Dynamika Capital L.L.C.
Commentary
Greece Implications for Global Carry
At least some large money managers have been seriously concerned about possible Greece implications for global asset dynamics. We briefly present one counter-intuitive and contrarian point of view on possible Greece implications for Global Carry and possible hedges and tail-hedges based on recently emerged link of Global Carry and Dollar.
Commentary
Retail Sales Bounce?
It appears this May is one of those lucky Mays when Retail Sales enjoy 2% up year-over-year seasonality adjustment without which they would have been dismal. Looking at pattern of May seasonal adjustments over the last 25 years it appears that this happened before. Interestingly, though, April plus May seasonality adjustment is twice as large as it ever been before.
Commentary
Global Carry Mechanics and Derailment
Global Carry (a.k.a. Risk Parity) appears to be derailed, as we cautioned in February. We observe how that happened and how Global Carry is singularly linked to Bund and US Dollar. We also refresh and reflect on our US Leading Indicator and SPX fair value.
Commentary
US Conundrum
We observe that the US Conundrum Thesis is still in place with
Global Business Cycle ongoing deceleration, European Subcycle recovery
and Asian Subcycle muddling through.
Commentary
Carry Scares
With Bill getting what he wants Bunds sell-off, and so does Global Carry (a.k.a. Risk Parity), as we warned last week, confirming that perfect correlation between the two is alive and well. Dollar unwind should not be surprise to anyone given now hardly arguable US deceleration at hands of which we warned all along, but the hidden Yen deleveraging that steepens US treasury yield curve is something to watch closely.
Commentary
Bill’s “Short of a Lifetime”
According to Bill Gross “German 10yr Bunds = The short of a lifetime.” We just wanted to make it clear that the Bunds were perfectly co-moving with the Global Carry over the last six years and the Global Carry is the major source of returns behind US equities, bonds, the Risk Parity portfolios, and 60/40 for that matter.
Commentary
Global Business Cycle Deceleration and US Conundrum
The Global Business Cycle is decelerating while the regional Asian and European Subcycles are recovering. This poses the US between a hammer and a hard place as it gets hurt by each single one of them. Will it get crushed or stand strong in this global interplay?
Commentary
Recessionary Level in Credit Conditions
The Credit Managers Index deteriorated significantly over the last two months and current readings stand at the recessionary levels not seen since 2008. There is a very serious financial stress in the amount of credit extended to the businesses and the amount of credit applications rejected. The speed of deterioration is shocking.
Commentary
Global Asset Allocation Shifts
A couple of days ago BIS (Bank of International Settlements) released a seminal research piece “Global Asset Allocation Shifts” in which authors explain that weekly institutional and retail portfolio reallocations (not just fund flows) of U.S. investors are 90% driven by two factors easily identified as Yen (Risk On/Off) and Dollar factors hence reaffirming our Global Macro Framework. They also explore systematic predictability of these factors in great details.
Commentary
Global Macro Framework
Global Carry, Yen and Dollar are irrefragable drivers of Global Macro. As we explain equities and bonds are just derivatives of these factors. We expose how the big picture asset dynamics worked since the GFC, brief on what happened over the last year and conclude with comments on dollar blowout over the past week.
Commentary
Global Carry Game Over?
The world has changed on the 2nd of February after US Personal Income and Outlays report
or maybe more importantly ISM Manufacturing Index report got released. The Global Carry
trade and Dollar trade got broken and have been broken since. Is it a passing correction
or the time is up and the game is over?
Commentary
US vs G7: Decoupling? Recoupling!
We review how the U.S. growth and inflation relate to that of G7 over the last forty years and conclude that not only the decoupling incidents are nothing more than temporary deviations seen as noise in the long run but also that U.S. has actually just recoupled.
Commentary
Global Carry Rock ‘n’ Roll
Global Carry (known as Risk Parity to some) got a bit of a headwind in December (as we proclaimed it to do on Black Friday) but went straight back to Rock ‘n’ Roll as this year started, good to great. And while the other utterly famous star – the Yen is patiently await, shocked and subdued by her competitor act, all the eyes are on the King of Rock – the Dollar. Some still have his last year stellar performance tune on the mind, but is he about to sing “The times they are a changin’”?
Commentary
Is US Sliding Into Recession?
Almost a year ago we identified the late cycle symptoms in sector rotations, leading indicators and US treasuries term structure. We briefly review where we stand and conclude that it does not look pretty.
