Risk Management

Goldman Calls It: No Rate Hike Until Mid-2016

Q: What is your own view of the appropriate liftoff date?

A: Our own answer to that question has long been 2016. In fact, our own view is similar to that of Chicago Fed President Charles Evans, who recently shifted his call from early 2016 to mid-2016.... At this point, our “GSFCI Taylor rule” suggests that the FOMC should be trying to ease rather than tighten financial conditions. Our own view in terms of optimal policy is quite strongly in favor of waiting well into 2016.

The Only Thing That Matters For The Rate-Hike Decision

A week ago, we noted Goldman Sachs' 'strawman' that Janet should "think about easing," despite the world's misplaced confidence that rates will rise "inevitably" since the US economy is doing so well. Today, we get to hear what 'god' thinks as the only thing that matters for The Fed's decision is - keep Lloyd happy  - and Goldman CEO Blankfein just said "U.S. economic data doesn’t support the case for higher interest rates."

To JPM, Both A Rate Hike And A Delay Would Be Bullish For Stocks

"The eagerly awaited Fed meeting is upon us. Regardless of the actual decision, we suggest that the market impact could end up being positive. If the Fed does raise rates, but at the same time reassures the market that this will be a gradual process, it would be received well. If, on the other hand, the Fed delays the move, this could be interpreted as a signal that the Fed is aware of and is responding to recent market concerns." - JPM

US Futures Jump Unaware Gartman Short Has Been Stopped Out, China Hugs Flatline

For now, US equity futures are higher on the day, rising by 9 point after being 14 points higher ealier, driven mostly by USDJPY correlation algos, and perhaps by Goldman's conviction that the Fed will not hike in September and may delay hiking until 2016 altogether. However, we expect this initial euphoria higher to fade momentarily, once the vacuum tubes realize that the catalyst of Friday's surge higher, namely Gartman's latest flipflopping is no longer on the table: as of tonight, just 1 trading day after his latest reco, Gartman has been stopped out as his 1.5% limit was hit when futures rose above 1962 this evening.

How To Beat Every Hedge Fund in Just 2 Trades & 4 Hours A Day

Forget Risk-Parity... ignore volatility-targeting... Risk management is for losers, value-investing is for dummies, and chasing momentum is for suckers... The path to successful trading in the new normal is easy... and involves just 4 simple steps...

"August Sucks" MIT Quant Warns New Strategies "Are Creating Volatility"

"August Sucks," concludes MIT Quant guru Andrew Lo, reflecting on the systematic-trading strategy effects on markets, and it's not going to get better any time soon. As he explains to Bloomberg, "algorithmic trading is speeding up the reaction times of these participants, so that’s the choppiness of the market. Everybody can move to the left side of the boat and the right side of the boat now within minutes as opposed to hours or days." As we have noted many time, Lo explains how "crowded trades have got to the point of alpha becoming beta," warning that volatility-targeting strategies (such as Risk-Parity) are not only "exaggerating the moves," but he cautions omniously reminiscent of the August 2007 quant crash, "I think they are creating volatility of volatility."

JPM Head Quant Is Back With New Warning: "Only Half The Selling Is Done; Expect More Downside"

"... we estimate that only about half (or slightly more than half) of total technical selling was completed to-date (mostly completed by VT funds, half by CTAs, and a smaller fraction by RPs). We estimate that a further ~$100bn of selling remains to be completed over the next 1-3 weeks. As a result, we expect elevated volatility and downside price risk to persist."

Austerity - Elite Terrorism Against Ordinary People

The purpose of austerity is to create insecurity and instill fear in the general population in order to protect the finance and banking sector from popular rage against the crimes the participants of this sector have committed against ordinary people. This rage ought to have given rise a long time ago to legal actions and desperately needed fundamental reforms to take away from bankers the right to create money, a right which they have abused at tremendous cost to ordinary people. Instead of collective reforms, what we are being subjected to is a policy of deliberately spreading insecurity together with the scapegoating of vulnerable people.