tag:blogger.com,1999:blog-34323687.post6199341029104747042..comments2024-03-19T03:05:57.184+00:00Comments on Macro Man: A respite from the cesspitMacro Manhttp://www.blogger.com/profile/12324967552369915949noreply@blogger.comBlogger15125tag:blogger.com,1999:blog-34323687.post-37706832163302809372016-09-16T10:25:20.305+01:002016-09-16T10:25:20.305+01:00I wish middle aged market participants would stop ...I wish middle aged market participants would stop doing cra@p like this.......you see it constantly. Use an AC/DC and change the lyrics....hillariousAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-50371054300998526222016-09-15T21:52:14.176+01:002016-09-15T21:52:14.176+01:00@Macro Man That's what I suspected and how I w...@Macro Man That's what I suspected and how I would calculate as well. Thanks! Great read. Chili Boinoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-78745162479907152662016-09-15T20:50:27.487+01:002016-09-15T20:50:27.487+01:00@ Chili Boi The benchmark is zero. I guess you ...@ Chili Boi The benchmark is zero. I guess you could call it a Sharpe, but without the T bill yield taken out of the returns.Macro Manhttps://www.blogger.com/profile/12324967552369915949noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-77237093669779915132016-09-15T20:40:40.688+01:002016-09-15T20:40:40.688+01:002143 pre-expiry is an optimum short entry for a li...2143 pre-expiry is an optimum short entry for a little sub-2100 scare next weekNicohttps://www.blogger.com/profile/06532015745155347229noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-38019719154850306372016-09-15T18:34:52.816+01:002016-09-15T18:34:52.816+01:00What's the benchmark for the information ratio...What's the benchmark for the information ratio? AGG is what's being measured?Chili Boinoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-17646737271778626342016-09-15T18:12:00.007+01:002016-09-15T18:12:00.007+01:00Volatility of volatility isn't over, not quite...Volatility of volatility isn't over, not quite yet. Global bonds are just not bouncing with any vigour at all, and more sellers will join the throng around the exits next week if curve steepening trends in Japan and Germany continue. This macro current is now a stronger influence than the incoherence of the impotent, insipid and increasingly irrelevant Fed.<br /><br />The charts for US fixed income are still ugly, and bonds will drag the more rate-sensitive issues down with it, so, yes if you must be long, by all means stay with the {cash-rich} AAPLs and GOOGs and beware REITs, energy, commodities. We still like short [TLT, IYR, IWM] as a trading thesis for now, and will re-enter this trade soon once the latest orgy of vol selling ends.Leftbackhttps://www.blogger.com/profile/07728096415928915882noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-77019786987598694062016-09-15T16:42:29.735+01:002016-09-15T16:42:29.735+01:00@Mr T - You've always struck me as a pleasant ...@Mr T - You've always struck me as a pleasant and intelligent fellow. I concur fully with your thesis.<br /><br />NDX led on the downside of this 'minor pullback' to 'generational lows'. It is now leading the way back up, having closed the downside gap. As Mr T aptly points out, investors are likely flocking to the safety of Nasdaq stocks, and fleeing the volatility of fixed income. I believe ATH's in US equity indexes await and then a Santa rally. Thoughts as to where I should book my baecation are most welcome.12yo HFMnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-64128207532974089702016-09-15T16:29:31.054+01:002016-09-15T16:29:31.054+01:00NDX/SPX outperformance off the Friday close pretty...NDX/SPX outperformance off the Friday close pretty remarkable. I get that AAPL (at 11% of NDX!) is in full on beast mode, but the rest of the mega-ndx's are very strong as well. Makes some sense in the "less sensitive to rising rates" (or in the case of the cash rich guys it may be a net positive), but that whole theme seems (rates going higher) seems to be drying up. I think the more generalized, longer term and actionable hypothesis is that these stocks are the spirit-animals of the market and they are very much alive and well and this dip is done. So many of these stocks have hit inflection points in the last year or 2 where all of a sudden they are gushing cash and its plain for everyone to see that all that high-pe-the-growth-is-coming buying was right all along. If those stocks are rallying, they will pull everything else with it.<br /><br />Mr. Tnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-27522067931469726612016-09-15T16:08:35.072+01:002016-09-15T16:08:35.072+01:00Hmm... snoozer into OpEx. Vol selling, dip buying,...Hmm... snoozer into OpEx. Vol selling, dip buying, 12yo Heaven.<br /><br />Next week, the selling pressure in (bonds/equities) resumes from M-W? <br />Then comes Dame Janet, singing "Una Paloma Blanca", sending the Spoos to the sky ..... for a day or two?<br /><br />After that the market gets back to trading stuff other than FOMC - like global rates, and [earnings?]. Nah....Leftbackhttps://www.blogger.com/profile/07728096415928915882noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-81895078611615446052016-09-15T15:46:00.665+01:002016-09-15T15:46:00.665+01:00It's a snoozer indeed. U.S. data looking ugly ...It's a snoozer indeed. U.S. data looking ugly though. September is dead, and December is waltzing close to the cliff here too. Lots of stuff going on in global manufacturing at the moment, though which could be noise. <br /><br />- VW supply issues<br />- Hainjin default (this one is ominous, but even if we don't think it heralds anything fundamentally sinister, it likely is curtailing global supply chains and depressing output). <br /><br />A few more months' data are needed to hit the panic button, but in the EZ I note that the manufacturing numbers have been equally sh't. Although construction has been better which matters for capex too. I doubt that we're falling off a cliff in manufacturing, though, but key sectors such as autos and aerospace do appear to exhibit end-of-cycle dynamics. Of course, basic material commodities prices are turning up this year, and U.S. oil sector capex collapse is fading, so there is that. <br /><br />Murky waters I think! <br /><br />As for the market, I think it has to come lower in the short run. I am not biting here. I think the hunting season for vol sellers has only just started. CVhttps://www.blogger.com/profile/16843402165210120665noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-21830604807388536092016-09-15T15:36:12.830+01:002016-09-15T15:36:12.830+01:00or even AAPL...or even AAPL...12yo HFMnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-29667972775932042822016-09-15T15:35:21.365+01:002016-09-15T15:35:21.365+01:00very quiet on here today?
Everyone is busy sellin...<i>very quiet on here today?</i><br /><br />Everyone is busy selling bonds and fleeing to the safety of Nasdaq 3X ETFs ;)<br />Am just waiting until the entire world is long APPL, and Janet postpones the next rate hike, so that I can cash in and take another baecation.12yo HFMnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-66349571980465843762016-09-15T15:03:34.618+01:002016-09-15T15:03:34.618+01:00Terrible retail #s and bonds ... sell off. Remembe...Terrible retail #s and bonds ... sell off. Remember the days when all news was good news for the 30Y bond? It would seem these aren't them. But we'll see whether the new lows hold ...<br /><br />Meanwhile, MoF reports second consecutive week of net bond selling by Japanese since April. The sell-off in Japanese long rates (and cross-currency basis) affecting Japanese demand for foreign bonds, it would seem.<br />johnonoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-9299618515116303762016-09-15T14:46:42.419+01:002016-09-15T14:46:42.419+01:00very quiet on here today? terrible px action at th...very quiet on here today? terrible px action at the long end. Looks like more to go. Seems a stretch to hope for the Japanese to arrest this move.<br />RInoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-61912539221892446052016-09-15T07:34:07.167+01:002016-09-15T07:34:07.167+01:00Mr Brownstone, with apologies to Guns and Roses
...Mr Brownstone, with apologies to Guns and Roses <br /><br />I used to get around seven (%) <br />Sometimes I got around nine <br />And I didn't worry about nothin' no <br />Cause risk was so..., benign <br /><br />The flow usually starts around seven <br />We take on risk around nine <br />Get on the carry at eleven <br />Sellin' some vol and feelin' fine <br /><br />We been dancin' with <br />Mr. Brownstone* <br />He's been knockin' <br />Margin finance can't leave it alone <br /><br /> I used ta do a little leverage but a little wouldn't do<br /> So the little got more and more<br /> I just keep tryin' ta get a little better leverage <br /> Said a little better than before<br /> I used ta do a little leverage but a little wouldn't do<br /> So the little got more and more<br /> I just keep tryin' ta get a little better leverage <br /> Said a little better than before<br /><br />We been dancin' with<br /> Mr. Brownstone*<br /> He's been knockin'<br /> Margin Finance can't leave it alone <br /><br />Now I take on whatever <br />I used to manage risk just fine <br />But the Central Bank he's a real mutha..<br />Gotta pay the margin on time <br /><br /><br />*If Mr Brownstone was central bank liquidity <br />Skippynoreply@blogger.com