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It's funny watching all these people, children of the Great Moderation, freak out about anything that creates volatility that comes from government action. They are used to the opposite, the government trying to dampen volatility and they think its the end of the world when government creates...

I'm trying to do something similar by ocasionally getting involved on the short side and changing the weightings of my risk parity allocation. But with shorts, its tough. Since 2009 there has been few significant drops. There was 2011 where the market dropped 19% or so, then 2016, where it...

That's what I believe Soros was doing with this post-election was short. The fact that he lost 3% I dont think means much, had he been right he would also made a lot. Key is, its part of his fund strategy to put these 'macro overlays' when significant catalysts hit. These catalysts lead to...

Another guy that's great is "The Philosopher" That's the type of approach that I think makes a lot of sense for global macro, particularly if withdraws are not an issue. If withdraws are an issue, then a similar model can be employed but with more liquid products

I will admit, that's a risk to the Trump trade. Its been a popular theme to be in US equities since 2009. So its an obvious trade, that probably a lot of people are playing with leverage. If you combine that with Trump's volatility, its a mix that is likely to create drops a long the way. I do...

Here's another gem from The Predator

A lot of people avoided 2008 losses or even profited from that crisis, not because they are good at asset class timing or because they are this 'multi-skilled' manager that The Predator described. But simply because they have a propensity to bearish thesises. They fall for bearish ideas and...

There seem to be two main ways to create some Alpha. One is to become an specialist in one specific asset or strategy and try to be the best one in that field, like Buffett does with stocks and Gundlach does with bonds. The second way is to be invested in (or to be overweight) the most...

in Early 2016 I thought a way to minimize regret was to follow a balanced/risk parity type of approach, so I did that. I wanted to take some risk (not to miss upside) but still be cautious as not to be too aggressive when CBs were pulling support. Now, after Trump, I'm suspecting equities are in...

I was re-reading The Invisible Hands book and run into an interview that I had forgotten about that its pretty awesome. "The Predator", he talks about how a good macro trader has to be adaptive. In 2008 he was a cash manager, he was mostly sitting in cash and expecting things to be pretty rough...

Here is an interesting currency strategy http://oxfordclub.com/files/2013/06/COMMIR8-TheMaxYield-300R0125631.pdf The idea is to own a high yield currency from a developed or semi-developed country every year. That's a way to capture the 'forward rate bias'. The excess premium one can earn by...

all share index, total return. run an investment backtest

A third method, only rebalance if the asset (from the uncertain country) is above the 200MA (or some other long-term average)

I'm doing some backtests with rebalancing on and off because I believe rebalancing is a trading strategy like any other. Sometimes it will do well, sometimes it will do poorly. I believe its not too dissimilar to using moving averages in order to time asset allocations. Some people see US...

I got 3 centuries of UK data for free. Only thing I dont have is stock data, everything else (bonds, rates, GDP, inflation) I got

Real Returns from a better designed investment strategy from the perspective of a Greek investor from 2007-2016 Allocation is 50% Greek 10y Bonds, 10% Greek stocks, 10% S&P500, 15% US 10y Bonds, 15% Gold. Rebalanced yearly The idea was to put US assets in the 10-20% 'optimum' range for a new...

I tried the central bank website and other sites but no dice. Only site I've found so far is globalfinancialdata.com but they charge like 10 grand for data, which is out of the question. Anyone can help?

From 2013: "Jim Leitner of Falcon Investments is one of the great all-time Macro HF investors, and his presentation emphasized his philosophy and advice on trading. ‘Be a Fox, not a Hedgehog’, he advised, suggesting that it is a mistake to become an expert on one topic. And to look for...

If you need to ask, you probably shouldn't know the answer

Everyone can 'borrow' at libor by buying futures contracts without having to put any money down, only collateral, which can be other securities