Hugh Hendry - Eclectica Fund Aug 2011 +1.5% MoM

So Mr. Hendry's latest report on his Eclectica Fund is out and not a lot of fundamentals, the part that I am mostly interested in,  were discussed. Just performance attribution, risk allocation, etc.

Hendry is now up 9.9% YTD.

Unfortunately I didn't find anything about his Credit fund which the FT said is over 30%+ this year betting against China.

Click for readable size.

*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

Hugh Hendry - Eclectica Fund July 2011 +4.6% MoM

I like the guy, you know. So I am happy his views are paying off.
Mr. Hendry's letter is out. His fund is +4.6% in July, total YTD > +8.0%.

I wish he would add a bit more of his macro views in his letter.
I liked the idea of the Danish CDS, but the German CDS, in my opinion, has about the same effect.
Danish CDS is already @ 100/108bp, as of 2pm Rio-time.
So @ 21bps... it seems he got that one quite right too. It's likely he nailed it around the lows when opening the positions.

*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

Hugh Hendry - Eclectica Fund May 2011

And today we got our hands on Hugh Hendry's Eclectica Fund May 2011 letter.
Again, short and straight to the point.
I guess he hasn't changed his broad view of "DM can't afford hiking rates", but this time market prices corroborated and his fund did well for the month: +4.6%, +3.0% for the year.

Mr. Hendry mentioned his liking for such macro idea before and now, expressed through options in USD, GBP and EUR rates, profitted from it.
We have, before, mentioned that we agreed with Mr. Hendry and talked about getting out of receivers/flatteners in Short Sterling and Euribor as the front-end futures of the spread (Jun11 - Dec12) were expiring in 2-3 weeks (here).

He goes one step further saying he added to some of these positions and is betting on longer durations.
The roll-down is very large and there's room for more profits. And static curves bring in results and steepening (in prices is my understanding) bring in even more profits.

*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

Hugh Hendry - Eclectica Fund April 2011

** THE SCRIBD ACCOUNT WHERE THE PDF WAS STORED WAS REMOVED **
** If interested in obtaining the file let me know through e-mail.

A great surprise today after the ISM Manufacturing number (lowest since Sept 2009): Hugh Hendry's new fund letter.

As usual it is a short letter but brought this gem:

Accepting absurdity?

I was reading something recently bout the Nobel Prize winner Richard Feynman that made me think that money management was perhaps similar to physics in that you advance by accepting absurdities. The history of physics, he claimed, is one of unbelievable ideas proving to be true. "Our imagination is stretched to the utmost not, as in fiction, to imagine things which are not really there, but just to comprehend those which are".

Eclectica Fund 2011 04

*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

Krugman: Inflation Notes

Earlier this year I shared the view with Hugh Hendry that the UK was (is) going through a soft-patch and that, the headline and core inflation numbers are somewhat distorted and would likely come down as some time passed, with austerity kicking in, global deceleration in growth and the base effect of tax hikes and energy price shock.
All in all, the UK is still on the asset purchase strings and the last 2 quarters brought 0% growth in total.

Krugman brings a short piece by Adam Posen of the BoE:

The UK’s economic performance over the past year is no surprise. When you tighten fiscal policy significantly after a major financial crisis, both history and mainstream economics would tell you to expect what we have now : no growth in broad money or credit, persistently high interest spreads for small businesses and households, flat or contracting private consumption and retail sales, a dearth of construction and declining real wages – all only partially offset by some expansion in exports. In such a situation, you should expect little domestically generated inflation, and that is also just what the UK has.
The recent consumer price inflation rates above 4 per cent result from this year’s value added tax increase and the recent energy price shock. Removing those factors, UK inflation has averaged 1.5 per cent over the past year – including any remaining effects of sterling’s past decline. Of course, higher taxes and energy prices shrink British real incomes, but the monetary policy committee was right not to respond to them, and should not do so now.

 

The trade I had in mind at the time was receiving a 3m18m flattener through Short Sterling futures-spread, the L-M1L-Z2 @ 1.54% on March 2nd. (On the same day a Euribor flattener receiver, @ 1.16% (ERM1ERZ2)).
It seems likely there isn't a lot of juice left in them with the front-futures expiring in 3-4 weeks.

I'm waiting for Eclectica's April letter to see Hendry's comments on Japan and this Short Sterling receiver. It should be very interesting

*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