Brief Introduction

Frustrating day despite closing .44% up. Mainly because I had the positions to close 2% up. As i posted the start of the day today I had taken the decision to take off the lower side of an AMZN Iron Condor that expires on Friday as I had a bearish view on tech. Instead took my kids to Dunkin Donuts and left the position as AMZN dropped 3%. Gamma is king, and it cost me a pretty penny. Worst of all i could not take profit on the other shorts as they were my only protection.

On the fun side, I did my first fly trade with a 29jan 115/120/125 In AAPL, which gained nicely. Entered at .52 and it closed around .86.

For now, I keep my bearish bias. I do not see a big reversal until the Georgia senate election is decided. A democratic win in the senate would cause a further correction in my view.
 
Decent last two days with total log returns of 2.31% for 2021, but it is clear to me that I have a lot to learn. Today I should have closed easy above 2% and I managed only .57% despite having the absolute correct view. Just terrible execution.

Since Inception:

Sharpe Ratio : 1.9508455443614312
Sortino Ratio : 2.3230734310753065
Info Ratio : 76.88%
Beta : -0.17117578898715466
Alpha : 0.9080450460949938
R2 : 0.008810526935767227

Portfolio Return Annually Compounded : 84.25%
Benchmark Return Annually Compounded : 38.80%
Portfolio Benchmark: SPY
Risk Free Rate Annual : 0.08%
Calendar Days : 162
Observations: 115
As of : Jan 06 2021

My Macro views have not changed. See further correction in tech and on the back of that I have sold some topside in FB and NFLX and long downside in FB and QQQ. Need to find some winners given the blue wave, so I decided go long topside WMT(good place to spend your 2000 check) and JPM which is a stock I really like and fits into the macro view. Will probably look to add some bullish structure in commodities.

Facebook looks compelling from the technical side as we have broken the 20, 50 nd 100MA's. I think that a close with volume below 260 could accelerate the drop. It is a stock that has some nasty short squeezes so need to be on top of it to sell some more at good levels.

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From a thematic standpoint, are you following any of these views:
- That real rates will rise, pushing down growth stocks
- The cyclical recovery will rally smallcaps, energy, and "low growth" (read: value) industries
- DXY will continue to decline -- though has the biggest risk as the Fed was a leader in raising rates
- 10yr will move up to 1.25 - 1.50 by eoty
- Metals will rally (copper, ali, etc.) as countries expand government projects to target above-trend unemployment
- Inflation trend average around 2% over the next decade
 
longandshort said:
From a thematic standpoint, are you following any of these views:
- That real rates will rise, pushing down growth stocks
- The cyclical recovery will rally smallcaps, energy, and "low growth" (read: value) industries
- DXY will continue to decline -- though has the biggest risk as the Fed was a leader in raising rates
- 10yr will move up to 1.25 - 1.50 by eoty
- Metals will rally (copper, ali, etc.) as countries expand government projects to target above-trend unemployment
- Inflation trend average around 2% over the next decade
More...

I think those are themes that have rising momentum. I am not dogmatic about ay of these views but a quick response to each:

- That real rates will rise, pushing down growth stocks
I think that the massive fiscal stimulus in conjunction to QE may begin to push up inflation. We can make a new thread on why this time is different than previous QE. I am not negative on growth stocks but on some of the big tech names that have overly benefited form the pandemic. And I will play it according to my strategy(see page 1)​
- The cyclical recovery will rally smallcaps, energy, and "low growth" (read: value) industries
Energy has some room to go in part due to #1. Also weak dollar pushes oil higher Commodities as a hedge for growth led inflation). Small caps , its all about recovery from the pandemic for me and the benefit from Government spending. But they will hit a ceiling because the ties have changed. Value stocks should perform as better conditions increase probability of dividend growth. Again with limited upside, but ride the tails.​
- DXY will continue to decline -- though has the biggest risk as the Fed was a leader in raising rates
US$ should continue to weaken but more so against EM , and less so against majors. I don't see a massive move in rates either, just as I don't see for now a massive move in inflation. In the end for the DXY is its massive current account deficit.​
- 10yr will move up to 1.25 - 1.50 by eoty
I think the FED will put a cap on the steepness of the curve, but if it due to a phenomenal recovery then so be it. But there are more risks to the downside in my view.​
- Metals will rally (copper, ali, etc.) as countries expand government projects to target above-trend unemployment
If there is one point of bipartisan support in the US is on infrastructure. For now looking for metals to go to pre-pandemic levels perhaps. But again BIG downside risks.​
- Inflation trend average around 2% over the next decade
Only if we get ultra spend happy and its procyclical. But its something to watch. If Republicans gain back either house in midterms, their thriftiness will magically come back, so....
​
 
As expected, with market in full reversal I gave back a chunk of my gains. Mostly on the downside positions which I should have taken some profit on the move. Especially since they were a result of storming of the Capitol. Short topsides have really not been challenged as AMZN, NFLX are underperforming their IV. I expect a few more down days as the exuberance seems to have some legs. For my strategy this are the perfect moment to play contrarian as IV are higher and broad market indices are reaching over bought territory. I failed to add some longs to this portfolio, especially in commodities.

Metals, Energy and Financials have continues to outperform, and are reaching breakthrough levels. Market seems oblivious to the raging virus and impending policy challenges of the new administration. The pricing of the vaccine rollout continues to be overly optimistic. But hey with TESLA leaping 5-10% daily who cares right?

Down .86% yesterday.

Sharpe Ratio : 1.8777247086835847
Sortino Ratio : 2.25642644771197
Info Ratio : 62.09%
Beta : -0.180138957434203
Alpha : 0.8773102299680943
R2 : 0.00986620031738672

Portfolio Return Annually Compounded : 80.05%
Benchmark Return Annually Compounded : 43.17%
Portfolio Benchmark: SPY
Risk Free Rate Annual : 0.08%
Calendar Days : 163
Observations: 116
As of : Jan 07 2021
 
Bearish view on Big tech is beginning to pay off. Had a small negative day on Friday(.69%) but up today around 3.43% after the bid drops in FB, AMZN, AAPL and NFLX. Todays gain leave me with a net gain for the year at 4.19%. I learned from my mistake of last week and left orders in FB to buy half of the delta at 258is which I was able to resell at 262 to rebuy again at the close. Will probably keep short AMZN and NFLX top side till expiration. I think this move has legs. I think that a big stimulus plan is bearish for Big Tech, political situation notwithstanding, as the yield curve might steepen some more. Democrats will push a another relief package in the trillions. Will probably look to add to long banks position, commodities and some EM.

Sharpe Ratio : 2.0297821774170908
Sortino Ratio : 2.4753876382206834
Info Ratio : 77.40%
Beta : -0.20188908635602443
Alpha : 0.9678171085566576
R2 : 0.012159285295467392

Portfolio Return Annually Compounded : 88.48%
Benchmark Return Annually Compounded : 41.61%
Portfolio Benchmark: SPY
Risk Free Rate Annual : 0.08%
Calendar Days : 167
Observations: 118
As of : Jan 11 2021

The technical side, feels supportive of further weakness in Tech(AMZN,FB,GooGL and AAPL).

upload_2021-1-11_18-1-18.png


AMZN at important level. A breach here could easily mean we see 2900.

upload_2021-1-11_18-2-53.png


Similar to AMZN, FB at a key level with the next support perhaps around 248.

Finally something just interesting to see. X US steel.

upload_2021-1-11_18-7-31.png


We have finally broker the down trend that was prevalent since 2018. I do not know much about this company but this stock as well as others in mining are getting out of the dumpsters they were before covid hit.
 
An OK closing 1.08 for the day mainly from FB dropping another 2.24%. I think we need another leg lower to trigger final leg of stops to be followed by some consolidation price action. I had half of my position open on FB but still have short top side on the other major ones. Closed remaining FB at EOD at around 251. Banks and commodities continue to rally which I hold in my IRA. I think there is further upside there, especially in oil and mining.

Given political melodrama and uncertainty until transition of power, I feel upside to the broad markets is limited. In terms of Big tech, it reminds me of the music to the TV show "COPS". "Bad Boys, bad Boys, what you're gonna do when they come for you...."
 
Closed all outright shorts, just have some short topside in FB, AMZN and NFLX and small in QQQ. Around 1% up for the last two days in the trading account. The move in oil, metals and banks has been impressive. I was bullish thee sectors but I am surprised at the speed of the move given the rising COVID cases and tepid(to be kind) vaccine rollout. 1.( Trillion spending plan announced and I suspect it will be watered down substantially. Nevertheless, a version of the plan should pass and should be supportive of the market for now. The question in my mind is when the more progressive wing of the dem party start pushing for Trump tax rollbacks. I hope the president realizes that now is not the time to push for higher taxes or tighter regulation. For now I will keep the reflation trades(Banks, commodities), but will lighten on my bearish positions. Even the drop in FB has been unconvincing as we have not had a big move down with large volume.

Up around 5% YTD, but feel I have underperformed my views.

Sharpe Ratio : 2.058118320443996
Sortino Ratio : 2.5119804923362627
Info Ratio : 81.39%
Beta : -0.2046126604013001
Alpha : 0.9789897522588649
R2 : 0.012479706964412696

Portfolio Return Annually Compounded : 89.69%
Benchmark Return Annually Compounded : 40.56%
Portfolio Benchmark: SPY
Risk Free Rate Annual : 0.07%
Calendar Days : 170
Observations: 121
As of : Jan 14 2021
 
Decent day with broad indices closing lower. Trading account closed up 1.36%, mainly from short topside on Big tech names. Surprisingly a good chunk came form jan 29's/128/118 put vertical I am short, despite the drop in the stock of more than 2.5%. The 118 put gained around 3000% as OTM vols surged. Probably should have closed out this position. Continue to believe the downside has more legs, especially if pressure continues to build in the long end of the UST market. I added long Jan 29' Put 318/306 Risk reversal on the QQQ. Clobbered on my IRA on the reversal of Financials and Oil(Mostly on the latter), but those I feel like longer term recovery trades.


Start Date 2020-07-28
Sharpe Ratio : 2.1393858272922412
Sortino Ratio : 2.603698100647586
Info Ratio : 92.82%
Beta : -0.21063626964620605
Alpha : 1.0242678659232707
R2 : 0.013265445909421358

Portfolio Return Annually Compounded : 94.50%
Benchmark Return Annually Compounded : 38.09%
Portfolio Log Return YTD : 6.36%
Portfolio Benchmark: SPY
Risk Free Rate Annual : 0.07%
Calendar Days : 171
Observations: 122
As of : Jan 15 2021
 
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