Global Macro Trading Journal

I'm thinking more from the perspective of myself and other traders that want to park some cash they are not using to actively trade. You have the choice of putting in some hedge fund charging 2/20 or in a diversified mix of assets, it seems that its quite likely the latter is better

 

Trichet said "Monitor very closely"
This means he is not supposed to hike next meeting
http://blogs.wsj.com/economics/2011/04/06/when-will-ecb-raise-rates-next-heres-code-to-watch/

 

Yes, that means next hike in June or July, which is pretty much what was expected.

 

WTI crude over $109. Aussie prints over $1.05. Bernanke working harder than Daal to come up with rationalizations for holding rates at zero. Greenback renamed peso.

 

It seems to me that post crisis CBs tend to be cautious when implementing the exit strategy(Due fears of 1937). Greenspan in his book talked about asking the FOMC in 94 to make the first hike only .25 to not scare the markets. To it seems to me that the downside of being long Fed futures seem quite low

 

I must have missed the fact that oil fields existed on Liberty Street

 

Here is a book that compiles some interesting data:

http://www.amazon.com/Quest-Alpha-G...=sr_1_1?s=books&ie=UTF8&qid=1302181142&sr=1-1

He sites numerous studies that indicate:

-Retail investors perform much worse than the funds they invest in do to bad timing, and this is a constant throughout time.

-Lots of info on what useless, overpriced investments mutual funds are.

-Hedge fund in sum total deliver no "alpha" but lots of fee drag.

-Hedge fund investors time their investments poorly, just like retail

-More evidence that hedge fund indexes are hopelessly biased

 

Even if the hedge fund returns were great, the large majority of hedge funds are highly unsuitable for parking excess cash due to monthly/quarterly liquidity, lock-up periods, liquidity gates and early redemption fees.

Hypothetically, if there was an equity market (or FF rates, or commodities, or precious metals) correction and you wanted to put money to work it could take you up to a quarter or possibly longer to get your money out. Certainly not ideal for the active trader.

 

So does the upside.

 

downside is 6.5bps(1 hike), upside is almost 30bps(could be more if the EFF of right now is sustainable)
The conservative numbers give a kelly of 15%, the more realistic numbers give a kelly of 77%
What are the chances of 2 hikes within 10 months given extended period language(That is a done deal to be renewed next meeting) and the conservative tendencies CBs are showing?The answer is, very small