tag:blogger.com,1999:blog-34323687.post8124282981721109505..comments2024-03-19T03:05:57.184+00:00Comments on Macro Man: Asset market returns: A simple response to Fed "tightening" or has all the juice been squeezed out?Macro Manhttp://www.blogger.com/profile/12324967552369915949noreply@blogger.comBlogger61125tag:blogger.com,1999:blog-34323687.post-91477081716962220532016-07-03T04:33:24.181+01:002016-07-03T04:33:24.181+01:00whammer -
crazy, like a fox.whammer -<br />crazy, like a fox.72batnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-38991199562367966512016-07-01T19:05:35.525+01:002016-07-01T19:05:35.525+01:00@LB -- "Even spoos will decline"
Now th...@LB -- "Even spoos will decline"<br /><br />Now that is crazy talk ;-)<br /><br />Whammernoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-44544056814562176102016-07-01T14:14:11.784+01:002016-07-01T14:14:11.784+01:00There seems to be a victory lap going on here by p...There seems to be a victory lap going on here by punters who bought the dip last Friday. No issues with that, guys, we have done the same thing many times here. What seems less certain to me is that the Brexit-triggered event is "over".<br /><br />Quite a few FX strategists think that we just witnessed the first shots in a war that will be waged against sterling and € this summer, giving rise to moves that will not be contained for some time by CB intervention, and that CBs will not be able to intervene constantly to hold up markets. Britain suddenly has a leadership vacuum and a recession seems likely.<br /><br />In addition, for the Price is News faction (of which we are all members), the prices of European bank shares are sending a message that it would be foolish to ignore. The flat YC means that the business model is broken, and with all the NPLs on the books many EU banks are probably technically insolvent again, which is a problem that will require new and more unpopular bazookas. There will of course be a rescue, but Germany never allows rescues w/o a pretty good crisis first. This one will strike close to Berlin and Bonn, in the shape of their very own DB.<br /><br />We see a Q3 that evolves like this: weaker yuan and Chinese data, stronger dollar, lower oil. Lower € and £, C$ and A$. The 1% 10y that Mr Gundlach has espoused is certainly in play. A banking crisis will re-emerge in Europe. Even spoos will decline.<br />Leftbackhttps://www.blogger.com/profile/07728096415928915882noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-54147034067036272862016-07-01T14:00:37.695+01:002016-07-01T14:00:37.695+01:00i went long into Brexit because I was greedy and w...i went long into Brexit because I was greedy and wanted to squeeze out the last 1-2% on a remain vote. lost a lot of money (mtm not realized), thought that would be gone for a while and now already made it all back. what a week. have a good weekendhennerhttps://www.blogger.com/profile/15381506750678483901noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-25071700243223572992016-07-01T13:50:30.595+01:002016-07-01T13:50:30.595+01:00so - traded this bounces in spx-thought had oversh...so - traded this bounces in spx-thought had overshot and probably get a chance to sell higher. got pop sold short and given all money made on the pop and a little more.<br />well , have a goodweekend- i am lost a bit here with this spx move<br /><br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-11599593386215437192016-07-01T12:51:24.061+01:002016-07-01T12:51:24.061+01:00Deutsche Bank stock price near lows, gov bond yiel...Deutsche Bank stock price near lows, gov bond yields are at record lows, USD/CNY melting up and yet stocks are rebounding hard... Maybe in this day and time, shrewd macro analysis is dead. Yes the european banking system is in trouble, China has a massive debt problem, and growth looks anemic everywhere.. But as long as the CBs step in with their printing presses, maybe buying the dip is a long term profitable strategy. <br /><br />Some day this farce will end, but who knows if the day of reckoning is 20 years down the road? I would hate to buy DM stocks at these prices, they don't offer much in terms of value, but with rates at zero there isn't much choice. <br /><br />It seems like rates are going to be near or at zero for a long time, and anyone who is talking about a sustained rate hike is out of touch with reality at this point. What I'm curious about is how the populist revolt is going to play out. I hold a conviction that for this crisis to really be over, there needs to be a rebalancing on a global scale. So far, it hasn't happened. Debt levels are going up, trade imbalances have not been solved, transfer of wealth from the rich to the poor has not happened, China is still relying on debt fueled investment for growth... The CBs and the politicians have flat out refused to face the reality, so the general populus answered with Brexit, which is just a start of things to come. If this keeps going on, politicians like Trump will be at the helm, and then we will have things worse than a stock market crash.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-17480163863082432302016-07-01T12:41:44.404+01:002016-07-01T12:41:44.404+01:00https://www.theguardian.com/world/2016/jun/30/eus-...https://www.theguardian.com/world/2016/jun/30/eus-credit-rating-downgraded-after-uks-vote-to-leave<br /><br />...This, too, didn't take long....Bruce in Tennesseenoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-63561214139304806572016-07-01T11:07:23.861+01:002016-07-01T11:07:23.861+01:00May 12th, FT:
Mr Carney said the “biggest risk to ...May 12th, FT:<br />Mr Carney said the “biggest risk to the forecasts concern the referendum” and “we would expect a material slowing in growth”. He indicated that interest rates might have to rise in the face of a slowdown if a plunge in sterling pushed inflation persistently higher.<br /><br />June 30th, FT:<br />In a stark warning to politicians, governor Mark Carney said a downturn was on its way and Britain was already suffering from “economic post-traumatic stress disorder”. He said the central bank would take “whatever action is needed to support growth”, which probably included “some monetary policy easing” in the next few months, in an attempt to reassure the markets and the general public.<br /><br />I heard him being described as a world class technocrat yesterday. <br /><br />By the way, for anyone wondering, this is not Private Eye.gallamnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-54884169381374935702016-07-01T09:55:22.229+01:002016-07-01T09:55:22.229+01:00uh oh.. ita bank stocks collapse... guys, average...uh oh.. ita bank stocks collapse... guys, average duration of govies in bank italian books is less than 4 years!! btps jump changes nothing, probably is worst again!! more liquidity change s nothing at least keep living zombie banks. <br /><br />there's no back door recap!! it's only a faster collapse!!<br /><br /><br />TheBondStrategisthttps://www.blogger.com/profile/15654760354283741885noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-85487943459450162142016-07-01T08:31:11.836+01:002016-07-01T08:31:11.836+01:00Anon 5:24
Not recap. Survival. Italian banks can ...Anon 5:24<br /><br />Not recap. Survival. Italian banks can stand anything but 2%.Eddienoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-47469073567978086682016-06-30T23:34:19.639+01:002016-06-30T23:34:19.639+01:00BTP - watching level 2 price action, there was not...BTP - watching level 2 price action, there was nothing on the offer post cash close. Some big size came bid and took out one chunky offer which led to the order book exploding. I think post cash close, low liquidity at the end of Q had a huge factor to play with the price action. Have to say, I'm impressed with how quick size understood the implications of Capital Key. It was FAST by any standard of newsflow.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-34239421697263818412016-06-30T23:15:04.419+01:002016-06-30T23:15:04.419+01:00Can confirm BTP's move is unreal and unexpecte...Can confirm BTP's move is unreal and unexpected. Looking at yields in this market might be looking at pe's in late 1999 - they just don't matter relative to flow - but that does not mean people are not getting hurt! Italy 22bp below the U.S. - okay, sure. Corzine must be spitting up his margaritas when he sees these quotes.Mr. Tnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-47826329026274021822016-06-30T23:03:38.971+01:002016-06-30T23:03:38.971+01:00Absolutely MM. Turn a portfolio around is not so e...Absolutely MM. Turn a portfolio around is not so easy these days and on top of that you have limits that you need to obey. In simple words it's not switch on/switch off on a turn of a dime.... And keep in my mind also that transaction costs ar closely monitored as well these days.<br />We took a strategic view to move underweight equities back in April and so far events are supporting such stance (our benchmarks are roughly 65% Msci Emu / 35% Msci World ex emu). The bar to reconsider such setup is reasonably high and, after Brexit, somewhat higher as the element of disintegration of the Euro Zone is back on the table IMHO.<br /><br />The real headache here is on govvies .... 3+ big figures move on todays BTPs is just insane, no matter what the ECB is considering and how much italian banks are buying following TLTRO 2.<br /><br />ALnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-21522135996123009122016-06-30T21:38:59.804+01:002016-06-30T21:38:59.804+01:00I'd really like to see yet another serious up ...I'd really like to see yet another serious up day tomorrow courtesy of new month monies just so we all can experience a wee bit of post-Brexit euphoria ... a proper salute to Independence Day for UK ... and America! Hope it will be a happy 4th of July.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-51280640681279438832016-06-30T21:28:05.520+01:002016-06-30T21:28:05.520+01:00MM - I fully agree with your views re: running an ...MM - I fully agree with your views re: running an institutional portfolio based on solid macro principles, but I wonder if we're all playing yesterday's game. I'm seriously of the view that maybe this doesn't work in a ZIRP/NIRP world where central banks don't even pretend to have credibility and everything is 'extend and pretend'. Anyway... just my mutterings... Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-21666423561762062112016-06-30T21:03:02.097+01:002016-06-30T21:03:02.097+01:00@ wcw, maelstrom, et al. Obviously the current se...@ wcw, maelstrom, et al. Obviously the current settings reflect the paucity of returns in the risk-asset complex, thus shaping the return/risk profile. While it is of course preferable to input future returns, those have the unfortunate characteristic of being unknowable in advance, though you can of course input forecasts. Then again, if you have perfect forecasting acumen, you hardly need a framework like this to tell you where to allocate your money, do you!<br /><br />In any event, I did the analysis and presented it as a counterpoint to the mumbling masses of moronicity for whom it's Spooz uber alles. Or to put it another way, while there's a belief that you're "forced" to move out the risk curve to generate the best returns, it hasn't actually panned out that way since the fed turned off the taps.<br /><br />@Anon 7.25: You're right, that's an absolutely fantastic strategy. Then again, so is any strategy when you look at price action after the fact and say yeah, that's what I would have done. In the real world, where you don't know what's going to happen before you trade, it's a little trickier to know exactly how far the dip should go before you buy 9if you are so inclined.)<br /><br />Moreover, anyone running a proper institutional portfolio with any kind of size (i.e., not from their mum's basement) cannot turn it over so easily....beyond the fact that you'll lose your investors lickety split if you propose "well, i wait for Spooz to back up a couple percent and then go limit long and hope I don't get stopped" as an investment process.Macro Manhttps://www.blogger.com/profile/12324967552369915949noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-79507513692135110732016-06-30T20:10:46.469+01:002016-06-30T20:10:46.469+01:00peseta - Great article. The flaw however was using...peseta - Great article. The flaw however was using a FTSE tracker; if an SPX tracker had been used then for any period > 7 days the SPX tracker would outperform every other asset class known to man :)Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-25038287763156282892016-06-30T19:58:53.159+01:002016-06-30T19:58:53.159+01:00Here's a recent analysis of cash vs shares in ...Here's a recent analysis of cash vs shares in UK: http://paullewismoney.blogspot.co.uk/2016/06/cash-vs-shares.html<br />pesetahttps://www.blogger.com/profile/02536876057269795145noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-13881737967534900102016-06-30T19:25:48.189+01:002016-06-30T19:25:48.189+01:00rest=reset (above)rest=reset (above)Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-31423224104555730142016-06-30T19:25:11.634+01:002016-06-30T19:25:11.634+01:00MM, Maelstrom etc - you are wrong, you are being V...MM, Maelstrom etc - you are wrong, you are being VERY WELL REWARDED for taking risk. You buy every large decline in US equity indexes with leverage and wait for the inevitable rally several days later. You will outperform every industry benchmark and hedge fund by a mile doing this. It never fails. The day it does fail, the world will meltdown and they will rest the financial system. (Admittedly years ago this strategy would be suicide, but we're in a new ZIRP world, so wake up fellas).Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-83351213022166471242016-06-30T18:30:24.676+01:002016-06-30T18:30:24.676+01:00@MM I do appreciate the analysis, good food for th...@MM I do appreciate the analysis, good food for thought. However, leaving the debatable usefulness of MPT aside for now, comparing the risk/return profile of a multi-year period to a single year, let alone YTD, does not allow for a very convincing conclusion. I'd venture a guess that if you plotted each year separately you'd see a handful of years that match-up quite closely with 2015 and YTD 2016 (this may or may not be useful on its own). <br /><br />The point being that its difficult to identify the eventual slope of the 5-10 yr (semi)efficient frontier when you are only halfway through the period. Its the damn E(R) that I hate about MPT. That and VOL=Risk. And the outsized impact of start and end dates...ok I hate MPT. <br /><br />@anon 12:59 - That comment perfectly demonstrates how vexed (understandably) investors seem to be about Brexit. Its this uncertainty about uncertainty that drives overreactions. Its why I bought XIV when VIX hit 25 and nibbled on Spoos Friday and Monday. I agree with most of the comments on this blog that valuations are stretched and fundamentals around the globe are poor/average and Central bank policy makers are totally lost. But I also have a portfolio that investors expect to be making money, so while I have one eye on the exit, keeping a cool head and steady hand when others are flapping in the wind allows me to add a few points to performance that are very hard to come by these days. Having just written that, I find myself agreeing with MM here, you are not being well compensated for the risks you take...food for thought indeed.maelstromnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-44514831151014104572016-06-30T18:12:57.373+01:002016-06-30T18:12:57.373+01:00Steen Jakobsen today:
"We are saturated with...Steen Jakobsen today:<br /><br />"We are saturated with low interest rates and QE, 75% of all QE goes to keep existing debt in place and with that being the number one priority, there is little scope or chances for capex and growth to come back. We have simply crowded out investment and productivity by trying to buy more time.<br /><br />The Fed started the year promising us, but not guaranteeing us that they would hikes rate 3-5 times in 2016. Now the market believes there is more chance of a cut than a hike next time the Fed moves. In the process, the Fed has become predictable (never listen to what it does, but act on what it does do - which most of time is nothing) and has lost what little credibility it had left in the process.<br /><br />The Fed will not hike in 2016 and recession is now more than 60% likely as the Fed's own Labor Market Indicator continues to make new lows and the Conference Boards Leading Indicator goes down in sympathy."Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-48202181931706089592016-06-30T17:58:27.622+01:002016-06-30T17:58:27.622+01:00@macrogoldman - another rush today into SAFE stock...@macrogoldman - another rush today into SAFE stocks.... REITs and now with Hershey's/Mondolez M&A, staples stocks are up massive as well. Utilities too, why not. Let all buy PUI..<br /><br />accident waiting to happen, along with all the new "low volatility" funds as well. abee crombiehttps://www.blogger.com/profile/13320039155613443039noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-41367885288589411382016-06-30T17:37:43.791+01:002016-06-30T17:37:43.791+01:00I can't wait for the post-holiday "Turnar...I can't wait for the post-holiday "Turnaround Tuesday" ...Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-56700904828796315172016-06-30T17:29:01.278+01:002016-06-30T17:29:01.278+01:00@macrogoldman - Spot on. CBs are just kicking the ...@macrogoldman - Spot on. CBs are just kicking the can down the road, turning one crisis into another.<br />Anon 5:24 - The EUR fall (on word of ECB easing) is an Italian bank recap yes. BoE are also doing their best to trash sterling in the way only those f*ckwits can :)Anonymousnoreply@blogger.com