“Take a deep breath….everything will be okay.” This is something I find myself saying to my kids, who live so in the moment, that anything upsetting right now, might seem to them like it could last forever. Of course, usually within about 10 minutes they have completely forgotten about it and are happily playing again. But … More Reflections on the rout
Following my post yesterday looking back at my top trade ideas for the past 3 months (here), it was suggested that I could usefully include a table of total return (%) and Sharpe for each trade. Here it is:
Following on from the recent review of my red list of macro themes (here), this post looks back at how my favourite trade ideas have performed over the past 3 months. Overall, the trades have worked pretty well. All of them are in the money, some more so than others. The trades I have had listed … More Three month review of top trade ideas
I closed out my short sterling position on 13 May (see here for original trade analysis and here for close post), following the release of the BoE’s Inflation Report. I was concerned that the BoE was taking a more dovish tone and that the risk/reward to the front end was shifting. Having spent some time … More Trade review: short sterling
I am closing out my paid short sterling position. I am well short of my target PnL, but time to book some profit on the back of the BoE inflation report. Need to analyse implications carefully, particularly as I “worry” that productivity will now surprise the BoE on the upside, potentially delaying hikes further. Full … More Closing out short sterling position
Just over a month ago I posted a trade recommendation to sell front short sterling contracts (here). The trade summary was: With a 300k DV01 allocation (100k in each bucket) the current PnL on the trade is $4.1m, close to half way to the target. The trade is working nicely, but I wonder whether it … More Trade idea: update on paid short sterling
I argued after the BoE’s February Inflation Report that they were closer to hiking than you might think (here). Since then market pricing has seen the expected timing of the first rate hike get pushed further out to around Sept/Oct 2016, from around April 2016. So what has happened in the past three weeks, and should … More Trade idea: sell short sterling from Dec-15 out to Jun-16
Fundamental Macro 