Global Macro Trading Theme: Focus on Fixed Income update provides insight for those who are focused on the global macro approach to a topic that many of the world’s leading hedge funds and professional investment managers are fixated on: fixed income. Below thoughts are courtesy of the 27 March a.m. edition of “Sight Beyond Sight”, the  investment newsletter authored by Neil Azous and published by global macro think tank Rareview Macro LLC.

Neil Azous, Rareview Macro
Neil Azous, Rareview Macro

A few weeks ago we stated that fixed income will provide a greater opportunity to generate positive P&L this year and that we would look to increase our time spent on this asset class. In “fund speak” fixed income would be given a larger portion of the risk budget. In that spirit, we are adding two new strategies to the model portfolio today. Unlike the strategies we’ve outlined over the last few weeks, this is more volatility arbitrage than relative value trading. Specifically, we looked at two Different strategies .The first strategy focuses on 6-month options on Eurodollar futures contracts (symbols: EDU5, EDU8) that are six months and three years from expiration, respectively.

The second strategy focuses on the cross-regional volatility difference between German Bunds and US Treasuries (symbols: RXM5, TYM5). Both strategies were executed earlier this morning in the model portfolio. The updates were sent in real-time via Twitter (@rareviewmacro).

Trade #1: Eurodollar Calendar Ratio Spread

Trade #2: Bund-UST Volatility Arbitrage

MarketsMuse Editor’s Note: “Sight Beyond Sight” is one of the global macro trading world’s preeminent resources and distills macroeconomic, fundamental and technical analysis impacting financial markets in a manner that provides carefully-curated and actionable ideas, taking into account both risk thresholds and Alpha capture objectives. Unlike the vast majority of investment commentary and professional newsletter providers, “Sight Beyond Sight” strategies are documented in detail via a $300mil ‘model portfolio’ whose daily performance is easily monitored by subscribers. To read the entirety of the a.m. edition of Rareview Macro’s “Sight Beyond Sight”, please visit Rareview Macro’s site via this link