tag:blogger.com,1999:blog-34323687.post3784915168228148936..comments2024-03-29T09:24:42.731+00:00Comments on Macro Man: What decoupling?Macro Manhttp://www.blogger.com/profile/12324967552369915949noreply@blogger.comBlogger13125tag:blogger.com,1999:blog-34323687.post-43957648436373826812007-12-07T13:39:00.000+00:002007-12-07T13:39:00.000+00:00much appreciated MMmuch appreciated MMNAhttps://www.blogger.com/profile/09308905056511377295noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-62645587594064176702007-12-07T13:34:00.000+00:002007-12-07T13:34:00.000+00:00Yaser, the data was comprised of total return data...Yaser, the data was comprised of total return data for the MSCI equity and bond incides for the relevant regions, plus 3m LIBOR as a cash return proxy. From there it is easy to calculate weighted monthly returns for each market, and then rolling returns an d volaitlities- and with them the ratios.Macro Manhttps://www.blogger.com/profile/12324967552369915949noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-15878633804622617792007-12-07T06:49:00.000+00:002007-12-07T06:49:00.000+00:00MM-May I ask how you came up with the rolling risk...MM-<BR/><BR/>May I ask how you came up with the rolling risk/reward rations?<BR/><BR/>Thank you in advance. Great post.NAhttps://www.blogger.com/profile/09308905056511377295noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-42089468145505954812007-12-06T14:12:00.000+00:002007-12-06T14:12:00.000+00:00Hi MM, Just rushing in a bit quick here. I COMPLET...Hi MM, <BR/><BR/>Just rushing in a bit quick here. I COMPLETELY agree. <BR/><BR/>The traditional discourse of de-coupling as it was originally envisioned is basically way off compared to what we are seeing. Rather, what we have is 're-coupling' but the world economy remains coupled as ever before. <BR/><BR/>Also, the main canidates for de-coupling (i.e. Japan and Europe) hardly look as if they can muster the pressure. Even if liquidity moves accordingly with the de-coupling/rebalancing thesis.<BR/><BR/>ClausCVhttps://www.blogger.com/profile/16843402165210120665noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-84826759623546741532007-12-05T19:47:00.000+00:002007-12-05T19:47:00.000+00:00Prophets, I was a bank currency strategist in the ...Prophets, I was a bank currency strategist in the late 90's.<BR/><BR/>As for sell side recommendations, let me preface them by noting that I do a lot of my own research, and that as a result I tend to read a lot more economics than strategy. <BR/><BR/>My taste in strategy therefore tends to the short and sharp rather than lengthy 'weeklies.'<BR/><BR/>My favourite guy, and a chap who has in some ways influenced my style in this space, is Fred Goodwin, a.k.a. "Mr. Prop", at Lehman. He is primarily a fixed income guy who also does currencies and equity indices. He also runs a model portfolio with P&L, which adds a dose of credibility (and angst on his part.)<BR/><BR/>For news round-up, there's a London sales guy at UBS called Andy Lees who follows a lot of markets and writes up salient or interesting points on each every morning.<BR/><BR/>Finally, I actually don't think that the GS global markets daily is a bad product. They do recommend trades (though without P/L calculation); I generally rely on my sales guy there to recommend when its worth reading.<BR/><BR/>Hope this helps!Macro Manhttps://www.blogger.com/profile/12324967552369915949noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-23243112907101878912007-12-05T18:59:00.000+00:002007-12-05T18:59:00.000+00:00MM2 q's:What kind of sell side research did you do...MM<BR/><BR/>2 q's:<BR/><BR/>What kind of sell side research did you do before moving to the buyside?<BR/><BR/>Which sell-siders do you prefer most or who would you recommend (if I wanted to read 1-3 guys regularly just for Macro thoughts) for a bottoms up equity hedgie?<BR/><BR/>thxprophetshttps://www.blogger.com/profile/16688051502761732148noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-54238273728170902462007-12-05T17:18:00.000+00:002007-12-05T17:18:00.000+00:00I suspect that the outrage eloped with the outrage...I suspect that the outrage eloped with the outrage over Gordon Brown's systematic raiding of John Q. Public's pay packet over the last decade, with nothing to show for it other than worse education, worse public health, worse public transport, and a hefty bill for military expenditures.Macro Manhttps://www.blogger.com/profile/12324967552369915949noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-48979589746002795622007-12-05T16:14:00.000+00:002007-12-05T16:14:00.000+00:00What about that other wonderful "de-coupling" stor...What about that other wonderful "de-coupling" story that Manhattan real estate is immune from the national housing downturn? Perhaps Goldman can "educate" us about that one too!Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-58557055827439031002007-12-05T15:52:00.000+00:002007-12-05T15:52:00.000+00:00Glad to see that I'm not the only cynic out there....Glad to see that I'm not the only cynic out there. I don't even know that it necessitates a downturn to get GS and/or others to write headline-grabbing pieces. As a former sellside researcher, I feel qualified in claiming that much of the research out there is designed to be interesting rather than correct.<BR/><BR/>W, it seemed quite clear from the comments out of Canada that when USD/CAD went below par and appeared to accelerate lower, there were a lot of unhappy bunnies in the great white north. As you note, the subsitution effect is alive and well near the border. I thought that there was a pretty good chance that BOC would cut, but then again given the 10% rally in USDCAD off the lows, I figured it was in the price.<BR/><BR/>Brad, subtracting out net exports is exactly what you <I>don't</I> want to do, IMHO. The traditional "when the US sneezes" school of thought is predicated on an export link, which eventually feeds through into domestic demand in the ROTW some time later. The point I am trying to raise is that the export link cuts both ways, and that the rude health of much of the rest of the world has kept the US "cold" from developing into pneumonia. I think if one looks purely at domestic demand, the global linkages were never that strong to begin with.Macro Manhttps://www.blogger.com/profile/12324967552369915949noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-22064347005785997002007-12-05T14:15:00.000+00:002007-12-05T14:15:00.000+00:00macro man -- shouldn't you deduct out net exports ...macro man -- shouldn't you deduct out net exports to get a sense of how much of an impulse us growth is transmitting to the world? US import growth has certainly slowed, w/o so far (the goldman the world may recouple in 08 argument seems like a huge hedge) slowing global growth that much. my view on this is that asia replaced the us as a key export market with europe, and that process is on its last legs.<BR/><BR/>bsetserAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-57794999793149676262007-12-05T13:31:00.000+00:002007-12-05T13:31:00.000+00:00As a Canadian (although an ex-pat working in a for...As a Canadian (although an ex-pat working in a foreign financial market), the sudden rate Bank of Canada rate decline was not a surprise to me. All of these "lead" economists need to spend some time looking beyond their models to see what's happening in the real world.<BR/><BR/>For example, Canada exports a very high percentage (70%+) of what it produces, mainly to the US. The recent episode where the CDN$ hit all time highs at $1 CDN = $1.1 USD (30% stronger than what it was 10 months ago!!) has had a significant effect on Canadian exports. But an even bigger issue is that 80%+ of Canadians live within 150 miles of the US border. When the CDN$ hit par with the USD (a very important psychological barrier), Canadians flooded over the border in droves looking for bargains on the US side. As such, Canadian retail has been hammered over the last few months, having had to apply 30% price reductions on a wide variety of goods to "match" US prices (nb: largely the reason the BoC noted reduced inflationary pressures as the reason for the decrease). The brakes on the Canadian economy have been applied hard over the last few months and no leading indicators are quick enough to pick up how dramatically the landscape has changed.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-56863902611407131032007-12-05T12:37:00.000+00:002007-12-05T12:37:00.000+00:00Yes, GS joke and they joke well, but, then again, ...Yes, GS joke and they joke well, but, then again, they are a hedge fund and are probably doing their best to fool their clients (that's how the best trading opportunities come up btw...). You might wanna take a look at the MS 2008 Global Interest Rate outlook (out yesterday). They are taking a look at the "de-coupling" story: as in 2003-2006 were the years when the risk-loving, barely-out of-college monkeys ruled -- you buy risk with no regard to consequences... 2008-2010 might well be the years when the "fundamentalists" rule, where people who do their homework on relative value and fundamentals win. I think you might need to scrap that "beta" portfolio after all... <BR/><BR/>i^iAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-5537487509872244642007-12-05T12:35:00.000+00:002007-12-05T12:35:00.000+00:00i've been 'polling' people on this decoupling stor...i've been 'polling' people on this decoupling story ever since it surfaced at GS .. and noone really believed it<BR/>the theory was, that the IMPACT of the housing induced slowdown will be offset by the BRICs.. well that means the recoupling should now be in its early stages, but instead we are already recoupling ???<BR/><BR/>i think, it just shows what load of b*ll*cks sell side research occasionally delivers<BR/>my consp.theory is that seeing a downturn, in order to get attention and affection, GS came up with the decoupling idea, in order to be able to go around with something worthy of attention and (BRIC)asset bullish..<BR/><BR/>i just wonder really, what their next BIG IDEA is...spagettihttps://www.blogger.com/profile/12141785799734886089noreply@blogger.com