tag:blogger.com,1999:blog-34323687.post3577456140501416274..comments2024-03-19T03:05:57.184+00:00Comments on Macro Man: Back in BlackMacro Manhttp://www.blogger.com/profile/12324967552369915949noreply@blogger.comBlogger20125tag:blogger.com,1999:blog-34323687.post-18589080487976273522008-10-28T12:53:00.000+00:002008-10-28T12:53:00.000+00:00Macro Man (and others),USD/JPY/CHF started to stre...Macro Man (and others),<BR/><BR/>USD/JPY/CHF started to strengthen around the start of August. Do you have any idea why it happened at that very time? Was it rate cuts by central banks that made the carry trade less profitable?<BR/><BR/>Thanks<BR/><BR/>JohanAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-91479836122731110002008-10-28T10:24:00.000+00:002008-10-28T10:24:00.000+00:00Hi Macro ManThank you for sharing your thoughts in...Hi Macro Man<BR/><BR/>Thank you for sharing your thoughts in this blog. Its great! <BR/><BR/>On your ruminations on whether one should aim for 'epic' performance in this market vs 'just' 'very good', my opinion is that the name of the game is to REMAIN in the game.Ahttps://www.blogger.com/profile/17436582518390861803noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-89400563801795550702008-10-28T00:50:00.000+00:002008-10-28T00:50:00.000+00:00We've been involved very modestly in Volkswagen, l...We've been involved very modestly in Volkswagen, less than 1% of total capital.<BR/><BR/>While we clearly got more vol/risk than we bargained for with this one, I'm glad to see Bafin (german securities regulator) is now investigating the issue. Porsche has engaged in a levered hedge fund scheme by taking on debt, selling volkswagen puts and buying calls, while pushing around the underlying stock which is under severe liquidity constraints.<BR/><BR/>It is cornering the market, pure and simple and then trying to play games with derivatives on the underlying.prophetshttps://www.blogger.com/profile/16688051502761732148noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-78918577772550752252008-10-27T20:55:00.000+00:002008-10-27T20:55:00.000+00:00A free option on inflation is nice, but who has pa...A free option on inflation is nice, but who has patient enough capital to wait around for it to pay off? So many trades out there, so little capital...Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-47376172697234337562008-10-27T17:26:00.000+00:002008-10-27T17:26:00.000+00:00The latter.The latter.Macro Manhttps://www.blogger.com/profile/12324967552369915949noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-6686772347519034892008-10-27T17:23:00.000+00:002008-10-27T17:23:00.000+00:00Thanks for wisdom (as always!) MM. It looks to me ...Thanks for wisdom (as always!) MM. It looks to me as if there might an opportunity somewhere around here... zero inflation for 5yrs and +3% real yields don't seem to fit together very well. Am I missing some nominal/real yield equivalence conversion trick? Or is the market that messed up?SDhttps://www.blogger.com/profile/02004788658738987967noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-45746144997783133382008-10-27T17:07:00.000+00:002008-10-27T17:07:00.000+00:00SD, 3 issues:1) bad liquidity2) illiquid repo mark...SD, 3 issues:<BR/><BR/>1) bad liquidity<BR/><BR/>2) illiquid repo market<BR/><BR/>3) Existing issues have a lot of accrued inflation, so there is no implicit "inflation put at zero" in them. Could CPI be negative by a few percent in the next couple of years? Maybe. If oil is, say, $50 next July, that will be a y/y change of -60% or so...that would surely put sever downward pressure on the CPI.<BR/><BR/>And if you think TIPS are cheap, check out JGBis.....Macro Manhttps://www.blogger.com/profile/12324967552369915949noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-54784095896304823942008-10-27T17:00:00.000+00:002008-10-27T17:00:00.000+00:00MM & other punters: anybody know whats been go...MM & other punters: anybody know whats been going on in the TIPS markets? From my crude math I see no inflation priced into the curve for the next 5 years (at least)... And why are the short dated ones showing up with 6-8% yields? Deflation expectations that didnt filter thru to pricing assumptions/conventions?SDhttps://www.blogger.com/profile/02004788658738987967noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-1666094615463190592008-10-27T15:40:00.000+00:002008-10-27T15:40:00.000+00:00Citi is circulating a short piece over bbg talking...Citi is circulating a short piece over bbg talking about the possibility of portfolio rebalancing at real money funds. They do a back of the envelope and arrive at the need for them to buy 4% equities and sell 4% bonds. This (or the fear of it) explains the price action today.<BR/><BR/>Crisis be damned, I see too much value out there. I was a small short, now I'm a small long, underwater tho it be.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-30944178739062883252008-10-27T15:30:00.000+00:002008-10-27T15:30:00.000+00:00Thank you for taking the time to answer my carry q...Thank you for taking the time to answer my carry query MM. I appreciate it.<BR/><BR/>Anon 12.42Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-61653227397914803712008-10-27T15:28:00.000+00:002008-10-27T15:28:00.000+00:00Good chance that Dow is bouncing around in a botto...Good chance that Dow is bouncing around in a bottom range, and Dollar and Yen have seen their max. Maybe the culling of misguided bets, the popping of bubbles is at, or close to, its peak. Novemeber the nadir.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-41673938442742414372008-10-27T15:02:00.000+00:002008-10-27T15:02:00.000+00:00Intervention, part 2I absolutely agree with you, M...Intervention, part 2<BR/><BR/>I absolutely agree with you, MM. The ground is already so wet that one cannot help but wondering whether further heavy rains in the weeks ahead will change anything in the currency markets…<BR/><BR/>However, how about an intervention aimed at buying USD/JPY and selling EUR/USD? After all, it’s JPY that seems to be sitting on the earthquake’s epicentre, while the recent bout of EUR weakness might well be a welcomed relief for many European exporters… Did you hear any of European so-called leaders complaining for the weakening EUR, recently? <BR/><BR/>Read you later, ATAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-9393205035051489472008-10-27T13:36:00.000+00:002008-10-27T13:36:00.000+00:00Anon@ 12.42, while FX carry is certainly cheaper t...Anon@ 12.42, while FX carry is certainly cheaper than it used to be, it is also, by and large, tied to the global economic cycle. I remember during the last recession scratching my head and wondering how the hell AUD/USD could be under 50c. It wouldn't be a total shock for a similar outcome this time around as the Great Unwind takes hold.<BR/><BR/>Gsm, if the CBs don;t spend the reserves supporting their currencies, it sort of begs the question of why they acquired them (particularly in he magnitude that they have done) in the first place!<BR/><BR/>AT, I originally thought that the election would send US equities and the dollar higher. Now, I really have no idea to be honest, given the speed of the $ rally. While I suppose anything is possible re intervention, it seems a bit odd to weaken the $ against, say, the euro, when according to many metrics (including my own) it is still undervalued!Macro Manhttps://www.blogger.com/profile/12324967552369915949noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-30923498284868414822008-10-27T13:28:00.000+00:002008-10-27T13:28:00.000+00:00Hi MM,I think markets might go nowhere in the next...Hi MM,<BR/><BR/>I think markets might go nowhere in the next couple of weeks: one day a huge move down and one day a (fairly) huge move up... <BR/><BR/>Indeed, main unknowns for currency markets in the weeks ahead are: <BR/><BR/>a) US presidential elections. How about a landslide victory by Barack Obama (the opposite being at the moment quite unklikely...) followed by a brief relief rally for US equities and a further wave up for USD?<BR/><BR/>b) G20 meeting on November 15th. How about some kind of coordinated intervention on currencies putting a temporary stop to the current USD strenght? <BR/><BR/>I think that both a) and b) will come true, but I frankly don't know how to translate such views in a trading equation... keep on betting on USD (and CHF, and JPY...) or choosing a different horse (all quite groggy, to say the least...), that's the question!<BR/><BR/>Have a nice day with your kids, ATAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-78140232772860584002008-10-27T13:16:00.000+00:002008-10-27T13:16:00.000+00:00Dear MM, do you thibk EMs should spend their reser...Dear MM, do you thibk EMs should spend their reserves supporting the currencies. India's reserves are down, there have been outflows of $3 bn in equities and another $500 mn in debt, they have probably spent another $10 -15 bn supporting currencies. Reserves are not increasing. with 300bn not likely to be adequate if something worse happens, wont it make sense to let the currency depreciate. The way things are developing no number is sacrosanct neither indices/curr levels nor reserves?<BR/><BR/>regards:<BR/><BR/>gsm_73gsm_73https://www.blogger.com/profile/14463269875250565829noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-79358026099573057542008-10-27T12:46:00.000+00:002008-10-27T12:46:00.000+00:00My short-term sell GBP/CHF strategy worked as long...My short-term sell GBP/CHF strategy worked as long as GBP made any serious upward attempts. But it now just goes south. It now depreciated about 25% over three years. Lowest USD was also 25% off which makes me think that GBP could go north again. But then, USD picked up since its low only because of heightened demand as reserve currency. 1) GBP is not so it may freefall further? 2) USD on a bull trip amid its bear journey?mikarskyhttps://www.blogger.com/profile/07451575916097736038noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-33298892603914618662008-10-27T12:42:00.000+00:002008-10-27T12:42:00.000+00:00An interesting read as always.One question though ...An interesting read as always.<BR/><BR/>One question though MM do you think there is further 'significant' yen appreciation in store considering the moves already experienced on EUR/JPY, GBP/JPY and AUD/JPY?<BR/><BR/>I would be interested to hear on your carry trade view over the medium/long term. A 'naive' question perhaps given the moves last Friday but having liquidated a prior carry portfolio in Feb 07 I'm tempted to begin averaging in again, albeit slowly.<BR/><BR/>Thanks again.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-40341366552558504912008-10-27T12:38:00.000+00:002008-10-27T12:38:00.000+00:00I wonder why the EM Central banks that have collec...I wonder why the EM Central banks that have collected tons of reserves aren't defending their currencies more aggressively. Maybe the money is invested in Fannie and Freddie.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-29757657139340202512008-10-27T11:01:00.000+00:002008-10-27T11:01:00.000+00:00all just seems so uber-bearish, that a tiny contra...all just seems so uber-bearish, that a tiny contrarian position is what i have now. short yen, long em fx <BR/>i can see a move higher in equities, not because there is much justification, just because of the sentiment-contrarian argumentspagettihttps://www.blogger.com/profile/12141785799734886089noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-42370591865679217062008-10-27T10:58:00.000+00:002008-10-27T10:58:00.000+00:00Great post.Great post.Danielhttps://www.blogger.com/profile/02901678973251321027noreply@blogger.com