Johan Rode

FII total longs crossed 2 lac contract mark in index futures! 📈📢 - FII net positive in index futures after being negative for 10 sessions - Total Longs crossed 2 lac contract mark for 1st time in over 3 years - Biggest Long addition seen in at least 3 years Total FII Long in index futures: 52.1% In previous session in index futures (contracts) Long: +47k Short: -15k Net: +62k #nifty #fiidii #index #futures #derivatives

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The Benchmark Index behaviour with higher Highs and higher Lows in past weeks on the Chart decipts a Curved-up posture implying that Consolidation is apparently over. An Ascending Channel has emerged/formed with a mild Angle of Elevation. The KSE-100 Index closed for the week at 78897 levels posting a gain of 409 points on WOW. The Right Flank or Arm of the Inverted Head and Shoulder is extended in terms of Time and Space and has transformed into new Ascending Channel PPRR creating room for moves to Minor Resistance RR at around 80000 which is Celing of the Channel and Necline QR at 81000. The Immediate Resistance is OO at 79260. The Major Resistance is Ascending Axis DD in proximity of 82000 and Strong Resistance is Horizontal Axis BD at 82500 level. The Ascending Channel PPRR is in Nascent stage and for it to remain intact the Floor PP or the Immediate Support in proximity of 78400 should hold. The Minor Support is Horizontal Axis PK at 77000 level whereas Major Support is Ascending Axis DF in proximity of 74400 level. #technicalanalysis #indexanalysis #indexfunds #forex #market #psx #kes100 #trading #economy

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🥺 CTAs hit by big losses at a time when investors would have expected them to zig 📈 and not zag 📉 In the past I used to own a number of CTAs (AKA Trend Followers AKA Managed Futures Funds): Aspect Capital, Winton, BlueCrest Capital Management, Man Group but sold them all after their average return quite frankly was rather underwhelming (not helped but their hefty fee structures). And their diversification benefits are just not reliable enough, as once again demonstrated during the current selloff. As Bloomberg reports: "Going into July, trend followers were positioned for the year’s big trades to keep gathering momentum: They were plowing into stocks, betting against developed-nation government bonds and counting on the 💴 to keep weakening, according to Societe Generale. Then each of those markets moved sharply in the wrong direction, hitting them with deep losses. By one broad measure of the group, nearly all of this year’s gains were wiped out. 'Everything went wrong at the same time,' said Andrew Beer, founder of Dynamic Beta Investments, whose iMGP DBi Managed Futures Strategy ETF is down some 7% in August, slashing its returns to about 5% this year. 'This is a classic cross-asset reversal,' he said. Most of the funds 'have given back anywhere between half to three quarters of their gains year-to-date within the past few weeks.’ The reversal-of-fortune is underscoring the inherent risks in a strategy that proliferated during the recent bout of market calm — and likely added fuel to recent swings as investors unwound crowded trades. The trend-chasing strategy, which almost by design is exposed to rapid shifts in sentiment, had paid off for months as the US economy powered past the Federal Reserve’s high rates, AI euphoria kept fueling the stock bull run, and the yen was deflated by the Bank of Japan’s loose monetary policy. But it was upended over the past few weeks, when the yen rallied, the BOJ hiked rates and a slowdown in the US job market rekindled recession fears. 💡 The quants who use long-term and mid-term time horizons for their trades have been hardest hit by the recent turn, according to Dynamic’s Beer. Short-term funds, which seek to ride trends over the course of a few days, are down only 2.7% since the end of April compared with a 10.4% to the broader cohort, according to the SocGen index. ⚠️ The cohort has sold $61 billion of global stocks and bought $205 billion of bonds from major developed countries in the past two weeks alone, according to a analysis by Nomura Securities International. Even as the cross-asset turmoil calmed on Tuesday and Wednesday, the recent volatility signals cracks in the Wall Street consensus and creates difficulties for funds trying to seize on clear market trends." (+++Opinions are my own. Not investment advice. Do your own research.+++) #markets #investing #money #wealthmanagement #hedgefunds Tap the bell 🔔 to subscribe to my profile & you'll be notified when I post. 💸

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Peter Cotton wonders why doesn't Modern Portfolio Theory have "almost no impact on portfolio theory" ? (At the opposite of the Option Theory for example) A beginning of answer is Portfolio Management is at the same time a question of : - Financial Analysis of each quoted company you are interested in ; - Microeconomics of the market / Economic sector of these companies ; - Macroeconomics of the economies and monetary zones these companies are involved into ; - following and guessing Central Banks behaviors. After these analysis, you may have guesses the returns and variances needed for the computation of your optimum but at this stage, either you are fool (by randomness ? 😉 ), or you have already understood the question is much more complicated than the current state of the "Modern Portfolio Theory". A reliable portfolio theory must integrate all the preceding points as well as a mathematically fine and efficient modelling framework.

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Hedge Fund record short in FV & TU - analysis of CFTC report from In Touch Capital Markets This is a great weekly report/analysis put together by our US Fixed Income team. If you are a client and haven't seen it before, it's worth looking out for

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🔻 Seems like there’s a major gap between the consensus opinion of the outlook for small-caps and positioning of large speculators (#hedgefunds). Some in consensus consistently call for as much as +75% upside in the Russell 2000 by 2024 EOY, while large speculators are increasing their bearish positioning. We continue to agree with the latter, due to the US Fed’s “higher for longer” approach likely to continue putting downward pressure on broader small-cap fundamentals and thereby doing the same to their share price. Source: Bloomberg #Research #Economy #Markets #Macro #Equities

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Where upside lies: Fund managers still see growth pockets in industrials 🛠️Most capital goods stocks, or industrials, are hovering near their 52-week highs. Still, they witnessed the greatest traction among all sectors in May. MFs flocked to the industrials, investing the most in the sector during the month while FIIs too, funnelled the highest capital into the sector. 🛠️The BSE Capital Goods index currently trades at a price to earnings (P/E) multiple of 58.5 times, significantly above its five-year average P/E of 37.92 times, Bloomberg data showed. In fact, several index constituents are tad shy of hitting fresh 52-week highs. 🛠️As long as order inflow visibility remains strong, there will be sustained earnings delivery and hence relatively strong valuations, said Priyankar Biswas, CFA of BNP Paribas. “Given the multiple sector growth outlook, we may not expect near-term moderation of investor appetite for the space despite the valuations,” he said, adding that considering the visibility of order inflows till FY30, there is still headroom to be constructive on the space. 🛠️“We think the sector valuation may adjust overtime and there may be some time correction,” said Saion Mukherjee of Nomura. Given the strong narrative, he believes a deep correction is unlikely. 🛠️“The sector's rapid re-rating has outpaced earnings upgrades, with valuations soaring,” said Nitin Arora of Axis Mutual Fund. If the earnings growth continues, one might look at increasing exposure to the capital goods sector, he added. 🛠️The only indicators that might prompt a reduction in exposure to this sector would be risks to revenue and earnings growth for the companies within it, highlighted Sorbh Gupta of Bajaj Finserv Asset Management Ltd. 🛠️ Deepak Shenoy of Capitalmind finds industrial companies in the manufacturing space particularly attractive. He prefers firms with strong momentum, low debt, and significant expansion potential. With that in mind, he likes sectors such as defence, railways, shipbuilding, transformers, and power transmission lines and equipment. Read here the complete article here: https://lnkd.in/d7ENs9rG

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BIS Non-financial corporations (NFCs) hold cash surplus balances with US money market funds (MMFs), which lend them in short-term repos to primary dealers, who in turn finance an inventory of US Treasury bonds. As demonstrated at the end of quarters and in September 2019, US repo rates can increase and impact short-term currency swaps (Aldasoro et al (2019b)). A similar chain of events can lead to a simultaneous increase in the cost of US dollar funding for non-US players.

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The 0.28% m/m increase in core CPI in August appears to be consistent with a slightly below-target 0.15% m/m increase in the Fed’s preferred core PCE deflator measure. But we doubt that modest undershoot would be enough to tip the Fed’s hand in favour of a bigger 50bp cut next week. On balance, we still think the Fed will begin its rate cutting cycle with a more modest 25bp reduction. Once again, the only component holding CPI inflation up was shelter, with owners’ equivalent rent increasing by as much as 0.49% m/m last month, which is not far off the 0.56% gain in January that prompted the BLS to put on an explanatory webinar. That ongoing strength in shelter prices comes despite the more marked slowdown in the alternative all tenant rent index, which is based on the same survey used in the CPI. Core goods prices fell by 0.2% m/m, while core services (ex-housing prices) increased by a slightly stronger 0.3% m/m. The latter is up a bit on the past three months, but still down on the average of closer to 0.6% per month we saw in the first quarter. The annual core CPI inflation rate remained unchanged at 3.2%, with 70% of that gain due to the 5.2% y/y increase in shelter prices.  The 3m annualised core CPI inflation rate rebounded, but only to 2.1%, from a weak 1.6%.

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Could Multi-Manager Allocating be the Solution to Hedge Fund Closures? The hedge fund industry has seen a worrying trend of closures, particularly among smaller, single-strategy funds. But could recent moves by large multi-manager platforms signal a reversal? A growing number of these platforms, such as Millennium, are allocating externally to smaller funds, effectively seeding and backing new talent. According to a Goldman Sachs report, approximately 70% of multi-manager funds are now engaging in external allocations, up significantly from 50% in 2022. This shift mirrors the traditional hedge fund-of-funds model but with a leveraging SMAs, allocations have flowed into long/short equity, credit, quant and a range of alternative strategies, with capital gravitating towards specialized sector managers. 👥 Impact on Recruitment The resurgence of external allocations is creating opportunities within the job market. As capital flows into smaller, emerging managers, demand is rising for seasoned portfolio managers, investor relations, traders, and operational staff. Seeding new funds not only helps funds diversify their strategy base but also opens up a new talent pipeline. 🌱 Fostering New Talent Allocations are also helping the next generation of fund managers break through in a market where fund launches have been in decline due to high startup costs and regulatory hurdles. The external allocation model provides a platform for niche, specialized managers to gain footing, with firms larger funds actively supporting emerging funds. Could this allocation model reverse the trend of hedge fund closures? While challenges remain, the growing trend of larger funds seeding smaller managers offers a much-needed lifeline for the industry, and a wealth of recruitment opportunities for professionals looking to capitalize on this shift.

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Here is the carry trade problem that Norinchukin is facing. Treasury bonds do not yield enough to cover the currency swap, which has become more expensive because it is linked to SOFR. Therefore, they have to sell Treasurys and add CLOs, which have higher yields and higher risk. They have been buying CLOs for years. This is called a collateral trap and activates the survival constraint, as income flows need to be equal to or greater than outflows. A bank that engages in carry trade must guarantee returns, and now their carry trade is negative and losing money.

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With the big September expiry coming up, the Sep/Dec futures roll is about to kick off. The below worksheet with global futures markets might come in handy, to not only display the spread and its liquidity (12k bid @ -28,25), but when connected to a chart also how the spread behaved through time, as well as when checking the open interest change (blue box top right), when the OI of the Dec starts to increase, while the one of the Sep comes off.

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Crowding into risk: central bank liquidity correlation to this weird decade in markets. Bloomberg's Odd Lots interviewed Matt King as markets began to turn but before yesterday's meltdown. Some fascinating excerpts: "... I think the biggest puzzle is why financial conditions have eased so much, even as we've had ongoing QT, even as we've had, rates at 23 year highs. And in fact, it was the main thing I was missing in the FOMC last night, nobody asked Jay Powell about how they considered this easing of financial conditions. ... And I think you need to get your head around what's been driving all of that before you can then come back and think about the outlook and, and what markets are doing at the moment." So what might that be? "I just look at my charts of what markets are doing and I try and make sense of them. But the way it seems to me is that market sensitivity to central bank balance sheet changes really hasn't changed at all. That most of the time when we thought we were doing QT, actually we weren't. And indeed a lot of the time there was almost this stealth QE effect going on... And the right way to think about this is in terms of not the security side of the central bank balance sheet, but the changes in reserves. And once you start thinking in those terms, you look globally and you say ‘Well, since 2009 we added $18 trillion worth of reserves or liquidity and we've only dialed back about $500 billion worth.’" But hasn't the Fed balance sheet fallen? "So for the Fed you just want the straight reserves number that you are looking at and you see a peak in April this year and then levels have fallen off subsequently." King's hypothesis? "You've taken money away from the private sector and there's less private money in markets, more securities needing to be absorbed and as a result what we get is a drop in the price of risk. And confusingly where that shows up on all of my charts is not necessarily in a drop in the price of bond yields where you might've anticipated or t-bill rates actually instead it shows up most clearly in the prices of equities, in the prices of credit spreads and even occasionally in things like the prices of Bitcoin. And for me, the way you make sense of that, that's weird because it's not like the Fed and the other central banks are buying and selling large amounts of credit or equities or certainly Bitcoin. But instead it's this ripple through effect. It's that when, let say it's the other way round and TGA is falling and I've just got more money in my bank account because a t-bill  matured but there's no new t-bill for me to go out and buy, well I get forced into buying something riskier and you get this cascading effect where the guy that would've bought bonds buys credit and the buy that would've bought investment grade buys high yield and the guy that would've bought high yield buys equities and you can't see all of those moving parts." And presumably the equities guy goes all in on crypto? 🤷🏻

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Market Update: RBNZ Shows Hawkish Lean, U.K. CPI Surprises on the Upside In recent developments, the market has priced a potential delay in the rate-cut path for the RBNZ and BOE. Implication: Short-term, this shift may lend support for the U.S. dollar because the market is counting on the FED amongst it’s peers to cut last. Although New Zealand's economy is relatively closed, the U.K.'s unexpected CPI uptick could signal trends for Europe. While I interpret this as not necessarily indicative of an inflation resurgence, it does suggest a potentially rockier inflation trajectory, which could deter premature rate cuts in Europe. More data is required to firm up these insights. Until next time. Subscribe for FREE to my Substack for weekly macro updates: https://lnkd.in/eA7y5jt7

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𝐈𝐧𝐯𝐞𝐬𝐭𝐨𝐫𝐬 𝐚𝐫𝐞 𝐡𝐨𝐩𝐢𝐧𝐠 𝐀𝐈 𝐟𝐨𝐜𝐮𝐬 𝐜𝐚𝐧 𝐬𝐞𝐫𝐯𝐞 𝐚𝐬 𝐚 𝐫𝐞𝐯𝐞𝐧𝐮𝐞 𝐛𝐨𝐨𝐬𝐭𝐞𝐫 𝐟𝐨𝐫 𝐀𝐩𝐩𝐥𝐞 Apple investors are hoping that the upcoming WWDC event in June can serve as a catalyst for the stock to continue grinding higher after a period of relative underperformance. A recent Bloomberg report indicated that the tech giant is planning to overhaul its Mac lineup with new M4 processors. The anticipated upgrade, succeeding the M3 chips introduced late last year, is expected to enhance on-device artificial intelligence capabilities. "We view this as a positive development as it could offer upside to pricing and revenue within Macs, as the M3 injected a minimal performance boost. We think the news also suggests that AAPL is poised to unveil a slew of AI tools to developers at its WWDC this June," CFRA analyst Angelo Zino said in a note. The company is also looking to refresh its entire iPad lineup this year. Expectations are that Apple's strategic emphasis on AI will drive consumer upgrades and bolster revenues across its high-end devices, including iPhones and iPads, in the upcoming fall season. "Although we acknowledge China concerns, we think AAPL will navigate the storm and we see AI giving consumers across its massive installed base a reason to upgrade. AAPL's pullback offers an enticing opportunity, in our view," Zino concluded. #iPhone15 #iPhone #stocks #investing #Apple #AI #WWDC

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