You reach 4 screens easily. I had one screen for bloomberg, a second one for technical indicators, and two other ones to look at market action bid/ask (US & European fixed income and equity, currencies).
I have 1 screen for AF, 1 for FB, 1 For netflix and 1 for news, so 4 atleast
^ NTV for news?
what a boss
^ last time I was in the office late (aka past 8 pm) and by myself, I put netflix up on my 2nd screen and did work on my laptop. It felt kind of awkward when the nudity came up in the movie I was watching and the cleaning serfs were wandering around emptying the trash. nbd.
Have fees decreased? Most large macro shops stll charge 2 and 20. Some are higher than that again.
AUM in the sector has risen enormously over the past 20 years. Back in the 80s there were probably only a handful of really smart operators out there writing code to take advantage of market inefficiencies. Now there must be thousands of super smart and well resourced phds fine tuning their black bloxes to gain a slight edge on each other. I don’t see how that cannot impact returns.
And if it hasn’t, what other reason is there for returns being so bad in recent years? Global macro has produced something like Libor+5% over the last 5 years. That is awful compared to equities and is bad compared to bonds, real estate also. Basically everything but cash.
Do you have an example of this black box tuning that impacts returns? Maybe I am just not knowledgeable about macro strategies.
On a basic level, let’s say Funds A, B and C are all long gold. How does this reduce any of their returns? If this is not a good example, then what is a better example?
If the funds all run some kind of arbitrage, or if they all exploit fundamental mispricing as opposed to taking directional bets, then I can understand how returns would decrease. However, how much of the global macro market is this? Again, are there any examples to help me understand this?
Perhaps one reason why global macro has underperformed equities is that certain asset trends have changed and reversed as the world economy has changed. Or is there any evidence that global macro has significantly outperformed risk free rate on average in the past?
It’s impressive what CSK has accomplished so far. Successful employee and father, MBA from Columbia, passed the CFA exams in a breeze and is reknown as a world class volleyball player.
Not bad for a 5’3" dude.
A lot of macro ends up being trend following, so a lot of the systematic macro tends to be black box stuff executed via futures. Also, some of the commodities assets - while not completely illiquid - are sensitive enough to cause trouble when there is the least bit of crowding.
WSJ mentioned yesterday that HFR global macro HF indexes were down three years in a row, while the S&P just raced up and up. So this raises the question of whether there is alpha at all in this environment, competition or not. Even if there is some alpha, everyone is either in similar trades so people tend to panic in correlated ways. There’s more noise and less signal which makes alpha noisier and harder to grab.
We have a managed futures program that hasn’t been doing very well, but that’s because it’s primarily a trend follower, and trend following has been crushed in this environment, unless you just do it to US equity indexes. But without diversified assets, what’s the point in investing in a fund like that rather than the S&P 500
Indeed, Indeed
I work in asset management and can’t speak with any expertise on the strategy of specific macro managers. However, it does seem that their trading models tend to be highly complex and do rely to a significant extent on expolit mispricing and finding arbitrage opportunities.
Villnius apparently does work at a global macro HF, but I can understand if he/she is reluctant to discuss. There are only so many large macro shops and they seem to take their confidentiality very seriously.
^ This. Thanks for understanding. There is a lot I would like to comment on but this basically sums it up.
What I can say is you can’t compare returns alone. You have to look at risk adjusted return as well as correlation to other traditional asset classes. A high risk adjusted return with near zero correlation to both bonds and equities is VERY attractive to some investors.
Ok. Thanks for the response.
I agree with your last sentence for sure. If macro funds really are low beta then they will prove their worth in the next market crisis. We’ve had it so good for the last five years that people (myself included) are starting to forget how crazy things got for 6 months from Sep 08 to Mar 09. That’s when zero beta funds are worth their weight in gold.
The way I interpret this is that hedge funds can distort the market and cause assets to trade away from fundamental value or value that would otherwise be predicted by macro factors. If do, then yes, this could be true and I agree. However, is this really considered “increased competition”? Or do you mean something else?
villinius - yes, everyone respects that you cannot discuss your own positions. However, surely, this does not prevent you from discussing broadly popular strategies that are known to be used in the macro universe.
just upgraded to three myself and its been a game changer. Im in sales so I don’t need to be as acutely attuned to the market as our dealers are but its just much more efficient from an organizational perspective and if im on the phone with someone and they want a quick rate or to see a particular structure it’s just a matter of hitting the right tab.
5 monitors for me:1 for email, 1 live quotes, 1 to watch our own positions/orders, and 2 others for everything else.