We like to build a foundation of top-down macro themes over longer time frames and then optimize specific risk management strategies to fit the nature of the themes more actively.
Venezuelan sovereign credit default swaps have priced-in imminent default.
Global Macro Backdrop: Absolutely remarkable and historically unprecedented Developed market equity indexes are scorching higher across the board. New all-time highs or multi-decade highs are being reached nearly every day in the US, Japan, Germany, and elsewhere. Bond yields are constrained across the duration and risk spectrum near multi-decade lows. European sovereign 2-year notes in periphery nations such as Italy, Portugal, and Spain are negative and continuing to hit new lows. Bond spreads between Germany and the periphery are generally narrowing to new lows, pricing in similar levels of risk between EU nation states. European high yield bonds are trading below 2%. Equity, bond, and currency market volatility are all at or near historic lows. This is the least volatile […]
USD is acting more like an injured EM commodity currency with political risk typically witnesses in developing countries, not a safe haven.