Tag Archives: fixed income arbitrage

Fixed Income, Global Macro Strategy

Global Macro Trading Theme: Focus on Fixed Income

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MarketsMuse.com 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 Continue reading →

Global Macro Strategy

Global Macro Trading: Why It’s a Timeless Tactic

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MarketsMuse Editors Note: Giving credit when due and in connection with below excerpt, MarketsMuse extends a “shout-out” to UK-based publication CampdenFB, one of several ‘banners’ serving the family office universe and operated under the Campden Wealth media umbrella.

“….With such pitiful returns, is it any wonder why global macro investing has fallen out of favour with many family offices?…”

Indifference to the style should not translate into ignorance of the geopolitical climate and macroeconomic data, warns Steven Drobny, founder of Santa Monica-based Drobny Capital and author of Inside the House of Money.

“Global macro is the hardest strategy to understand in the hedge fund space because of its breadth of instruments, markets, and inherent complexity, but the macro world is the driver of everything,” says Drobny. “You can’t just pick a stock based on fundamentals without understanding how it can be impacted by geopolitical risk, the price of oil, interest rates and other macroeconomic issues.”

For most developed-world family offices, Drobny says if you’re looking to diversify your portfolio, there are not a lot of opportunities within the highly correlated world of fixed income and equities. You need to look at global macro exposure.

“You don’t need to be a ‘macro guy’ trading fixed income arbitrage opportunities or frontier market sovereign bonds – or even put all your money in macro hedge funds. But you do need global macro exposure, as well as an understanding of what implicit macro bets you have in your broader portfolio,” says Drobny. “You need to look forward, not backwards, which means maintaining a strong understanding of how the world may evolve.”

The entirety of the article can be found by clicking this link