whether the step-up in vol and pressures on the long-end make that one to avoid.<br />johnonoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-26809753073828635932016-09-11T05:36:32.052+01:002016-09-11T05:36:32.052+01:00Interesting thoughts Mr T. I find it interesting t...Interesting thoughts Mr T. I find it interesting that one of my fav strategists Francois Trahan turned uber bearish on Wednesday after some horrible ISM new orders data. I mention him bc he has been pretty on the money lately. <br /><br />Sure the move in 10 year didnt help Fridays collapse but wonder if there was some real money behind that move. Zervos has also been bearish on equities since brexit or so. abee crombiehttps://www.blogger.com/profile/13320039155613443039noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-60537663025331314052016-09-11T02:14:00.950+01:002016-09-11T02:14:00.950+01:00Anon7:00PM
I'm banking on no wall and a flood...Anon7:00PM<br /><br />I'm banking on no wall and a flood of immigrants to change those 2 generations worth of diapers. And I really wouldn't view it as laziness but an altruistic gesture towards the global environment.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-20247310695927578532016-09-10T19:00:52.278+01:002016-09-10T19:00:52.278+01:00Fixed INCOME...there is no yield or it's negat...Fixed INCOME...there is no yield or it's negative. Old folks (or their pension funds) are forced to liquidate assets to purchase health care and social services provided by those millenials. Old people's life expectancy and end-of-life health care costs will increase more than their "healthy" years and willingness and ability to save.<br /><br />The pendulum will start swinging in the opposite direction, slowly at first, but turning into a wrecking ball laying waste to real value of those bonds exacerbating the old folk's troubles.<br /><br />I predict there will be atleast 2 generations worth of people regretting their laziness to procreate to provide hands to change their diapers.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-62043818233907453322016-09-10T17:18:16.516+01:002016-09-10T17:18:16.516+01:00 VIX futures trading hours trade nearly 24 hours a... VIX futures trading hours trade nearly 24 hours a day, five days a week.<br />Start Sunday at 5PMAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-51348997778064940992016-09-10T12:29:04.546+01:002016-09-10T12:29:04.546+01:00Demographics and portfolio allocation. This is the...Demographics and portfolio allocation. This is the one that keeps coming back onto my board for scrutiny. We're probably all aware of the portfolio models that are intrinsically linked to the life cycle. Without some massive shift in behaviour I keep coming back to the conclusion that equity markets are going to get thinner and thinner sans central banks taking up that mandate of equity buyers. The logic is straight forward enough. Aging population will tend to gravitate towards portfolios that are fixed income heavy and equity risk light. I also wonder about the consequences of that and how they might be effected by the fact that so much of our youth are coming into their investment life cycle weighed down by education debt that in effect constrains their ability to be the next 'buyer' market that would normally counterbalance, take the baton, from the aging sellers. I'm still thinking this through trying to connect the dots. Welcome other peoples thoughts on this issue.checkmatehttps://www.blogger.com/profile/03688082792316894545noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-21294165324253918602016-09-10T01:19:54.423+01:002016-09-10T01:19:54.423+01:00@Nico i noted ESX held strongest on performance of...@Nico i noted ESX held strongest on performance of banks and euro. I think we still have Opex to play out. Always a good squeeze lower before that. BoJ Steepener twist and Gunlach got things going today. Badly needed the vol. Was worried after the ECB no vol show.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-11701214375892458052016-09-10T01:18:49.569+01:002016-09-10T01:18:49.569+01:00"A selloff in bonds would lead to a correlate..."A selloff in bonds would lead to a correlated liquidation across equities because of record leverage for risk-parity and other quant funds for whom coordinated selling in both asset classes could lead to a dramatic deleveraging that would beget even more selling. BofA calculates that even a relatively benign 2% selloff of the S&P coupled with just a 1% selloff of the 10Y could result in up to 50% deleveraging, which in turn would accelerate further liquidations by other comparable funds, and lead to a self-fulfilling crash across asset classes."Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-69364957784263680022016-09-09T23:49:41.069+01:002016-09-09T23:49:41.069+01:00Not sure. I am very long US midstream energy. Ev...Not sure. I am very long US midstream energy. Even after today, I am still up for week.<br />Seems to be too much celebration among bears. Is that bullish? Today was first bit of vindication they have had in some time.<br />My general impression is big days, up or down, tend to be counter trend. You get some big days down in bull market, and big days up in bear market. But the trend is day after day of grinding moves up or down. That was the way it e=was in 2008-2009.<br />Monday likely to be down, but let's see how next week plays out before we are sure the world in coming to an end (only happens once you know).<br />I doubt Yellen hikes, and if that is case she will leak news soon. No way Yellen hikes .5%.Flowthriughnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-1307738053376020762016-09-09T23:36:39.263+01:002016-09-09T23:36:39.263+01:00This comment has been removed by the author.Anonymoushttps://www.blogger.com/profile/16464680981298776826noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-37299811035559145592016-09-09T23:23:17.122+01:002016-09-09T23:23:17.122+01:00A sample size of only two, but so what ... I'm...A sample size of only two, but so what ... I'm a sucker for these kind of stats: <br /><br />"Last 2 times S&P 500 was down 2% on Friday and the next day was a Monday were 8/21/2015 and 6/24/2016. Following Monday down 3.9% and 1.8%." -- Ryan Detrick<br /><br /><br /><br /><br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-43610794392149087792016-09-09T22:54:28.295+01:002016-09-09T22:54:28.295+01:00http://imgur.com/a/6cXsThttp://imgur.com/a/6cXsTlolnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-43083899811720467592016-09-09T22:30:08.914+01:002016-09-09T22:30:08.914+01:00@Fired Macro PM
Agreed with you on the short ter...@Fired Macro PM <br /><br />Agreed with you on the short term scare argument, unless some big player got margin call over the weekend. <br /><br />I sold most of shorts and still keep a few OTM puts, and catch some falling knives (in shipping and industrial sectors), most of which have already been close to their 52-week lows and are at nearly 50% of their price a year ago. Hopefully they won't cut my hand. <br /><br />On the market, BOJ, FED, OPEC and presidential election debate, all seem to produce great uncertainties here. But then again, where there really is panic, TLT would need to rise, not falling apart like this.<br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-9172063563435671342016-09-09T22:06:42.840+01:002016-09-09T22:06:42.840+01:00Good call shorting ES, FMPM. Thank you for getting...Good call shorting ES, FMPM. Thank you for getting us (me) thinking about it.<br /><br /><br />johnonoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-16486780248262812582016-09-09T21:32:04.473+01:002016-09-09T21:32:04.473+01:00This comment has been removed by the author.Anonymoushttps://www.blogger.com/profile/16464680981298776826noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-11913293285005228962016-09-09T21:30:57.387+01:002016-09-09T21:30:57.387+01:00Despite having doubled my shorts on Tuesday and al...Despite having doubled my shorts on Tuesday and all, I do think this is not the washout that takes us down 10-20%. I think this is a short-term scare, one which I'm looking to cover on a follow-through day. I also happen to think that equities is just playing catch up to the reversal bid in the USD. If you were to just look at risk assets today, you would think that DXY made a runaway move to 97... instead its moved just 0.3%. <br /><br />After few more days of carnage/repricing/repositioning, we should stabilize before the week of fed decision. Of course by that point, its all in Janet's hand and given the tantrum and ugly divergences, Janet should hold fire. <br /><br />However if Janet stupidly does hike, she will be handing the election to Trump - now then we will go from polls tightening to Trump possibly taking a lead. Imagine the debate night later this month with the headlines of 600pt carnage in the Dow. <br /><br />Ah, now that will cause the move some of you guys are looking for. But until Janet makes her move, I'm reminding myself that my shorts are only a week RENTALS.Fired Macro PMnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-85145700266612911962016-09-09T21:29:05.621+01:002016-09-09T21:29:05.621+01:00@Nico: Any chance I could have an advance on that ...@Nico: Any chance I could have an advance on that $100k?12yo HFM (margin called)noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-73244289496584973722016-09-09T21:24:22.900+01:002016-09-09T21:24:22.900+01:00to be noted, Europe overperformance vs. spoos (an...to be noted, Europe overperformance vs. spoos (an additional 70bps today) since European banks and their record compressed valuations found some footing at the prospect of rates going up, among others<br /><br />all that announced by yours truly a few weeks ago before it actually started. bon week endNicohttps://www.blogger.com/profile/06532015745155347229noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-88031452211993743292016-09-09T21:17:37.667+01:002016-09-09T21:17:37.667+01:00Wow, what a day. To the 3rd Anon who mocked/thanke...Wow, what a day. To the 3rd Anon who mocked/thanked me for providing liquidity... right back at ya bud. Seriously thanks for being freakishly long.<br /><br />Sure hindsight is 20/20. But if you look at my rationale for holding Spooz shorts since last friday, and if you were to handicap the odds of an either a breakout or a breakdown, prudence actually was on the side of the latter.<br /><br />Anyhow, thanks for your service - you are right, we certainly all do play a part.Fired Macro PMnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-79225490763846541432016-09-09T21:11:52.914+01:002016-09-09T21:11:52.914+01:00Spoos closed on the lows.... that means the 12yo d...Spoos closed on the lows.... that means the 12yo dip buyers weren't getting the Kevlar gloves out. A good thing, because something evil this way comes, at least for the vol sellers and dip buyers.<br /><br />Monday morning will be interesting, especially if there is a shit show in Asia on Sunday night. Wonder if all those VIX shorts had fun today? Watching them try to buy it all back after the market opens on Monday would be extraordinarily amusing. <br /><br />When you make really big mistakes in positioning, Mr Market has a way of being unrelenting and cruel. No exit rally this time, the sucker longs are trapped, Mr Market is going to gap 'n' crap for a few days until there is real fear out there once again.<br /><br />Have a great w/e, all.Leftbackhttps://www.blogger.com/profile/07728096415928915882noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-48543451934963643632016-09-09T21:05:31.202+01:002016-09-09T21:05:31.202+01:00Have a good weekend guys.. Maybe 12y hfm will feel...Have a good weekend guys.. Maybe 12y hfm will feel as 3y hfm TheBondStrategisthttps://www.blogger.com/profile/15654760354283741885noreply@blogger.com