tag:blogger.com,1999:blog-34323687.post7148491438395430172..comments2024-03-29T09:24:42.731+00:00Comments on Macro Man: Ending the cult of loss aversion in global macroMacro Manhttp://www.blogger.com/profile/12324967552369915949noreply@blogger.comBlogger18125tag:blogger.com,1999:blog-34323687.post-21835516002249090852014-09-12T09:12:45.911+01:002014-09-12T09:12:45.911+01:00Interesting article.
But there are two major cause...Interesting article.<br />But there are two major causes not discussed here which are contextual I think.<br /><br />1/ Soros investors were wealthy guys who wanted to make 50% yearly, now most macro HF investors are institutionals - pension funds etc, very happy with a 8% yearly as long as the sharp is good. The good news (not that sure?) is that apparently pension funds are reducing their exposure to the HF sector.<br /><br />2/ It is QE times that has messed things up. Look what happened to the "big" ones in Q3 2009, or on Fed taper in Q2 2013. They got completely killed with the wrong strategies. QE has completely distorted our investment tactics. It is liquidity that has been driving price trends rather than data, that's why every macro investor had to shorten their duration. Moreover, everything was so correlated, that you couldn't bet on any one differentiated theme. That's why risk management has become so important. At Soros times you could buy some 2Y notes and keep them for 3 years, in a super mega trend. Macro trends had nothing to do with the current context. The good news again is that with the Fed exit, we now have policy divergence. It is getting trendy, data and policy driven...Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-36616791342092946262014-09-11T07:28:40.163+01:002014-09-11T07:28:40.163+01:00Anon @ 3:48.
This ain't exactly breaking news...Anon @ 3:48.<br /><br />This ain't exactly breaking news. The biggest dealers in the market sit together and decide what constitutes a credit event for example. It is all official and called ISDA standard. When pooh hits the fan, for example whem Thomson had a credit event back in 2009, things become interestig. Everyone would have said that this was a default, plain and simple, but it ended up as a restructuring... with different implications for the protection buyers. There is no way to win when the bank decides the odds once the dice have been cast.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-80502769607847370112014-09-11T06:20:51.209+01:002014-09-11T06:20:51.209+01:00C says
Mr T,
Ditto, couldn't agree more on all...C says<br />Mr T,<br />Ditto, couldn't agree more on all points made.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-18094167571620455522014-09-10T20:34:22.399+01:002014-09-10T20:34:22.399+01:00For me risk aversion and the 'cult of taking s...For me risk aversion and the 'cult of taking small profits' is a result of constantly having to put on positions you do not believe in, because you know the market is being pushed in those directions.<br /><br />My post-2008 trade idea generation pretty much always starts with something like "what does [some-central-bank] want out of this market?"Mr. Tnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-70364940376165251792014-09-10T20:22:41.304+01:002014-09-10T20:22:41.304+01:00+1 for "FoF weenies". Tautologous, but Q...+1 for "FoF weenies". Tautologous, but Quality.Leftbacknoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-50699939739106921502014-09-10T16:25:46.535+01:002014-09-10T16:25:46.535+01:00I think we are seeing macro live in "crypto m...I think we are seeing macro live in "crypto macro": multistrat and equity managers which for some reason or other get a pass on volatility and use that to show the staying power that the Brevan's Millennium's etc of this world don't have. Old school macro is alive, but its buried in "tail" and "macro" allocations within multistrats where at 10-15% of AUM it can move the need in a big year but is outside the purview of FoF weenies. Nemo Incognitohttps://www.blogger.com/profile/07345185457108156269noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-69464946161487799292014-09-10T15:48:10.876+01:002014-09-10T15:48:10.876+01:00Does this ever end?
Big Banks Manipulated $21 Tri...Does this ever end?<br /><br />Big Banks Manipulated $21 Trillion Dollar Market for Credit Default Swaps (and Every Other Market)<br /><br />http://www.washingtonsblog.com/2014/09/big-banks-manipulated-21-trillion-dollar-market-credit-default-swaps-every-market-well.htmlAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-30088317233384143362014-09-10T15:20:07.850+01:002014-09-10T15:20:07.850+01:00US30y flirting with the 50 day average today, as t...US30y flirting with the 50 day average today, as the long bond auction comes into view tomorrow. Time for some fixed income bargain hunting. A 2.55% 10y and a 3.25% 30y beat their peripheral European counterparts and a share of AMZN quite handily here. Jeff Gundlach was being fairly conservative with his public call of 2.2-2.8% US10y, probably he doesn't really believe US yields can drift that high now that even core Europe is heading for deflation.<br /><br />DX looking up at 85 here, USDJPY at 107 with no sign of stopping any time soon on the way to 110. It will probably take another really piss weak employment number in the US to stop this runaway train. That's likely to happen soon, as we have seen DX 85 before and it usually stops US export growth and domestic inflation abruptly.Leftbacknoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-79810047156915437202014-09-10T14:55:41.769+01:002014-09-10T14:55:41.769+01:00A good read,imo:
"He expects the dollar to s...A good read,imo:<br /><br />"He expects the dollar to strengthen substantially against the Japanese yen, which is likely to continue being devalued. Eventually, he sees the dollar USDJPY rising to ¥200 (it was at ¥106.40 on Tuesday)".<br /><br />http://blogs.marketwatch.com/thetell/2014/09/09/jeffrey-gundlach-gives-market-calls-and-outlook/Rivernoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-37782071186001754662014-09-10T14:04:23.709+01:002014-09-10T14:04:23.709+01:00What's so good about a low Sharpe Ratio?What's so good about a low Sharpe Ratio?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-51154749990700466052014-09-10T13:51:40.195+01:002014-09-10T13:51:40.195+01:00@LB - BOJ are actively selling Yen in the market.@LB - BOJ are actively selling Yen in the market.Yenonoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-17493328873900040502014-09-10T13:28:25.197+01:002014-09-10T13:28:25.197+01:00Never short a quite market they say, well , how ab...Never short a quite market they say, well , how about never short a bank looking to erase volatility from its books.<br />With the referendum in the pipeline I'd be curious to know which Scottish Banks have done thee above since 2008.<br />With help from London subsidiary's (thank you) one can say the desk is all focused again like a Thoroughbred running down the straight for the first time in blinkers.<br />Thanks mate.<br /> <br />amplitudeinthehousenoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-71546342268000759112014-09-09T18:07:43.965+01:002014-09-09T18:07:43.965+01:00C Says
LB,
Yenny is down to me ! Best thing I have...C Says<br />LB,<br />Yenny is down to me ! Best thing I have had running for quite awhile.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-7280967663027188562014-09-09T18:03:14.472+01:002014-09-09T18:03:14.472+01:00Macro funds are just another class of victims of w...Macro funds are just another class of victims of what is rapidly becoming global financial repression, along with savers and "value" investors. Historical comparisons are somewhat inane in this case, as e.g. Soros made his name and money in a vastly different regime - higher rate, high FX vol environment. That was long before we stepped through the looking glass into ZIRP.<br /><br />Quick quiz: name a massively successful Japanese macro HF over the last twenty years... (crickets chirping) OK, now since, that was the laboratory for the present global situation, why expect the recent US and EU based macro HF results to be any different?<br /><br />Changing the topic, do punters here have a view on why USDJPY is decoupling from everything this week? Is it merely b/c it was the MM readership poll's favored EoY Hail Mary performance chaser?Leftbacknoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-23710365423223247912014-09-09T16:00:21.260+01:002014-09-09T16:00:21.260+01:00i think the comment on 'is it it problem and i...i think the comment on 'is it it problem and institutionalised nature' is also right - hnwi's were fine with the big swing, japanese pension funds are not, they will invest orders of magnitude more than hnwis and want 7% over 10y jgb. good example is winton halving the funds vol target.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-17796033092306454422014-09-09T15:04:56.635+01:002014-09-09T15:04:56.635+01:00the piece forgets one thing: who is the investor p...the piece forgets one thing: who is the investor pulling the trigger.<br /><br />These days the selector is a professional i.e. a guy paid by somebody else that needs to throw the dart on the board.<br /><br />This guy wants to protect his culo. he is not going to select the most volatile because hish swings could upset his boss/investor. <br /><br />he goes for the fund that tells him he is going to sleep at night.<br /><br />Robust risk management architecture/tail risk analysis of idiot-syncratic risks/PCA/Copula/non-parametric are his sleeping pills.<br /><br />And on the back of that, fund managers end up having a 3:1 ratio which - statistically is bollox.<br /><br />Then, investors always buy what has performed best last year. I always say... <br /><br />God gives you an information ratio of 1.0. Under the normal distrib assumptions, 1 year out of 6 you lose money.<br /><br />if it happens on the 6th, you may go away with it... but if it materialises on the first one are you going to have a second?<br /><br />ciao fAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-62849091892024763662014-09-09T14:32:26.428+01:002014-09-09T14:32:26.428+01:00I agree with a lot of the sentiments about the gen...I agree with a lot of the sentiments about the general malaise afflicting the industry, but I think there's a degree of selection bias when looking at the glories of the past. After all, for every Soros, how many have-a-go heroes have blown up and been forgotten in the fullness of time. Or perhaps it's even worse: I fear that the Soros's and Druckenmillers of this world have provided cover for a lot of have-a-go heroes, who've gone on to sully the macro brand.<br /><br />Another issue is: are we sure there's a problem that needs solving. Global macro has become institutionalised and accordingly neutered, but maybe Alan Howard et al are happy enough earning their management fees on vastly greater piles of assets. They've handed in their 'Live free or die' t-shirts, and are now working for The Man, thank you very much.<br /><br />OK, granted, it's no fun for us macro minions, but we're the tail, not the dog.VandalsStoleMyHandlenoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-20369129822271524042014-09-09T14:30:27.094+01:002014-09-09T14:30:27.094+01:00Much as I agree with the sentiment here, the multi...Much as I agree with the sentiment here, the multi PM fire at -4% model is stupid and needs to go - its just too hard to make fees work this way, i think something important thats missing here is that rates were way higher - 100-300% long bonds used to pay a heck of a lot, plus the interest on cash. Anonymousnoreply@blogger.com