You want some duration? Try this on…
The CTA community has likely sold in excess of $100bn 10-yr Treasury equivalents in the last 5 days – and that number is only going to grow.
Here’s how dependent stocks are on more Fed rate cuts
As August comes to a close, one can’t help but wonder just how dependent risk assets have become on everything from tweets to rebalancing. The biggest form of life-support comes from the Fed: equities are in a world of total dependency.
Front-End Treasuries are in Serious Trouble… and nobody really knows what to do
What’s lost in the kerfuffle over signals that may or may not be sent by shape of the Treasury curve is the fact that the front-end is now doing precisely what Fed officials feared the most – and what they are least equipped to handle.
The Correlation Conundrum
This isn’t intended as a rant against the practice of diversification – nothing could be further from the truth. But, like all popular investment tools, there’s a mythology that’s been created around modern portfolio theory to suggest a panacea to cure all ills. It’s peddled as a fairy tale that ends with investor & portfolio happily ever after – together on a horse, riding off into the sunset. My argument is that the benefits of diversification depend on having appropriately calibrated priors. And when those priors are dramatically altered, it’s time to reassess – not double-down.
Updated: An Unhealthy Obsession
The Fed now spends over 1/3 of its time talking about financial markets in the minutes. That’s more than trade, monetary policy & employment combined. This unhealthy obsession is a distraction – and it’s guiding the market in a dangerous direction.
Currency Krav Maga
There’s been a lot of discussion recently about $ strength preventing risk assets from making new highs. I don’t dispute the fact – it’s pretty obvious that we’re losing badly in the battle for competitive devaluation that global central banks have embarked upon. But it’s even worse than the headlines might suggest: where the real damage is being done is in FX forward markets. In some cases, 12mth $ funding has more than doubled in the last two months alone. #China #Europe #Canada, etc.