Global Macro Trading Journal

Discussion in 'Journals' started by Daal, Feb 25, 2011.

  1. Daal

    Daal

    Wasnt them who were able to issue USD bonds for the first time ever? Or something like that
    In bonds, specially during periods of great optimism, I actually like the idea of being a skeptic/short. Bonds offer a lot less upside and the data indicates that a lot of them have negative real returns. So long stock ETFs/convexity stocks with some shorts in high risk countries bonds, might actually make a great deal of sense in case there is a risk off period.
     
    #7231     May 9, 2017
  2. Daal

    Daal

    This convexity stuff started to become more clear to me when I read this note from Taleb and that helped me to get convexity to much deeper level

    "Take for example the binomial distribution with B[N, p] probability of success (avoidance of failure), with N=50. When p moves from 96% to 99% the probability quadruples. So small imprecision around the probability of success (error in its computation, uncertainty about how we computed the probability) leads to enormous ranges in the total result. This shows that there is no such thing as "measurable risk" in the tails, no matter what model we use.

    Case 2: More scary. Take a Gaussian, with the probability of exceeding a certain number, that is, . 1- Cumulative density function.. Assume mean = 0, STD= 1. Change the STD from 1 to 1.1 (underestimation of 10% of the variance). For the famed "six sigmas", the area in the tails explodes by 2400%. For the areas above 10 sigmas (common in economics), the area explodes by trillions."

    If the tails are unmesurable (both in terms of % chance and consequences of the tail) and in convexity stocks/bets the tails dominate total returns (heck, that tends to be true even in the indexes, to some extent), it quickly becomes clear that the short sellers, who claim to know the % chance and the size of the tail payoffs, are just delusional. They are being driven more by a mental tick that they have (the contrarian bug) rather than any real analysis. So I started to lean the other way, to try to collect in that ignorance.

    If there are so many market participants who seem to be unaware of all of this, and even worse, bet the other way (creating the possibility of short squeezes, etc), it becomes likely that there is some kind of premia to be extracted by betting on these convexity bets. Especially if those bets are being made in periods where that convexity bet is unpopular, then that underapreciation/unawareness factor is being played out even more so the premia might be larger
     
    #7232     May 9, 2017
  3. Daal

    Daal

  4. Daal

    Daal

    #7234     May 11, 2017
  5. Daal

    Daal

    I was wrong on NYRT. I thought it could perhaps get liquidated at $11-$13. The CEO came out and said $9.25 was most likely. But she will be out of a job in 1 year (its a liquidation) and has an incentive to lowball a bit in order to get another job after it (she doesnt want to look bad). So, most likely it will liquidate at $9.5-$9.80, maybe $10 with some luck. I paid $9.66 so I wont be much to write home about but I wont be selling as she seems competent enough to get it done without much problem.
     
    #7235     May 11, 2017
  6. Daal

    Daal

  7. Daal

    Daal

    About that US fiscal crisis risk, I plan to dig-up on the US "10-k" soon
    http://usafacts.org/
    This was a project by Steve Ballmer to create a 10-K for the US
     
    #7237     May 12, 2017
  8. Daal

    Daal

    Friendly alert to update Windows to prevent any issues from this global hacking outbreak. One security flaw can lead to a loss bigger than several good trades
     
    #7238     May 12, 2017
  9. Daal

    Daal

  10. Daal

    Daal

    According to the WSJ, AMZN IPO has been a 500 bagger so far to investors. That's the kind of margin of error skeptics have in convexity plays, none. They got to be right almost every single time and longs can be wrong almost all the time!
     
    #7240     May 16, 2017