I will skip the weekly breakfast today and turn to a trading report from a macro trader. Each morning, I wake up to at least 50-100+ new emails including regular updates from the investment partners in my inbox that I must go through.
Regular communication with highly experienced partners is the ultimate leverage in my work in the ever-evolving world of finance. It is not just about learning from success but also understanding mistakes and learning from failures.
Here is section:
In Fixed Income, our models leaned generally short, looking for a resumption of weakness, though as the market rallied they also made some investments on the long side. US and European fixed income both incurred losses, but most of the losses were in the US, distributed across the fixed income durations. Long-term and machine learning styles had difficulties.
Euro FX was profitable, with machine learning and breakout families entering long positions on break out and large rallies. The FX sector, however, was down for the month, with losses mainly from Yen trading. At the start of the month, the immediate multi-day reversal off a very large one day rally in the dollar caught the models off-side to start the month. An attempt at shorting USD/Yen later in the month also incurred losses.
Equity trading was down, with European equities the most difficult. Our models went short mid-month looking for a pull-back. Contrarian and machine learning styles were down. Trading in US and Asian Equities was positive to down slightly, ending as a wash with US down and Asia up.
Crypto futures trading had another strong month with long-term and machine learning families able to take advantage of the continued strength and volatility in digital assets.
In our research, we have focused on improving our performance during particularly challenging periods, while maintaining our ability to provide the convexity and tail risk that characterize our strategy. This year’s performance suggests our efforts have been successful.