when a series is "led" it is pushed forward by 12mos (or some other duration) to show is properties as a leading indicator and guide for future direction of the other series.
Hi Mr Blonde - thanks for the consistently great content since you first started posting. I was curious as to how you calculate your US LTM Earnings Growth Leading Indicator? Do you use specific BBG tickers? And is there a specific ticker for the “actual” values, or is that an aggregate that you put together yourself? Thanks!
the indicator is something specified and calculated by me...no bberg tickers for proprietary work. The actual values are also calculated by me but represent y/y change in latest twelve month EPS....bberg ticker SPEDACTL Index should get you pretty close to my version.
Many thanks for the trade ideas. So are you buying the AAPL put to profit from MTM or selling it to buy a decent asset at a lower price while booking the premium? Apologies if this is obvious.
yes, i have viewed long end as more attractive since early April. this opinion shift is predicated on the view that market narrative will shift "from fed hikes to growth cuts" and the consequence/cost of rapid FCI tightening is a growth shock. i also see us passing peak momentum in inflation. so far within fixed income this view has played out primarily through yield curve flattening rather than any meaningful fall in long end yields.
while many are quick to highlight this as a bad call, i would note that shorting duration has been a far more difficult trade since April (i.e. sharp ratio of short duration position has fallen substantially). bottom line, i think adding bonds to a multi asset portfolio with 10yr yield >3% offers decent risk/reward with 3-6mo time horizon.
i'm not sure i have good, convicted advice on how to play profit slowdown via FX pairs...i think too many other factors in that space and therefore carries pretty high basis risk to be confident.
August is a great time to take off and refresh. Glad to see you back publishing. Thanks for taking the time to write and publish.
The price action in July and August seems premature to me. Rule #1 for a Fed chair is not to let inflation run rampant on his/her watch. It may be too simplistic, but human beings (including myself) aren't great at predicting the future... this inflationary environment, in part, is due to fiscal and monetary policy being too loose, with course correction coming too late... considering the use of CPI/PCE, lagging indicators, it seems like the course correction (flip to easy policy) will be too late as well, in other words more pain is more likely than not.
thank you for reading and the feedback. data driven, data supported analysis is the only way. in the end judgement is a big part of what we do in markets...higher odds of being right when there is tangible data to support a viewpoint. still could be wrong...but odds tilted in your favor.
Sorry for the dumb question, but what do you mean by "led" on your charts? When one indicator is led 12mos and the other is not, what does that mean?
when a series is "led" it is pushed forward by 12mos (or some other duration) to show is properties as a leading indicator and guide for future direction of the other series.
thank you for share！
I'm curious how a retail investor (w/options/futures access) might implement the long low beta trade?
good news…for retail investor there is an ETF that tracks the DJ anti-beta style factor pair. ticker = BTAL
A great commentary. Would love to hear your views on the bond market prospects !
Hi Mr Blonde - thanks for the consistently great content since you first started posting. I was curious as to how you calculate your US LTM Earnings Growth Leading Indicator? Do you use specific BBG tickers? And is there a specific ticker for the “actual” values, or is that an aggregate that you put together yourself? Thanks!
thanks much for the feedback matt.
the indicator is something specified and calculated by me...no bberg tickers for proprietary work. The actual values are also calculated by me but represent y/y change in latest twelve month EPS....bberg ticker SPEDACTL Index should get you pretty close to my version.
Just one more related question if you don’t mind pls: is there a good ticker for forecasted EPS 12mo ago?
Was just looking at your SPX 12mo surprise ratio = actual EPS (SPEDACTL Index?) vs. this market forecasted EPS that you posted on Twitter.
Ah I see I ticker a ticker that provides a forward earnings yield: .500ESTYL G Index
Quick response, love it! Thanks for that - will have a play with that ticker and take a look. Keep up the great posts.
Many thanks for the trade ideas. So are you buying the AAPL put to profit from MTM or selling it to buy a decent asset at a lower price while booking the premium? Apologies if this is obvious.
i buy puts when i think an asset will fall in price and want to profit from that move.
Many thanks
I’ve been meaning to ask, how are you looking at bonds at this time? I think you were accumulating earlier this year at the long end?
Also, any thoughts on potential upcoming profit slowdowns and playing this via fx pairs?
Thanks 🙏
yes, i have viewed long end as more attractive since early April. this opinion shift is predicated on the view that market narrative will shift "from fed hikes to growth cuts" and the consequence/cost of rapid FCI tightening is a growth shock. i also see us passing peak momentum in inflation. so far within fixed income this view has played out primarily through yield curve flattening rather than any meaningful fall in long end yields.
while many are quick to highlight this as a bad call, i would note that shorting duration has been a far more difficult trade since April (i.e. sharp ratio of short duration position has fallen substantially). bottom line, i think adding bonds to a multi asset portfolio with 10yr yield >3% offers decent risk/reward with 3-6mo time horizon.
i'm not sure i have good, convicted advice on how to play profit slowdown via FX pairs...i think too many other factors in that space and therefore carries pretty high basis risk to be confident.
Thanks Mr B, very much appreciate you taking the time to respond.
Great to listen to you on the recent Prometheus podcast, particularly how you think about structuring trades.
All the very best.
You´re a must read, Mr. Blonde. Thanks for sharing.
August is a great time to take off and refresh. Glad to see you back publishing. Thanks for taking the time to write and publish.
The price action in July and August seems premature to me. Rule #1 for a Fed chair is not to let inflation run rampant on his/her watch. It may be too simplistic, but human beings (including myself) aren't great at predicting the future... this inflationary environment, in part, is due to fiscal and monetary policy being too loose, with course correction coming too late... considering the use of CPI/PCE, lagging indicators, it seems like the course correction (flip to easy policy) will be too late as well, in other words more pain is more likely than not.
Thank you for sharing your thoughts, which are highly appreciated.
Great perspective as always. Thanks Mr B.
Awesome to have found such a sound perspective. Thank you!
I like the way you offer evidence based correlations to support your perspective.
thank you for reading and the feedback. data driven, data supported analysis is the only way. in the end judgement is a big part of what we do in markets...higher odds of being right when there is tangible data to support a viewpoint. still could be wrong...but odds tilted in your favor.
Thank You!
Blondes are decisive! Thanks for the rational review.
Great to have you back. Very insightful comments, as always