tag:blogger.com,1999:blog-34323687.post532015815465734107..comments2024-03-28T12:22:11.704+00:00Comments on Macro Man: Happy Trails, Hugh Hendry. Macro Manhttp://www.blogger.com/profile/12324967552369915949noreply@blogger.comBlogger11125tag:blogger.com,1999:blog-34323687.post-8186065079441236862022-03-05T07:01:46.342+00:002022-03-05T07:01:46.342+00:00Your content is a gem for Gati Packers and Movers ...Your content is a gem for <a href="https://www.gatipackersandmovers.in/gati-packers-and-movers-mangalore/" rel="nofollow">Gati Packers and Movers In Mangalore</a>. Our whole team follow you by heart and always say if you have any problem just look at various blogs of yours. Aastha Agarwalhttps://www.blogger.com/profile/04680630578653792495noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-17242620424356930332017-09-22T21:41:43.760+01:002017-09-22T21:41:43.760+01:00
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Step up to the plate! <br /><br />Getting back to the original subject--interesting related post I read today about "alternative risk premia" which I think drills deeper into the point I made about where the needs and demands are from clients/investors, or if you want to be less charitable, the current investment fad. <br /><br />http://www.allaboutalpha.com/blog/2017/09/17/aon-alternative-risk-premia-viable-for-many/<br /><br />What you'll see in the Aon report is a 30,000 view of alternative investment strategies that are driven by carry, value, and momentum. If you look at how the quant team at JPM divides up the world--and they carry a lot of influence--it is a similar setup: they divide the world into broad categories (equities, fixed income, FX, commodities) and then sub-divide into those buckets, and assess how the correlation, risk, and returns interact in each. <br /><br />if you search for "macro" in the Aon report, you get zero hits. Where does a crafty macro manager that understands markets has a sustainable trading process/discipline, and a solid organization fit into that framework? Well, nowhere really. A decent (if unspectacular) record/sharpe will be seen as not repeatable, not exploiting a consistent pool of risk premia, or just plain lucky. <br /><br />So yeah, Re: Hendry's record....certainly it is not a beautiful track record for the past few years, but that is the point: smart guy, good organization, the right philosophy--but he can't get it done. Does it mean the business doesn't have room for smart people that dig deep on a global scale? Of course not. But I believe it does mean that the market has segmented into something very different than what Soros lived in back in the 90s. <br /><br />And to those who even casually dance on Hendry's grave while patting themselves on the back--it will happen to you. If you think profitably running a hedge fund is easy, you're not doing it...or not doing it right. <br /><br />Lastly, I think Johno mentioned something even more important: Hendry is an all around great guy--and a humble one. That is *incredibly* hard to find in this business--and yet it is the reason he will be successful again in the future.EM Inflationistahttps://www.blogger.com/profile/13376753485910252234noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-47241320361643292602017-09-18T01:12:32.844+01:002017-09-18T01:12:32.844+01:00@IPA - I'm net short SVXY and have VIX calls s...@IPA - I'm net short SVXY and have VIX calls such that I move my portfolio to 15% long VIX above 18. <br /><br />Should we get that implosion, say 50%, the hedge will have contributed 15-20% cash. <br /><br />In that lucky scenario I'll progressively flip the position, as I did in 2014, 2015 and post Trump. Missed brexit. I'll let you know in real time. <br /><br />My VIX calls are unbounded, but SVXY is bound at zero, so I'll be able to move in size (percentage-of-portfolio-wise, anyway) while still being hedged against a further leg down.<br /><br />Not a cheap position to carry, but it's peanuts compared to the movements in stocks that I'm hedging against.<br /><br />Easiest when there's sharp 1-3 day drawdown, but fortunately that's the nature of the VIX. I've never managed to catch an equity market drop, and I've toasted a lot of cash trying.<br /><br />The opportunity I was referring to has been in stocks and macro, not VIX.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-62931163342546331042017-09-17T05:21:53.303+01:002017-09-17T05:21:53.303+01:00@adamantic, I hope we are both here on the day whe...@adamantic, I hope we are both here on the day when SVXY implodes, so then we can talk about how risk-controlled the loss was and exactly how much was lost. I don't have an attitude, I just think that when everyone is talking about so much opportunity in the space and is on one side of the trade I should look at taking the other. Glad to hear things are working out for you. I have posted my views on SVXY here ad nauseam. Not gonna brag about my returns on the trade. Let's just say I was not long during the most recent drawdown :)IPAhttps://www.blogger.com/profile/14823892667440934141noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-43584789096604931712017-09-17T04:40:12.585+01:002017-09-17T04:40:12.585+01:00IPA I post administrator-calculated returns and my...IPA I post administrator-calculated returns and my positions every month.<br /><br />Can add you to the list if you want and you can see what I do in real time (or take pleasure in future travails when things don't work for me, up to you). <br /><br />SVXY is risk-controlled because you know how much you can lose at all times. <br /><br />Most short vol strategies have uncapped loss and don't compound. SVXY does this all for you so you can focus on your combined portfolio position. <br /><br />Compare how you would risk manage a long SVXY position compared to short VIX futures or short S&P straddles.<br /><br />That attitude is precisely why there is so much opportunity in the space right now.<br /><br />And for the record my default position is long vol, not short.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-6597013318796968062017-09-16T17:38:56.243+01:002017-09-16T17:38:56.243+01:00@adamantic, SVXY is "risk-controlled"?? ...@adamantic, SVXY is "risk-controlled"?? >50% drawdowns don't happen in risk-controlled vehicles. Can you honestly put your hand on your heart and swear catching that crazy animal while it was subdued? Sold to you.IPAhttps://www.blogger.com/profile/14823892667440934141noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-66849328214897488532017-09-16T16:38:51.274+01:002017-09-16T16:38:51.274+01:00I am sorry to say this but he is just a loser. I&#...I am sorry to say this but he is just a loser. I've been doing well this year.<br />Anonymoushttps://www.blogger.com/profile/17579942007713165688noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-19217817141843300922017-09-16T11:54:05.241+01:002017-09-16T11:54:05.241+01:00Don't hate me - but there has been some easy m...Don't hate me - but there has been some easy money in markets lately. <br /><br />The amount of cognitive dissonance in the industry..<br /><br />I was speaking to a hedge fund manager last night running >3 billion. He had buffet quotes on the walls, but was talking about buying a company on cash flow multiple of 15 with structurally declining earnings .<br /><br />Meanwhile companies like Apple have been dirt cheap. You can buy a firm like Fiat with brands like Jeep and Maserati on a 3x after tax multiple. UK land banks were on sale for sub 5x - that's a 20% base return, backed by the most attractive real estate on the planet. <br /><br />On the macro side there have been huge tradable trends in things like the Aussie dollar, crude, and EM. <br /><br />I can also say from personal experience it's possible to do well on the long vol side. There have been multiple cashable spikes in the VIX, for example. More than one a year on average, since 2009. You had to be able to find opportunities on the long side, though.<br /><br />Anybody who didn't read the docs and understand the cash management of something like VXX lost their shirts. Anybody who wrote off ALL vol ETFs missed that attractiveness of something like SVXY for adding a risk-controlled but aggressive long tilt to a portfolio after >50% sell-offs. <br /><br />Allocators have forced hedge funds into buckets. But the best positioning has been across buckets, long equities + long vol + discretionary macro, for example. <br /><br />It sometimes seems that people get airtime and raise money by sounding smart, and they sound smart by being cynical. <br /><br />That cynicism led those like Hugh to miss the greatest opportunity set the world has ever seen. <br /><br />According to that chart in the FT, Hendry has only cracked 20% twice in 15 years. That suggests a lack of skill rather than bad luck.<br /><br />Having said that, wish him well for his next endeavour.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-29741914917808646022017-09-16T08:21:53.108+01:002017-09-16T08:21:53.108+01:00I have not followed Hugh that closely, but from ti...I have not followed Hugh that closely, but from time to time I have read his views. All of what you posted notwithstanding didn't Hugh just make a lot of bad calls over the last 10 years? Appears that way to me and I will openly say I agreed with some of his views and equally found myself offside as well.checkmatehttps://www.blogger.com/profile/03688082792316894545noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-64327196554087343352017-09-15T21:18:24.356+01:002017-09-15T21:18:24.356+01:00I love Hugh. He's imaginative and inspires fre...I love Hugh. He's imaginative and inspires fresh thinking. He's also delightfully human, and I love that about him too. I wish him the best and hope we hear from him in the future.<br /><br />Re the macro fund model, it's a provocative critique. It's hard to think of a better risk-adjusted trade than the levered carry trade in US fixed income the past three decades. To the extent many macro funds were running this trade, it's easy to see how some attained "rock star" status. With curves flat and rates so low, I agree with Hendry that it just doesn't look a good trade going forward unless you have very strong conviction that US rates are converging to Japan's (like Hunt or Gurevich). Hugh talks about changing his mind in November 2013 and learning to love equities, but the macro fund model makes that very hard. As a modern-day macro manager, the one thing you can't be forgiven is a large draw-down coinciding with an equity market draw-down. "Buy calls," you say? Look at the data. Buying equity calls systematically has been a dreadful strategy -- all the return comes from getting paid to take downside risk, i.e. selling puts. And selling puts is the one thing a macro manager can't do. So, I have sympathy with Hugh's plight on this point.<br /><br />johnohttps://www.blogger.com/profile/11356400378252164259noreply@blogger.com