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Global Macro Trading Journal
- Thread starter Daal
- Start date
Quote from Daal:
I'm not sure about having 25% of assets in precious metals, IIRC their expected long-term real return is 0%. For the next 10 years, yes, but that is more like a macro bet. For the long-run I'd rather own assets that have some kind of premia
Just to make clear, I'm talking as a permanent part of a portfolio allocation.
Let me ask, why would you rather own assets that have some kind of premia? If including some assets with zero real return could improve risk-adjusted returns, wouldn't you rather do that instead? Having some assets with negative correlation to the rest of your portfolio can improve portfolio risk-adjusted return even if those assets have lower returns, due to the drawdown smoothing and rebalancing benefits. What matters is not so much their internal real returns, but their effect on portfolio risk-adjusted return.
Looking only at the risk premium of an asset is a common mistake when considering portfolio construction.
Sounds pretty good... Normally this is quite expensive to do. Not sure about the VIX.Quote from ralph00:
Options gurus, please discuss ...
http://ftalphaville.ft.com/blog/2011/04/08/541101/the-bernanke-1x2-call-spread/
Quote from Ghost of Cutten:
Just to make clear, I'm talking as a permanent part of a portfolio allocation.
Let me ask, why would you rather own assets that have some kind of premia? If including some assets with zero real return could improve risk-adjusted returns, wouldn't you rather do that instead? Having some assets with negative correlation to the rest of your portfolio can improve portfolio risk-adjusted return even if those assets have lower returns, due to the drawdown smoothing and rebalancing benefits. What matters is not so much their internal real returns, but their effect on portfolio risk-adjusted return.
Looking only at the risk premium of an asset is a common mistake when considering portfolio construction.
What I care about is one thing, which portfolio would generate more money over the last 200 years, the one with precious metals or a 50/50 stock-bond mix. Are you saying yours outperform on a absolute basis?I'm understand the lower volatility and risk adjusted stuff but my risk preferences call for a higher return even if its more 'lumpy'. The re-balancing effect might generate some expectation for that portfolio but I'm not sure it will beat the portfolio without it, though I'm open to seeing the numbers
10y BE rate now touching (or even breaking through) the 2008 commodity peak level:
http://www.bloomberg.com/apps/quote?ticker=USGGBE10:IND
If the Fed was concerned that inflation expectations up until recently were too low then they can tap themselves on the shoulder.
http://www.bloomberg.com/apps/quote?ticker=USGGBE10:IND
If the Fed was concerned that inflation expectations up until recently were too low then they can tap themselves on the shoulder.
Quote from TD80:
Japan has a massive 7.0+ aftershock and the Nikkei goes up almost 2%?
The Nikkei could be played directly but the better option is to buy a good basket and let this baby ride.
I was short EWJ from 10.50s but look at the divergence between it and Nikkei. That shit confuses me.
Quote from ralph00:
Options gurus, please discuss ...
http://ftalphaville.ft.com/blog/201...x2-call-spread/
.
IMO, ratio backspreads are only suitable in a massive move situation and still they'll underperform the straight long option position. The article is valid as a hedge for a long equity portfolio but if you want to profit from VIX spikes, then get better at identifying down moves and buy the vanilla call.
Quote from Daal:
What I care about is one thing, which portfolio would generate more money over the last 200 years, the one with precious metals or a 50/50 stock-bond mix. Are you saying yours outperform on a absolute basis?I'm understand the lower volatility and risk adjusted stuff but my risk preferences call for a higher return even if its more 'lumpy'. The re-balancing effect might generate some expectation for that portfolio but I'm not sure it will beat the portfolio without it, though I'm open to seeing the numbers
It's not intended as a risk-neutral return-maximising portfolio, it's intended to earn the best return within the constraint of low drawdowns.
Generally, high return portfolios are higher risk. Thus not suitable places for a trader, who already has considerable portfolio volatility, to 'park cash'. I park cash in things that aren't going to end the year down 10%+. I am willing to earn 6-7% safely with my account cash balances, rather than take the risk of a 30%+ loss in a given year, in order to juice my returns by 1-2% per annum more.
I chase the risk and returns with my speculative trading, the last thing I want is more of it - for only a slightly higher return - in my defensive portion of the portfolio.
As for the numbers, I have them in a spreadsheet somewhere and will dig out later. Just bear in mind that pre-Nixon, gold was fixed so it doesn't really make sense to look at the results before that. I have stats for 4 G7 countries since the early 70s, will post them up later.
It is fairly one-sided, and the best part is, we're likely at the beginning of this not the end, as just about any trader/investor/gambler I talk to looks at me like I'm out of my mind talking bullish on Japanese stocks and currency...
Every once in a while there is just money sitting in a giant pile on the street and all the steamrollers are simply out of gas.
Every once in a while there is just money sitting in a giant pile on the street and all the steamrollers are simply out of gas.
Quote from Kassz007:
I've been long EUR/JPY all week and have made some very nice gains. The earthquake yesterday shook me out of half of my position however, given the Yen strength we saw after the first disaster. We've recovered nicely though. This trend is relentless right now.
Yes certainly it does not track the N225 very well. If we're talking about a long position, it is probably better to go directly into either the futures or stock market directly versus this ETF.
If you're still short or thinking of shorting I'd be interested to hear what your reasoning may be. I always like to hear what people are thinking on the other side of the fence.
If you're still short or thinking of shorting I'd be interested to hear what your reasoning may be. I always like to hear what people are thinking on the other side of the fence.
Quote from jj90:
I was short EWJ from 10.50s but look at the divergence between it and Nikkei. That shit confuses me.
Quote from Ghost of Cutten:
Generally, high return portfolios are higher risk. Thus not suitable places for a trader, who already has considerable portfolio volatility, to 'park cash'.
This fellow
http://falkenblog.blogspot.com/
has done some interesting research that suggests the risk/return tradeoff that has been preached by Finance academics for so long is big damn hoax. I bought his book and read his papers and found it to be convincing.
As a generality, higher risk investments as a class in fact have lower returns (beyond a low threshold). For example high beta stocks have lower returns than moderate or low beta stocks. If you construct a portfolio of "low risk" stocks over the long term you are better off in all ways, not just risk but also return.
Save the high risk stocks for strategic speculation, not investment, as over the long term as a class they do quite poorly.