May 22nd, 2008 by admin
Active Beta is a term that is not often heard but the concept is often discussed. In this post at The Macro Trader They discuss how they are implementing the concept of relatively passive, risk controlled, capturing of risk premia.
If you are searching for alpha the post is worth reading, as is the newsletter.
-Trade Macro-
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Posted in Macro Trading, Global Macro, Diversification, Models, Papers, Strategies | No Comments »
May 15th, 2008 by admin
How to Time Commodity Markets Using the COT
Here is an interesting paper we came across the other day that discusses how to time commodity markets using the COT (commitment of trader) reports.
The quick version is that using COT data they take the SP500 index, copper, oil, and the 1-month CD rate and create a market timing asset allocation strategy.
We are going to build this model and if we find value in it we will report on it later. If anyone that reads this has any good info on using the COT reports drop us a line at trademacro@gmail.com
-Trade Macro-
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Posted in Global Macro, Models, Papers, Strategies | No Comments »
December 5th, 2007 by admin
Ok so we aren’t talking about Mischa, Adam Brody, or Rachel Bilson. Nor are we talking about LC, Kristen, Jason, etc. (btw we are embarrased that we even know who these people are). What we are talking about this time is Orange County or more specifically the treasurer of Orange County.
For a brief background on that job Here is a good summary. but the short version is that in 1994 Bob Citron was the Treasurer of Orange County and he blew up. Ok not Jack Bauer blew up but he got into some great derivatives that lost tons of money for the County and in the process forced them to declare bankruptcy. He bought “sophisticated derivatives” that he thought would go up and then added a ton of leverage compounding (in his mind anyways) his gains but in reality it made the losses a lot larger than they had to be.
Anyways fast forward to today and they have a similar although probably not as bad of a problem. Here is a link to Bloomberg that explains the current Orange County Debacle. Here is a hint……they hold a lot of SIV’s. In fairness so far there is no proof that they have lost all their money or anything. They hold about 20% of their money in SIV’s and so far have not written any of them down. And luckily as opposed to Citron it doesn’t look like they used any leverage or anything so their overall risk is a lot less.
Still it is pretty amazing that the OC got into anything even remotely esoteric considering their history with financial derivatives.
-Trade Macro-
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Posted in Economy, News | No Comments »
November 15th, 2007 by admin
The title says it all. We are half way through the second day of trading for OZM the IPO of Och-Ziff Capital Management. Och-Ziff is a large hedge fund company that decided to cash out to the public. Following FIG and BX OZM has sold off as well and is currently below its offering price. Only time will tell how hedge funds work out as a stock market investment but for now they have been bad.
Our guess is just like any industry the good ones will thrive over time and bad ones will not but the timing on going public couldn’t have been much worse. Everything has gone down lately so going public in the middle of all the turmoil didn’t help it out much. Several other fund companies have indicated interest in going public so only time will tell. One interesting thing is that we have not heard about any of the “legendary managers” wanting to go public. Bruce Kovner, Paul Tudor Jones, Stanley Druckenmiller, George Soros, and Nick Roditi. No doubt the thought has crossed their mind but we haven’t seen anything in the press showing interest.
-Trade Macro-
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Posted in Stock Market, Macro Trading, Global Macro, Hedge Funds | 1 Comment »
November 15th, 2007 by admin
The title says a lot. Goldman just raised $4.5 billion for two new hedge funds. Guess what the funds strategy is? Credit and Distressed Debt. What does this tell us? To me it means that Goldman sees how bad the credit markets really are and see a way to profit from it. So if you have been following the current mess (and honestly if you are reading this then you are) this is a good indication that it is far from over.
In other Goldie Hedge Fund news they are still down in their two biggest funds Global Alpha a quant fund and Global Equity Opportunies a equity macro type fund.
-Trade Macro-
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Posted in Economy, Macro Trading, Global Macro, Hedge Funds | 1 Comment »
November 14th, 2007 by admin
Morgan Stanley has purchased a less than 20% stake in Traxis Partners. The Macro hedge fund started by Barton Biggs. This follows Morgan Stanley purchases of Avenue Capital, Front Point Partners, and Lansdowne partners in the past year. They are trying to buy their way into the hedge fund space and so far it is working all right.
This purchase was near and dear to Morgan because Biggs used to be the chief market strategist at Morgan before claiming that Hedge Funds were in a bubble and then leaving to start one. Traxis has about $1.5 billion under management and has done decent since inception. A few years ago Barton Biggs also wrote the book Hedge Hogging.
-Trade Macro-
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Posted in Economy, Macro Trading, Global Macro, Hedge Funds, Diversification | 1 Comment »
November 14th, 2007 by admin
Ospraie Management the macro fund ran by Tiger Alumni Dwight Anderson purchased 12% of the Australian mineral sands miner Iluka. Wednesday on news of the purchase the stock was up 10% in the Australian market.
Ospraie Management is one of the premier Macro Commodity funds out there. They invest in many things but focus primarily on hard assets and companies that deal in hard assets such as metals, oil, etc. They have reportedly returned about 22% anually since inception with this year being one of their few underpreforming years.
-Trade Macro-
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Posted in Economy, Macro Trading, Global Macro, Hedge Funds, Diversification | 1 Comment »
November 13th, 2007 by admin
GlobalPensions.com says that many pension plans are planning on raising their allocations to Emerging Markets. Most of the reasoning given is that they have been pleased that the current credit crunch in the United States has not had a very strong effect on the emerging markets.
We think that they are mostly right. Being globally diversified is typically a good thing but their reasoning is a bit weak. In a short country specific credit crunch global diversity is a great thing but don’t fool yourselves. If the current crunch (todays market rally notwithstanding) is prolonged it will effect global markets as well. Especially the rapidly growing emerging markets companies that need financing to continue their growth.
Long-global diversification
Short-weak reasoning
-Trade Macro-
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Posted in Stock Market, Global Macro, Diversification | No Comments »
November 12th, 2007 by admin
Hello,
As anyone who has been here is a while has noticed we have not been posting much at all. We are changing directions with TradeMacro.com. Going forward this site will be dedicated to educating and informing people about Global Macro Trading. We will post newsworthy items and educational articles so that you can better understand what Macro Trading is, the benefits, the drawbacks, the risks, and the rewards of Global Macro.
Thanks For Visiting,
TradeMacro
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Posted in Uncategorized, Macro Trading | 2 Comments »
June 17th, 2007 by admin
While we will probably get a short term pullback in interest rates we remain bearish on bonds. Basically every indicator and model that we follow show bonds as a sell. It is probably safe to say that the inflation numbers are a joke and while 2.7% may sound good it is wrong. Just like calling a fat man skinny doesn’t make it true, the same goes for “low” inflation. Guess what it is at least 1% higher and probably closer to double the reported numbers. There will be more posts in the future on this.
For Bonds
-Governments-Sell
-Corporates-Sell
-Junk/High Yield-Sell
The signals for Government and Corporates have been on sells for weeks now but the high yield only came in as a sell three weeks ago.
As for stocks as much as it pains us to say it we see the SP500 staying in bull mode for the immediate future. Virtually all of our models remain in a buy mode. So although we wouldn’t be initiating or adding to our positions right now we remain on a Hold.
Stocks
US Domestic-Buy/Hold
Favored Area-Large Cap Value
Top Two Sectors-Energy and Materials (XLE and XLB)
As for precious metals we are bullish on them right now. Not wildly so but we have had a few buys on for several weeks now. So for metals we are 40% invested with the rest in cash right now.
Gold-Long 40% of metals allocation.
As for the economy as a whole we remain short term neutral and long term bearish. In the next few months we should be alright but by mid fall we wouldn’t be surprised if we see the fabled recession. That is a ways off but we would not be surprised if it came about.
In the currency world we are short term short the Euro, Pound, Swiss Franc, and the Swedish Krona. In the coming weeks or months we will revert back to the short dollar position that long term has done so well. In addition to that we are long term bullish the Australian Dollar. If we actually go into hyper inflation mode the AUD will benefit significantly and if inflation stays where its at the AUD will still be OK. Overall a good risk reward trade.
That is it for now. Come back often because we are ramping up the posting.
Happy Trading and as always Manage Your Risk,
The Macro Trader
Disclaimer-None of this is investment advice. It is the opinion of the authors. If you choose to trade off of this you do so at your own risk and none of the gains (unfortunately) or losses (fortunately) are the fault of TradeMacro.com. Be safe, do your own due diligence on anything you see, and keep a level head.
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Posted in Economy, Stock Market, Economic Indicators, Macro Trading, Global Macro, Trading Wisdom, Models | 10 Comments »