Global Macro Framework
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misc2014
- Posts: 0
- Joined: Thu Jan 01, 2004 12:00 am
Global Macro Framework
Thanks for this @tbretagn, I had similar thoughts hence the 35% reserve. I'll wait for the crash then enter a world equity index in 2 or 3 tranches to try and reap the recovery. Both the corp and the EM stuff is mostly asset backed (SLXX, IEBC, SEML, SEMB), so hopefully not too dangerous over the longer term.
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alexandergir
- Posts: 0
- Joined: Thu Jan 01, 2004 12:00 am
Global Macro Framework
more updates:
Just to recap on major asset driving factors:
Global Carry has obviously stabilized for now (chart below) while a couple of interesting things are ongoing.
[img]/User%20Files/3871/chartF1.png[/img]
First, risk on/off defined as rotation between bonds & equities is kind of fishing risk on bottom at the moment. Below is a simple proxy in terms of futures (short spx e-mini and long 5y and 10y notes futures). Maybe good time to start getting a bit of it.
[img]/User%20Files/3871/chartF2.png[/img]
Second, US yield curve steepening has gone parabolic. It has been in slow motion since the beginning of the year and moved front of the curve down which does not make it look neither healthy nor overly optimistic on short term rate hikes. What makes it look even more troublesome is that long term US bonds sell off is driving flows into Japanese assets (Yen and Nikkei) and is the reason for their solid performance which makes it appear as carry deleveraging to me. Below is a factor responsible for it, its move up corresponds to US yield curve getting steeper and you see it has been going on since 1-Jan-2015 basically.
[img]/User%20Files/3871/chartF3.png[/img]
Cheers
Just to recap on major asset driving factors:
Global Carry has obviously stabilized for now (chart below) while a couple of interesting things are ongoing.
[img]/User%20Files/3871/chartF1.png[/img]
First, risk on/off defined as rotation between bonds & equities is kind of fishing risk on bottom at the moment. Below is a simple proxy in terms of futures (short spx e-mini and long 5y and 10y notes futures). Maybe good time to start getting a bit of it.
[img]/User%20Files/3871/chartF2.png[/img]
Second, US yield curve steepening has gone parabolic. It has been in slow motion since the beginning of the year and moved front of the curve down which does not make it look neither healthy nor overly optimistic on short term rate hikes. What makes it look even more troublesome is that long term US bonds sell off is driving flows into Japanese assets (Yen and Nikkei) and is the reason for their solid performance which makes it appear as carry deleveraging to me. Below is a factor responsible for it, its move up corresponds to US yield curve getting steeper and you see it has been going on since 1-Jan-2015 basically.
[img]/User%20Files/3871/chartF3.png[/img]
Cheers
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alexandergir
- Posts: 0
- Joined: Thu Jan 01, 2004 12:00 am
Global Macro Framework
Wanted to post an update, but what the heck, why won't we do it on twitter.
Starting today: volatility dynamics, assets dynamics & economy dynamics updates are here https://twitter.com/dynamikacapital
Starting today: volatility dynamics, assets dynamics & economy dynamics updates are here https://twitter.com/dynamikacapital
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Jurassic
- Posts: 0
- Joined: Thu Jan 01, 2004 12:00 am
Global Macro Framework
Does anyone know where I can find this pdf , http://www.dynamikacapital.com/public/pdfs/DynamikaCommentary20150311.pdf
The link is broken now
The link is broken now
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HankScorpio
- Posts: 0
- Joined: Thu Jan 01, 2004 12:00 am
Global Macro Framework
Have you heard of the web archive?
https://web.archive.org/web/20150513084741/http://www.dynamikacapital.com/public/pdfs/DynamikaCommentary20150311.pdf
https://web.archive.org/web/20150513084741/http://www.dynamikacapital.com/public/pdfs/DynamikaCommentary20150311.pdf
East-coast supervillain Evil Smile