Aug 20, 2022·edited Aug 20, 2022Liked by Alfonso Peccatiello (Alf)
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.
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 🙏
Thanks for your breakdown on this topic Alf, amazing content as always.
Regarding portfolio construction, I prefer having my main exposure in (fundamental) long/short equity positions on individual stock level spread out over all sectors etc. And adjusting my overall portfolio leverage and net positioning (L-S) on portfolio+position levels to my macro overlay.
For ex. currently unleveraged but 100% exposure, beta adjusted neutral on portfolio level but net long positions in defensives&utilities and net short cyclicals&tech (60/40 ... 40/60).
What do you think the largest ‘dangers’ are of running a hedged portfolio in this way ?
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.
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 thought you had bought TLT? I don’t see it listed in the open/closed trades.
Great analysis!
Thanks for all the great info. How do you size your positions ? how to interpret the column monthly vol in your spreadsheet ?
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
Thanks Alf.
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 🙏
I don't see Long EU bonds and long US +10y in your open trades. why?
TLT is going down while you expected going up. How do you explain such moviment? Are you still confident TLT going up?
Thanks for your breakdown on this topic Alf, amazing content as always.
Regarding portfolio construction, I prefer having my main exposure in (fundamental) long/short equity positions on individual stock level spread out over all sectors etc. And adjusting my overall portfolio leverage and net positioning (L-S) on portfolio+position levels to my macro overlay.
For ex. currently unleveraged but 100% exposure, beta adjusted neutral on portfolio level but net long positions in defensives&utilities and net short cyclicals&tech (60/40 ... 40/60).
What do you think the largest ‘dangers’ are of running a hedged portfolio in this way ?
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.
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.
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.... ;)