In the meantime Alf, would it make sense to use this Substack forum as a temporary TMC community hangout?
If you continue to post excerpts from your latest reports here or even just the title, we could post comments and questions as before.
It may be a bit of a tease for the non-subscribers to see the discussion without the full report, but that might not be bad for encouraging new members.
Only occasionally I'll be posting some excerpts here, but in that case feel free to post comments here and I'll try to chime in.
There are plenty of things we want to deliver within the TMC platform and we are working hard on them - a community platform where to post comments is high on that list.
Trust me, we are really working hard to deliver the best in the earliest possible time
Contacted TMC on this same subject. Reply was basically no comment, but maybe. Crazy that the old free site is so much better. TMC is nothing more than read this report .... and then you see the same thing on Twitter the next day. Alf ... you had plenty of time to get it right. I hope TMC improves quickly.
Crazy in one sense, but such comment services are built into a platform like Substack, whereas they presumably need to be installed into an independent site, which takes time and effort.
The report including the portfolio is exactly what we (long-term investors) were promised, but it feels a bit of a dry experience and certainly not a "TMC community".
It probably comes down to priorities.
I consider it very valuable and interesting to read what the rest of you are thinking and often you ask questions I hadn't thought of, but would really like to know the answer to, so I would like it to be a high priority, but Alf clearly has a lot of high priorities currently.
Thanks for the great work Alf. In addition to the z-score for changes in the VAMS dashboard would it be good to show the z-score for the absolute value of the market metrics relative to their historical 10 year range?
Thanks Alf. I appreciate Rome wasn’t built in a day and great that anomalies are on the radar. I was thinking of this the same way one can use CFTC position reports and the percentile positioning relative to history to identify outliers in sentiment for opportunities.
I don't like CFTC for specific reasons but you are right in general - we are trying to build tools that will automatically track the most ''anormal'' market moves and breaking correlations out there so that the VAMD becomes a much more concrete tool for trade idea generation
Thanks Alf great stuff. I'm wondering if the need to finance the budgetary and the current account is not the primary thing driving interest rates up in the US. Consider that the 6 month bond is at 4.8% more than a percentage point above the ten year rate. Is the rest of the world looking for a medium of exchange to replace the $US dollar. What is the attitude in Japan and China? What is the effect of the war on the US balance of payments? Is the US running out of puff? Is the US catching the British disease?
Hi Alfonso, I asked this a few weeks ago, but it probably went unnoticed in one of those long threads.
About the TMC Macro ETF Portfolio, I am a fairly unsophisticated mostly-long accredited EU investor, i.e. I can buy both UCITS and U.S. securities. I am not so experienced with options, so can you confirm that the Macro ETF Portfolio really employs at least 80% ETFs? How often does it go short?
And would the strategy require constant, say hourly monitoring for good risk and money management, or would fixed or dynamic stops like IB offers be sufficient?
Hi Alf, I was looking at some of the ETF of the Macro ETF portfolio on Interactive Brokers but most of them (the US ones) are not available for EU investors due to some regulations while the EU ones seems also not available but in this case I did not understand the reason (the C5S for instance)... Do u know why is this happening?
Hi Andrea! The EU-listed ETF version of the portfolio exists exactly to allow European investors to replicate TMC Macro portfolios as they don't have access to US-listed ETFs.
While I am just a subscriber, I can tell you that it is entirely an ETF portfolio at this point and appears to use inverse ETF’s for any short positions.
There is a US and EU version of the portfolio listed in what was shared and a generalized breakdown of what and why. It certainly appears that the details will be fleshed out further in the near future. And mentions of courses or training coming (likely that will explain in greater detail on how and why these would be selected and how to do it on your own)... but further content is TBD.
What was in the report appears sufficient to proceed at a higher level with a test or simulated portfolio. I chose to allocate an amount to test the theories as it already falls in line with the concepts I was chasing down before becoming a subscriber.
In the latest (Jan 10) TMC report, you mention allocations to the Long ETF portfolio remain unchanged.
How would you suggest dollar cost averaging in that portfolio under those circumstances? (i.e. I have $XX to add this week, but you made the buy recommendations 1+ week ago... Does it still make sense to buy into the ETFs this week?)
It's very, very complicated - I aggregate 17-18 data sources, work the numbers and the data series and finally get there. That's why it's called TMC Global Credit Impulse :)
What's changed is that the pendulum between disinflation + slow growth and high nominal growth periods will swing much faster, hence generating higher macro volatility
In the "G5 Credit Impulse says..." graph, what do you mean by "lags by 4 quarters". Does this mean that the data from the last 4 quarters isn't available yet? Or is the graph intentionally moved back by 4 quarters in order to show alignment of trends?
For Survival of economies you suggest very low rates ( .25 and .5 ) . Savers have been crushed by these low rates . Now that Japanese and Chinese savers will stop financing US corporate , govt and household debt shouldn’t American and European savers get paid better to finance this debt . US treasury has been accommodated by Fed . Present rates are still a rip off of savers . How long will it go on . Between low rates and high taxes there is really no incentive to save.
I wish the TMC subscriber service had a comments section like this.
You referred to the MC community, but it isn't a community without communication.
Hi Roger, I am working on this - there are plenty of additional features that will be released on TMC over the next months.
Thanks for the feedback, appreciated!
In the meantime Alf, would it make sense to use this Substack forum as a temporary TMC community hangout?
If you continue to post excerpts from your latest reports here or even just the title, we could post comments and questions as before.
It may be a bit of a tease for the non-subscribers to see the discussion without the full report, but that might not be bad for encouraging new members.
Hey Roger!
Only occasionally I'll be posting some excerpts here, but in that case feel free to post comments here and I'll try to chime in.
There are plenty of things we want to deliver within the TMC platform and we are working hard on them - a community platform where to post comments is high on that list.
Trust me, we are really working hard to deliver the best in the earliest possible time
Contacted TMC on this same subject. Reply was basically no comment, but maybe. Crazy that the old free site is so much better. TMC is nothing more than read this report .... and then you see the same thing on Twitter the next day. Alf ... you had plenty of time to get it right. I hope TMC improves quickly.
Crazy in one sense, but such comment services are built into a platform like Substack, whereas they presumably need to be installed into an independent site, which takes time and effort.
The report including the portfolio is exactly what we (long-term investors) were promised, but it feels a bit of a dry experience and certainly not a "TMC community".
It probably comes down to priorities.
I consider it very valuable and interesting to read what the rest of you are thinking and often you ask questions I hadn't thought of, but would really like to know the answer to, so I would like it to be a high priority, but Alf clearly has a lot of high priorities currently.
I would love this.
Alf, have you considered launching this etf portfolio on quantbase ?
Yes, but I found better ways :) I will be announcing something on the fund side later this year
Interaction with the community is everything
I know :) we are working on the community part
Thanks for the great work Alf. In addition to the z-score for changes in the VAMS dashboard would it be good to show the z-score for the absolute value of the market metrics relative to their historical 10 year range?
Good question! We do z-score on the change, not the absolute value.
We are working on adding a ''market anomalies'' section that screens for big moves, correlation breaks and so on
Thanks Alf. I appreciate Rome wasn’t built in a day and great that anomalies are on the radar. I was thinking of this the same way one can use CFTC position reports and the percentile positioning relative to history to identify outliers in sentiment for opportunities.
Hey Devo!
I don't like CFTC for specific reasons but you are right in general - we are trying to build tools that will automatically track the most ''anormal'' market moves and breaking correlations out there so that the VAMD becomes a much more concrete tool for trade idea generation
Keep up the amazing work and can’t wait for your courses to launch.
Thanks Alf. I truly appreciate your tweets and the Macro Compass newsletter. Keep up the good work. :)
Thank you, Chris!
Hi Alf,
do you consider the euro to be a reasonably defensive position in 2023 ( quadrant 4 cash ) or <dollar?
Many thanks
No big view on EUR/USD, Tom
Thanks Alf great stuff. I'm wondering if the need to finance the budgetary and the current account is not the primary thing driving interest rates up in the US. Consider that the 6 month bond is at 4.8% more than a percentage point above the ten year rate. Is the rest of the world looking for a medium of exchange to replace the $US dollar. What is the attitude in Japan and China? What is the effect of the war on the US balance of payments? Is the US running out of puff? Is the US catching the British disease?
Good questions! Those would require a full article as an answer :)
Hi Alfonso, I asked this a few weeks ago, but it probably went unnoticed in one of those long threads.
About the TMC Macro ETF Portfolio, I am a fairly unsophisticated mostly-long accredited EU investor, i.e. I can buy both UCITS and U.S. securities. I am not so experienced with options, so can you confirm that the Macro ETF Portfolio really employs at least 80% ETFs? How often does it go short?
And would the strategy require constant, say hourly monitoring for good risk and money management, or would fixed or dynamic stops like IB offers be sufficient?
Thanks! PN is fine if you prefer.
The Macro ETF Portfolios is literally only composed by ETFs.
Time horizon is a few quarters, and turnover not very high - it's an asset allocation portfolio rather than a tactical trading book.
Risk management is done on a portfolio level rather than with fixed stop losses
Some tips on rebalancing best practices in a future report would be useful.
Hi Alf, I was looking at some of the ETF of the Macro ETF portfolio on Interactive Brokers but most of them (the US ones) are not available for EU investors due to some regulations while the EU ones seems also not available but in this case I did not understand the reason (the C5S for instance)... Do u know why is this happening?
Hi Andrea! The EU-listed ETF version of the portfolio exists exactly to allow European investors to replicate TMC Macro portfolios as they don't have access to US-listed ETFs.
No idea for C5S, it should be tradable
While I am just a subscriber, I can tell you that it is entirely an ETF portfolio at this point and appears to use inverse ETF’s for any short positions.
There is a US and EU version of the portfolio listed in what was shared and a generalized breakdown of what and why. It certainly appears that the details will be fleshed out further in the near future. And mentions of courses or training coming (likely that will explain in greater detail on how and why these would be selected and how to do it on your own)... but further content is TBD.
What was in the report appears sufficient to proceed at a higher level with a test or simulated portfolio. I chose to allocate an amount to test the theories as it already falls in line with the concepts I was chasing down before becoming a subscriber.
Hope that helps!
sure does! Thanks very much.
Thanks Alf!
Welcome, Joe!
Hi Alf,
In the latest (Jan 10) TMC report, you mention allocations to the Long ETF portfolio remain unchanged.
How would you suggest dollar cost averaging in that portfolio under those circumstances? (i.e. I have $XX to add this week, but you made the buy recommendations 1+ week ago... Does it still make sense to buy into the ETFs this week?)
Hi Romain, good question!
I am going to publish a Video Tutorial in the TMC Login section where I'll explain how I approach topics like rebalancing, DCA, etc etc
After seeing the video, just wanted to confirm: if I have money sitting on the side, it should go in the ETFs that are currently underweight, correct?
How can we recalculate the Credit impulse using last updated data from 3rd party?
It's very, very complicated - I aggregate 17-18 data sources, work the numbers and the data series and finally get there. That's why it's called TMC Global Credit Impulse :)
Alf, arguably, this is a destabilizer. What's worked in the past, may not work in the future. The end of QE?
I think we are going to see QE being used again.
What's changed is that the pendulum between disinflation + slow growth and high nominal growth periods will swing much faster, hence generating higher macro volatility
In the "G5 Credit Impulse says..." graph, what do you mean by "lags by 4 quarters". Does this mean that the data from the last 4 quarters isn't available yet? Or is the graph intentionally moved back by 4 quarters in order to show alignment of trends?
Thanks for the post!
The latter option, intentionally shifted by 4 qtrs. Alf is saying that the effect of events that occurred 4 qtrs ago are being evidenced today.
That is correct
Alf, please check your email (outlook)
Hello Alf
For Survival of economies you suggest very low rates ( .25 and .5 ) . Savers have been crushed by these low rates . Now that Japanese and Chinese savers will stop financing US corporate , govt and household debt shouldn’t American and European savers get paid better to finance this debt . US treasury has been accommodated by Fed . Present rates are still a rip off of savers . How long will it go on . Between low rates and high taxes there is really no incentive to save.