Hedge Analytics: research, trade and hedging strategies across asset classes to optimise investment returns.
Hedge Analytics: founded by a macro portfolio manager with decades of success in major hedge funds and global investment banks. Let experience be your guide.
Email us at: enquiries@hedge-analytics.com
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Follow Me: Trousers, the Chinese renminbi and Treasury prices
Interest Rates,News Items,Currency,Posts,Quant
June 16, 2023
My wife wanted to watch ‘British Sewing Bee’ - a niche interest. Unusually, I wasn’t interested in hints on making trousers with the most efficient use of fabric, so instead decided to mess about with hedging strategies for major assets. In my sartorially-encouraged, though idle, experiments, I discovered that from 2015 till 2021 a portfolio for minimising tracking error of a Treasuries portfolio required large exposures to CNY and JPY, plus a bit of gold. I haven’t asked my wife, but I suspect…
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Framework: pairs trading research
June 13, 2023
Want a peek at what we've been up to on the quantamental side? Based on our 'fair value' model we have started experimenting with 'pairs trading'. On a small portfolio this is a potted summary of longs vs. shorts since the beginning of the year. As our studies evolve, perhaps we'll share more - or just keep it to ourselves. If you are interested drop a line.
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A Masked Ball: Mexican peso, VIX and ‘friend-shoring’
Economic snapshot,Liquidity,News Items
June 13, 2023
Carl Jung: “a kind of mask, designed on the one hand to make a definite impression upon others, and, on the other, to conceal…” In psychology, as the quote above suggests, masking is the process of hiding reality to avoid psychic harm. Masking may be intentional but is often unintentional. Usually, the term applies to an individual’s response to trauma, or difficulty in processing social pressures. Is the S&P500 exhibiting similar traits? Here are a couple of thoughts.…
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