Tuesday, June 5, 2012

A few updates on an empty blog

So the last time I wrote anything here was on Feb 10th 2012.
One hundred and fifteen days ago. Almost 4 months.

As most of you don't know (and unfortunately I won't be able to explain either...), there has been many changes to the writer's life.
From 'FX + Sov Credit + Fixed Income' the focus has narrowed remarkably. I've been adapting to this new reality and getting to learn the dynamic about the new niche I am inserted in. But I will try to post more often, perhaps once every 2 weeks.

Not so sure if I should go ahead with the trading calls, Twitter time-stamped trades (with entry/exit point @ mkt prices / position sizing), portfolio construction thoughts, etc.

But I honestly think that writing down my ideas in public helps me think clearly. It forces me to not bullshit, it forces me to think thoroughly. Downsides, upsides, mechanics of each trade and its relationship with the rest of the portfolio, carry, roll-downs, asymmetries, etc.

There is some career risk involved, sure. It sucks when you're losing money and have to sit down with a client to explain "that I lost money because I was wrong for 1, 2 or 3 years or because I simply am not good at managing your money. Sorry." It happens much more often than the hedge fund industry lets out to their investors. And that is where I see opportunity. Doing my hundreds-of-pages of reading every week, sourcing from a variety of skin-in-the-game names instead of reading a gazillion of sell-side notes that have no commitment to being right or stop-loss. Skimming through loads of economic activity and market-price data (Chart Builder.xlsm r0x!). Reading many books, etc. Following some interesting twitter feeds too.

But it takes time to a) study and follow the corresponding markets and b) to think about risk-reward scenarios and c) see how these build into a portfolio of multi-asset classes. I haven't had this time lately as my focus has been much narrower. That means the time I used to put into writing isn't translated into useful positions that I can invest in. I can't simply open up a macro position in Argy CDSs anymore. Now the research time is differently used.

So, as I haven't devoted any attention to the blog in months I wasn't able to transmit my investing stance or time-stamped trades.
Basically the performance of my portfolio, as I have shown to you guys through posts and tweets has likely suffered tremendously. I don't even have the PnL on what was posted since September to update these pages.

I know that since the last update XAUXAG is up, USDCNY option volatility have hit years' lows, JPY swaption payers have gone to dust, there has been tremendous volatility and bad performance in the short IBOV + short USDBRL call, huge run-up (and back down) to the SPX,and CLU2CLH3 has had huge volatility. In case I had time-stamped it all I think that at least volatility would have been reduced, with an improved sharpe for the TTC's fund, but... anyway. Not to mention the not rolling of German CDS longs into 10year tenors (mentioned here at the end of the post... which are now back within just a few bps of last year's highs...)

Ex-post I may argue that I would have changed a few things in the portfolio, but in investing "if I have done that" is like a lottery ticket with a winning number that we never bought. It is useless.

I will update the performance of the portfolio soon and think if I should explain what I would have done differently and why. Even though the reasoning is 'ex-post' I think you ladies deserve an explanation.

Here is the last trade, time-stamped, not yet explained. It added some good return, but the path wasn't like Liv Tyler (my muse when I was a teen!). Entry was on Feb 17th. Shorting 200% of NAV @ +0.55 backwardation in Sep12 WTI crude oil x March 13 WTI crude oil.

Here is a link for the performance until the end of September which I believe was the high of the portfolio.


Again, thanks for visiting.

*Disclaimer: charts and data are presented as I receive/see them. Sources are usually not checked for validation and my own calculations are of 'back of the envelope'-type. I am aware that some math that I do myself might be wrong and/or misleading to some extent. In financial markets the rate of change of economic data is often more important than the actual level and the perception of 'what is priced in' is more important than 'what is actually going to happen'. This is actually the way people pick entry and exit points. So... yes, sometimes you might say 'This guy is an idiot, this is way wrong!' with a high conviction, being right. Not to worry. Markets are made of expectations and the clash of conviction between its participants. Portfolio managers know that being an idiot is sometimes profitable and being smart is often a bad choice. It is all reality, sometimes good, sometimes bad. By the way: corrections to my analysis and intelligent debate is welcome. theintriguedtrader AT gmail do com

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