17 Aug 2017

  • S&P 5002466.80+0.09%
  • FTSE7433.03 +0.67%

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Initiation of ‘The View’

The View 08 Dec 2013

‘The View’ will be a periodical, informing readers of the CT stance on various asset classes. There will be a major focus on macroeconomics and corresponding directional conclusion for equity indices.

Assets we intend to maintain a ‘View’ on:

  • Equities
  • Corporate bonds
  • Rates

across UK, Europe, US, Japan

  • Precious Metals
  • FX ‘big three’ (EUR/USD, USD/JPY, GBP/USD)
  • Volatility
  • Energy

We will also present the “Convexity Forward Index” for certain asset classes.
This is the result of our quantitative modelling – it tries to predict forward return (timeframe depends on which asset) in percentage points, typically around 30 days. It uses sentiment, fundamentals, seasonality and the tiniest bit of technical analysis. We will be doing a longer post on this in due course – for now see our Thesis page on how we tend  to address investment processes.

For now – we’ve just entered the seasonally strongest month of the year.
Just 1 December of the last 11 on the FTSE 100  has been a down month, and the average gain is 3.24% vs 0.8% for the typical month.

Across, the pond, the seasonality is equally as compelling:

US seasonality

 

 

 

 

 

 

Seasonality never justifies a trade in itself, however it is worth bearing in mind.

About the author

convexityPM

Over 5 years trading multi-asset portfolios and managing client money. Style proposition is detailed in 'Thesis' - broadly we aim to take positions in any market as long as a defined edge is evident and only then when very specific conditions present themselves (typically low risk, high reward but low probability outcomes). Previously, sell-side analyst & trader in both the credit and equity markets.

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