Global Macro Trading Journal

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

  1. srinir

    srinir

    No, I was going by white paper published by his firm (link above).
     
    #7981     Sep 6, 2018
  2. srinir

    srinir

    #7982     Sep 6, 2018
  3. Daal

    Daal

    Yes. I learned about it from that book. Tony says Dalio gave him that allocation after he insisted, its like a retail version of the All-Weather stuff. That allocation also is quite similar to the best ones (in terms of risk adjusted returns) from my backtests. I consider that my benchmark, I think its better to compare my results to that rather than the S&P500, since that will induce me to take reckless risks
     
    #7983     Sep 6, 2018
  4. srinir

    srinir

    #7984     Sep 6, 2018
  5. Daal

    Daal

    Tks, he is correct. Dalio loaded in stuff like TLT in his retail all-weather to try to mimic leverage. I dont to a lot of reading on AA these days because I find most articles quite bad. Most use that portfolio analyzer website to backtest things but that only goes back to 1970. This creates a very unfair backtest. But more importantly, I have run extensive backtests going back to 1926 and 1879 and I had a number of lessons that I learned. But the most important one (which guides my portfolio design today) is that what works is to try to build a Taleb 'barbel' style portfolio.

    The reason the Dalio portfolio and my own basic AA (55% 10y bonds, 30% stocks, 15% gold) do great in terms of risk adjusted returns its because it has a drawdown anchor (bonds mixed with gold) and a high risk high return asset (stocks) at an appropriate ratio. So the holy grail and debate should not be (should I add 5% of TIPs? What about EMs? What about the latests corporate bond ETF non-financial BBB+ rated thing from blackrock?) but rather, how much of drawdown anchors do I want to own how much of high risk high return (what I call convexity) do I want to own
    If one thinks about it, the best portfolio on earth (in terms of risk adjusted returns) is 99% extreme safety (say inflation linked bonds of several developed economies) and 1% extreme risk (say, technology startups). Drawdowns will be extremely contained while the chance to gigantic payoff still exists (if one catches the next FB), the result is great risk adjusted returns (high sortinos, MAR, Sharpe, etc). Thinking in terms of drawdown anchors + convexity to me its a lot more useful than obsessing with which ETF is being purchased
     
    #7985     Sep 6, 2018
  6. Daal

    Daal

    I was underweight BRL vs my ideal basket allocation due the uncertainties involving the election (an effective short). I'm likely to close it today because of the stabbing of one of the leading candidates, Bolsonaro. Now I think that he will either win the election or he will die (and other right wingers will get his votes), so its going to be good for markets either way as he seems to be liked a bit by the market (though not as much as the other ones). I added a little EWZ pre-market and I plan to buy BRL futures when the liquidity increases. Lula also had suffered a strong defeat in the Electoral court and has lost an appeal in the Supreme court. Which Brazil you can never be sure of anything but it looks like he is out of the race which clears the way for Bolsonaro to win
     
    #7986     Sep 7, 2018
  7. Daal

    Daal

  8. Daal

    Daal

    I loved this interview with Druck on RealVision
    https://www.realvision.com/stanley-druckenmiller-interview

    He talks about some concepts he didnt mention before:
    -The importance for a money manager to determine whether you are 'hot' (and should press your bets) or if you are cold
    -Conviction trades should be limited to highly liquid markets (like bonds and currencies), especially the ones that trade 24/7. He likes the ability to change your mind and liquidate a position. That is hard to do in equities where if you are a large holder, its very hard to get out
    -Sometimes he scale in trades (using price confirmation to add), sometimes he goes all that once when he has a lot of fundamental conviction
    -He complains about algos and quants changing the market and making it hard to read price action. Being a day trader I can relate but I didnt appreciate that this was affecting even people like him with longer-term time frames

    He also sounds bearish in equities, seems quite worried about the drain of liquidity by central banks. This is something I need to consider with regards to my risk allocations. I was planning to bail out of my VWO position, this just adds to my concerns
     
    #7988     Sep 28, 2018
  9. Daal

    Daal

    upload_2018-10-4_19-32-49.png

    upload_2018-10-4_19-35-47.png
     
    #7989     Oct 4, 2018
  10. Daal

    Daal

    upload_2018-10-5_7-51-17.png

    upload_2018-10-5_7-51-31.png

    upload_2018-10-5_7-51-44.png

    These are 3 very interesting "charts" from a market I made up. Its essentially a random number generator of between -1 and +1 but that is not allowed to go bellow $0 (like most assets). Makes you wonder how many chart 'patterns' are real and how many are just a product of randomness and wishful thinking by the trader
     
    #7990     Oct 5, 2018