Howdy - how do peasants without bloomberg get pricing for Digital Options. I had looked for it after reading up on Tim Leitner ... but the space seems full of scams and things not available in USA. Opened a Nadex account which seems to be regulated, but haven't done much as it is all short term there as far as I can see... and it got bought by crypto.com - and i dont trust anything in the crypto dumpster-fire-universe.
In earlier bond lessons you pointed out long term interest rates are based on ( in part anyway) future inflation and growth expectations. With the Jpow easing up, or whatever you call the crap he said in last meeting, it seems like inflation will stay higher for longer and that growth might also be stronger than expected? So that would be bad for TLT? Then he marches out his cronies to the press saying the opposite, so good for TLT. Then minutes come out...dovish, back to bad for TLT. In another article you pointed out big money can't go heavy into bonds when there is such confusion. Too risky. I closed my TLT position for now...OK cool, no harm. And I'm not using your trades as advice anyway. But i do like to see what you have on. I am curious why TLT isn't on your spreadsheet? And what your first target is?
The probability of a 2 standard deviation down move is 2.5%, not 5%, which is the two-sided probability (i.e., the sum of left and right tails) assuming of course a normal distribution.
I did! It sits in my structural book which isn’t yet tracked on spreadsheet with portfolio analytics etc. I am working on systematizing my models into the Long-Term ETF portfolio!
Because Japan is a capital exporter and a place with relatively little external imbalances and a very stable and predictable approach to monetary policy
I too am wondering about the choice of JPY in the CADJPY and AUDJPY pairs. Given the battleground that is the Yen, it seems like you're confounding your bet against the Aussie and the Loonie. Wouldn't the USD be better?
Thanks for the awesome content per usual! I was wondering if you have your Volatility Adjusted Market Dashboard live anywhere (or in downloadable form), or if that would come with the interactive tools when they are released?
Thanks for sharing your work. Very valuable and much appreciated. I have a question though. In your opinion, can retail people like me, with a little or no knowledge of economics and/or econometrics build useful macro models ? If yes, how much time would it take to be able to do so (ball park number). I am asking so I have an idea of time commitment needed before I jump down this rabbit hole. Thanks 🙏
Hi Fabio. TLT and IBGL are both higher than my entry level, but in any case they belong to a structural portfolio that aims at beating a 60/40 portfolio on a risk-adjusted basis over a 6-12m+ horizon. Yep, I still expect good returns from long bonds.
Ciao Fabio . Dal tuo none suppongo che sei italiano. Sono Greco e seguo tutto ciò che Alfonso scrive o dice.
Si compra oggi il TLT aspettando del calo del tasso di interesse dopo 6-12 mesi. Lo dice chiaramente nella sua conversazione con Jack Farley da Blockworks Macro .
Questa intervista/conversazione , per me , è la più interessante e sostanziosa negli ultimi mesi.
Sempre avevo preso rischi altissimi , ma ora me ne ritengo opportuno di giocare catenaccio.
Riguardo la proposta di Alfonso Peccatiello a comprare TLT , si è fatta nel 23 Giugno.
Nella tua domanda,
scritta in inglese, stai chiedendo : TLT is going down while you expected going up. How do you explain such moviment?
Per proseguire il discorso, sono costretto a chiedere:
a.Fabio , sai come funziona il mercato di obbligazioni e quali sono i fattori cui formano quotidianamente il livello del tasso di interesse per i bond 20ys e 30ys ?
b. Fabio , sai di che cosa è strettamente legato il prezzo del ETF ?
Sapendo queste due risposte uno chiede soltanto il quando, approssimativamente, il taso di interesse sarà attorno al 10ys 1,5%.
Sarei molto contento se potresti mandarmi la tua risposta alle due domande che to ho fatto. Ti ringrazio anticipatamente.
I compared the structure you explained in the article and found similarities with mine.
but the difference is I'm not an investor but a trader
-Building a macro model for my analysis is equal to my fundamental analysis based on prioritizing important influential fundamentals moving the market against the ones important but less influential at that moment I learned this from Barbara Rockefeller and its RTS service and her book "The Foreign Exchange Matrix: A New Framework for Understanding Currency Movements"
-Find your opponents for me it is equal to pure technical analysis for understanding traders' behavior and finding good technical levels with good entry prices.
-correlations aren’t stable and internals matter. for my model is more about the periodic correlation between assets depending on economic/monetary conditions and sentiment.
Alf strikes again - look very much forward to the interactive tools you mention, especially the probability model. Don't forget about your Substackers when you're running the ECB.... ;)
Howdy - how do peasants without bloomberg get pricing for Digital Options. I had looked for it after reading up on Tim Leitner ... but the space seems full of scams and things not available in USA. Opened a Nadex account which seems to be regulated, but haven't done much as it is all short term there as far as I can see... and it got bought by crypto.com - and i dont trust anything in the crypto dumpster-fire-universe.
I am working on a tool to make this available to you guys
In earlier bond lessons you pointed out long term interest rates are based on ( in part anyway) future inflation and growth expectations. With the Jpow easing up, or whatever you call the crap he said in last meeting, it seems like inflation will stay higher for longer and that growth might also be stronger than expected? So that would be bad for TLT? Then he marches out his cronies to the press saying the opposite, so good for TLT. Then minutes come out...dovish, back to bad for TLT. In another article you pointed out big money can't go heavy into bonds when there is such confusion. Too risky. I closed my TLT position for now...OK cool, no harm. And I'm not using your trades as advice anyway. But i do like to see what you have on. I am curious why TLT isn't on your spreadsheet? And what your first target is?
Hi Tom!
It’s not in my spreadsheets (yet) as it belongs to the structural and not to the tactical portfolio.
The structural book aims at beating a standard 60/40 allocation over a 1y+ time horizon.
The probability of a 2 standard deviation down move is 2.5%, not 5%, which is the two-sided probability (i.e., the sum of left and right tails) assuming of course a normal distribution.
That’s correct, Benoit. Sorry for the mistake - writing a piece like this in August with my in-laws here got me a bit distracted :)
I thought you had bought TLT? I don’t see it listed in the open/closed trades.
I did! It sits in my structural book which isn’t yet tracked on spreadsheet with portfolio analytics etc. I am working on systematizing my models into the Long-Term ETF portfolio!
Great analysis!
Thank you!
Thanks for all the great info. How do you size your positions ? how to interpret the column monthly vol in your spreadsheet ?
Welcome, Santiago!
In my tactical book I do it by weighting each position to lose maximum 2% of my AuM if I get a 1 or 1.5 monthly standard deviation move against me.
Awesome analysis.
I have one question, however:
Considering the BOJ is doing YCC, why do you still consider the Yen a 'safe haven' currency? Or is it just relatively safer than the CAD in your eyes?
Thanks for your work sir
Hi Jack!
Because Japan is a capital exporter and a place with relatively little external imbalances and a very stable and predictable approach to monetary policy
I too am wondering about the choice of JPY in the CADJPY and AUDJPY pairs. Given the battleground that is the Yen, it seems like you're confounding your bet against the Aussie and the Loonie. Wouldn't the USD be better?
One could think of choosing USD too as the other pair to go long against CAD and AUD.
The reason why I chose JPY is explained above and in the podcast too :)
Go and listen the recorded message attached to this article !
Hi. I HAVE A QUESTION FOR YOU :
DID YOU , YOU , YOU , LISTEN TO THE ABOVE RECORDING EXPLANATION ?
Thanks Alf.
Welcome!
Thanks for the awesome content per usual! I was wondering if you have your Volatility Adjusted Market Dashboard live anywhere (or in downloadable form), or if that would come with the interactive tools when they are released?
''or if that would come with the interactive tools when they are released?''
Yep, indeed :)
Awesome! Would love to help out on the the web development side if you need!
Thanks for sharing your work. Very valuable and much appreciated. I have a question though. In your opinion, can retail people like me, with a little or no knowledge of economics and/or econometrics build useful macro models ? If yes, how much time would it take to be able to do so (ball park number). I am asking so I have an idea of time commitment needed before I jump down this rabbit hole. Thanks 🙏
Yea. Definitely. It depends at which level are you now :)
I don't see Long EU bonds and long US +10y in your open trades. why?
That’s because they belong to a long-term ETF book and not to the tactical book.
TLT is going down while you expected going up. How do you explain such moviment? Are you still confident TLT going up?
Hi Fabio. TLT and IBGL are both higher than my entry level, but in any case they belong to a structural portfolio that aims at beating a 60/40 portfolio on a risk-adjusted basis over a 6-12m+ horizon. Yep, I still expect good returns from long bonds.
Ciao Fabio . Dal tuo none suppongo che sei italiano. Sono Greco e seguo tutto ciò che Alfonso scrive o dice.
Si compra oggi il TLT aspettando del calo del tasso di interesse dopo 6-12 mesi. Lo dice chiaramente nella sua conversazione con Jack Farley da Blockworks Macro .
Questa intervista/conversazione , per me , è la più interessante e sostanziosa negli ultimi mesi.
Sempre avevo preso rischi altissimi , ma ora me ne ritengo opportuno di giocare catenaccio.
https://youtu.be/dac5IKCIB14
Nel post viene scritto che sono stati già comprati il 23 June.
Il 23 Giugno 2022 , articolo con il titolo: Time To Buy Bond , al fine dell'articolo si legge :
In my ETF portfolio, I have simply started to accumulate some long-end bonds (US: TLT; Europe: IBGL) as per this morning.
Grazie per rispondere in italiano.
Riguardo la proposta di Alfonso Peccatiello a comprare TLT , si è fatta nel 23 Giugno.
Nella tua domanda,
scritta in inglese, stai chiedendo : TLT is going down while you expected going up. How do you explain such moviment?
Per proseguire il discorso, sono costretto a chiedere:
a.Fabio , sai come funziona il mercato di obbligazioni e quali sono i fattori cui formano quotidianamente il livello del tasso di interesse per i bond 20ys e 30ys ?
b. Fabio , sai di che cosa è strettamente legato il prezzo del ETF ?
Sapendo queste due risposte uno chiede soltanto il quando, approssimativamente, il taso di interesse sarà attorno al 10ys 1,5%.
Sarei molto contento se potresti mandarmi la tua risposta alle due domande che to ho fatto. Ti ringrazio anticipatamente.
a. Yes.
b. Yes.
Alf, an awesome piece once again! On a side note, I sent an email your way back on August 13. If you didn't get it, please let me know! Regards.
Will try and have a look
Thank you so much for the beautiful work
I compared the structure you explained in the article and found similarities with mine.
but the difference is I'm not an investor but a trader
-Building a macro model for my analysis is equal to my fundamental analysis based on prioritizing important influential fundamentals moving the market against the ones important but less influential at that moment I learned this from Barbara Rockefeller and its RTS service and her book "The Foreign Exchange Matrix: A New Framework for Understanding Currency Movements"
-Find your opponents for me it is equal to pure technical analysis for understanding traders' behavior and finding good technical levels with good entry prices.
-correlations aren’t stable and internals matter. for my model is more about the periodic correlation between assets depending on economic/monetary conditions and sentiment.
Glad you can translate the approach :)
Alf strikes again - look very much forward to the interactive tools you mention, especially the probability model. Don't forget about your Substackers when you're running the ECB.... ;)
I won’t! And I also won’t be running the ECB eheh
Thank you for this.
Would you be willing to share the percent allocations in long term portfolio?
Of course! Not done yet as I am working to systematize all my models into the Long-Term ETF portfolio before I do