As of 10 pm NY time, here are the results of the survey. To date there have been 224 respondents, though not everyone answered every question. If there is one over-arching theme to the survey, it's an unsurprising one: expect more volatility with a Trump victory. For every single market, respondents showed a wider distribution of responses for Trump than they did with Clinton. Note that the normal distributions in the chart are derived from ATM implied vols for the SPX, MXN, and DXY, and historical vols for the 10y yield.
SPX: On aggregate, you expect a virtually unchanged SPX if Clinton wins, though with a skew to the upside....
...and a drop of 120 points or so should Trump get elected, with a heavy downside skew. Macro Man's sense is the Trump result is broadly around consensus and the Clinton result perhaps a notch below.
MXN: The results here are broadly consistent with consensus. USD/MXN is expected to fall to 18.14 should Clinton win...
..and rally to 20.79 if Trump is victorious.
DXY: Somewhat surprisingly, you expect almost no volatility in the DXY should Clinton win. The average forecast is around spot, and observe the clustering near the current part of the distribution.
The expectations are for more movement with Trump, in both directions, though the skew is to the downside. Note how the Trump SD is almost twice the size of the Clinton one.
10y yield: In this case, the central expectation is identical for both Clinton and Trump, at ~ 1.90%. The difference, as ever, comes in the dispersion of forecasts. The Clinton SD is 16 bps with a modest upward bias....
...whereas the Trump SD is 38 bps, with the current level representing the nadir of the distribution! This would appear to argue in favour of long fixed income vol as an electoral hedge, though of course it ain't as cheap as it used to be.
Fed funds: This one is ironic, given the occasional allegations that Yellen has kept rates artificially low to support Hillary. The expectation is for somewhat higher Fed funds with a Clinton victory than a Trump one, with a slightly wider distribution for the latter.
Finally, it is worth noting that roughly 2/3 of the respondents prefer a Clinton victory, so it is certainly possible that some of the more dire Trump forecasts can be viewed through that prism. Still, Macro Man did scrub the data a bit, rejecting obviously outlandish forecasts. Interestingly, the outcome prediction is very similar to the current 538 forecast (67.7% Clinton, 32.2% Trump).
SPX: On aggregate, you expect a virtually unchanged SPX if Clinton wins, though with a skew to the upside....
...and a drop of 120 points or so should Trump get elected, with a heavy downside skew. Macro Man's sense is the Trump result is broadly around consensus and the Clinton result perhaps a notch below.
MXN: The results here are broadly consistent with consensus. USD/MXN is expected to fall to 18.14 should Clinton win...
DXY: Somewhat surprisingly, you expect almost no volatility in the DXY should Clinton win. The average forecast is around spot, and observe the clustering near the current part of the distribution.
The expectations are for more movement with Trump, in both directions, though the skew is to the downside. Note how the Trump SD is almost twice the size of the Clinton one.
10y yield: In this case, the central expectation is identical for both Clinton and Trump, at ~ 1.90%. The difference, as ever, comes in the dispersion of forecasts. The Clinton SD is 16 bps with a modest upward bias....
32 comments
Click here for commentsShe's done. Indictment city.
Reply"(67.7% Clinton, 32.2% Trump)."
ReplyIntellectualists, political bias ?. The interesting question then is how representative are the sites voters of the voting population overall? If you took at face value the general polls running at the moment showing Trump with a very small lead then you might suggest that voters here have a political skew. On that basis you might want to say a Trump win is not prices in yet at least with this group.
To summarise, how many voters here are on an intellectual level with the teenage 'dude' who I saw being interviewed who simply thought Clinton is boring and 'look around you Dude we're having so much fun here'. The fate of the world is in good hands !
FWIIW I think the market action is seeing it pretty much the way poll results suggests at this time.
Apologies, I intended to say I think the market action is beginning to price in Trumps improved prospects.
ReplyYea just heard, not sure about that - I bet if there is an indictment somebody close to her will take the fall instead.
ReplyThat being said there is only a few days left, so I think the FBI has left it too late.
It is not correct to compare the proportion of answers to "who do you want to win" and "who do you expect to win" to the probabilities from 538. To get a comparable number you would actually need to gather estimates of the probability for the candidates and average them. Your comparison assumes choosing Hillary as expected to win is an estimate of Hillary 100% vs Trump 0%.
ReplyHaving the expectation proportion come out so close to the desired outcome proportion is more a sign that your responders have a suspiciously strong home team bias. Or are unaware of polls. Maybe if you had asked people the question of what odds they would require to bet on Trump you would have gotten a better response.
The MXN survey is quite interesting. MXN is roughly halfway between the Clinton Prez and Trump Prez forecasts despite Trump >270 Electoral College probability still being pretty low. Matches my intuition that MXN is pricing the election as a 50-50 proposition, with a lot of macro tourism skewing the odds. Maybe long MXN vs a slightly more original Trump hedge isn't the worst idea.
ReplyConclusion: Macroman readers tend not to be gun toting blue collar workers waving confederate flags and burning down black churches. ;-)
Reply"If there is one over-arching theme to the survey, it's an unsurprising one: expect more volatility with a Trump victory."
ReplyWell, that should be one of the most non-controversial things you have ever written.
That is also possibly a reason for me to prefer Trump (more volatility equals more opportunities). Up to now, I have been pondering who would do the least damage (something that no one really KNOWS, and that is trickier to estimate than would first appear).
Is it bad for my trading career that all my responses were squarely within center mass?
ReplyI am questioning whether there is more turmoil with Trump. Trump is a crazy SOB but his crazy has not yet being made real - its all potential at this point. For all you know he could fall in line once he gets in - sounds like wishful thinking but he is also a serial flip flopper and may take the path of least resistance.
ReplyIf all the Podesta/FBI moves smoke re corruption is concealing a big fire, then lines have already been crossed (at least fom the public POV anyway - once Trump is out of the limelight this will take centre stage) and it is certain that the chickens will come home to roost. It will be open season on her if she wins. Gridlock ? maybe even a constitutional crisis (can she pardon herself ?). How will something like this impact markets ? Or it wont ?
we live in interesting times
SRX,
ReplyAu contraire son, it means you belong right here with the rest of us arseholes who are apparently cheering for the status quo. The 'gun toting' arsehole who as had no job or prospects for the past 10 years is understandably in the other camp ready will ing and able to shoot you to get something for his family. Such is life.
Where was the marmite v vegemite poll question? This blog is rigged.
ReplyHappy reading:
Replyhttp://www.valuewalk.com/2016/11/bond-market-the-global-bubble-is-ready-to-burst/
Rossmorguy
Meanwhile in the UK one only as to look at the contrasting fortunes of the 250 domestic stocks against the blue chip to understand the market interpretation of the high court ruling today means the belief is markets may depend upon Parliament to give the finger to the 'will of the people'. Do we love Democracy in action, we certainly do. Personally, I think the market should think it through a little more. If parliament will not ratify the decision to trigger Article 50 then the ruling Conservative party will tear itself apart and I suspect it will mean an early election and a huge surge in support for UKIP who like Lazarus will almost certainly arise from the dead.
Reply@checkmate, if you take at face value the general polls, you are doing it wrong. Poll swings mostly measure changes in response rate, not vote intention. See among other references this recent column and this paper [PDF]. See instead Wang’s PEC model or Kremp’s implementation of Linzer.
ReplyTldr: reasonable modeling of vote intention have odds of DJT victory at roughly one in eight.
It is strange that the significance of Wikileaks in themselves has not be fully appreciated by media and markets. It is as if Woodward and Steinberg's Deep Throat were being treated as some underground joke. There is a reason for Wikileaks, and the dead man's switch should anything happen to Assange. It is not some benighted screenwriter doing the Podesta narrative. Whoever it is knows their RICO and the Clintons. They KNOW. Whatever the result turbulence lies ahead, which admittedly doesn't add much to the sum of human knowledge, but I bet it is less with Trump - a catharsis for Republicans - than with Hillary.
ReplyPXD when asked why they are accelerating drilling if they are bearish oil: 'our d&c, production, g&a, interest cash costs are $20/bbl'
ReplySounds like we see 15 million barrel oil build coming soon ..... $2 gasoline , here we come
Me thinks natural gas has moved into strongly over sold territory on a short term daily basis
ReplyBuried in yesterday's conference call, a SHOCKER from Shell: #oil demand may peak as early as 5 years
Replyhttps://www.bloomberg.com/news/articles/2016-11-02/europe-s-biggest-oil-company-thinks-demand-may-peak-in-5-years
Despite all the gyrations and noise, total oil and product inventories still slightly above where they started 2016....
Replyhttp://imgur.com/a/jH8vS
This is the biggest weekly crude surplus on record...
Replyhttp://imgur.com/a/6Y9hp
Russia continues to agree with OPEC about the need to “cut” production while sharply raising its own output...
Replyhttp://imgur.com/a/kBC0J
I think an alternate way of gauging the market election result expectation would also be the LMT/RTN stock price. Higher = Hillary, lower = Trump.
Reply2-10yr curve now +100
Reply25 steeper than 3 months ago
anon 11:42 i concur 101%
Replynow for essential 26 minutes
https://www.youtube.com/watch?v=ig-3qWcz0s8
yes you heard it right, Citigroup picked Obama's cabinet
Nico...you get your insights on US politics from RT???
ReplyNico - anon @ 1142 here - wont go further into politics as this blog is not about that, but curious to think whether a constitutional crisis or big gov dysfunction (i.e. hillary gets indicted and tries pardon herself ? or reports/rumors of FBI clashing with DOJ ?) will impact markets (if at all ?)
Replyis there a precedent ? i am young so all i remember is bill clinton's impeachment but althought contentious it was still "within" the system. not sure which part of history I should look at/reading up
Tonto havent watched the vid but I seen references to citigroup's influence over Obama's cabinet in wikileaks emails (there is a tweet somewhere on wikileaks twitter account highlighting the email).
ReplyLB suggests that one will find as much if not more truth about events in the US on Al Jazeera and Russia Today than on CNN, NBC, or even the BBC. Western media are in full-on propaganda mode and have been since the start of the 21st century's economic Depression, sorry "Recovery from the Great Recession". This will all become painfully obvious in retrospect.
ReplyOne doesn't have to be very ideological to see that MSM is absolutely full of lies on an almost daily basis. We're not living in the era where you could trust Cronkite and the New York Times. Society is going to be seriously ripped apart, 1960s-style at some point, when people get sick of the propaganda and demand more transparency in government and media.
The Citigroup thing is nothing out of the ordinary. America works differently from the UK. In the UK, continuity is expected to be provided by a politically independent career civil service. In America there is a big clear out and resources (typically private) are garnered from whatever source one can to undertake key personnel and policy planning in advance of taking office and the all important "first 100 days".
ReplyThere are pros and cons but essentially it does mean that the USA is undoubtedly a corporatocracy where government is largely run for the benefit of corporate interests and stakeholders with little chance of an alternative.
anon @ 1142
Replythe mounting tension is palpable not a healthy market environment - people are going at each other's throat on Facebook at this point a Clinton win becomes far more dangerous than the other. People will fight after the elections
and more folks are dumping their equities before then - current market is not supported - i am flying to the US on the 9th to spend 4 months there and am wary of the social mood we will find over there
Tonto no i don't but i liked their relay of the Citigroup thingy which i had previously read in wikileaked emails but their format was not user friendly
Cronkite was a despicable liar (despite being "the most trusted man in America"). He was a pioneer of abandoning objectivity in journalism.
Reply