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"Bond Bubble" trade Replies |
HenryTo
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Joined: 06 Aug 2004
Posts: 11260
Location: Los Angeles, California
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 Posted: Thu Feb 02, 2012 1:12 pm Post subject: |
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Long time no see, Bill. How are you doing?
Tomorrow is as good a time as any! |
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rffrydr
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| Posted: Thu Feb 02, 2012 9:22 am Post subject: |
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I pick...tomorrow. 
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nodoodahs
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| Posted: Thu Feb 02, 2012 5:26 am Post subject: |
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Yes, the clue to when we unwind is what I'm worried about ..
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HenryTo
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rffrydr
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Joined: 30 Oct 2005
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Location: Sunny California
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| Posted: Mon Dec 12, 2011 6:48 am Post subject: |
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Barnes Index revisted:
A little push by the economy? Fat chance. Large Cap Dividend payers, nope. Treasuries:
http://www.bloomberg.com/
9% and currency to boot. Our currency my just be europe's "savior."
Sadly, a privileged game: not passing thru to mortgage rates...or any other rates for that matter.
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rffrydr
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| Posted: Fri Oct 14, 2011 7:58 am Post subject: |
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Fed Foreign holdings of Treasuries fell $20.5 bln. $62.6 bln has been
liquidated in the past 4-weeks.
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rffrydr
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| Posted: Thu Oct 13, 2011 12:14 pm Post subject: |
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Bill Gross' "hideous mistake":
Pimco: strategic reverse
| Quote: | The script calls for investors to pour derision on Bill Gross. It is hard to be quite so manifestly wrong as he has been. The facts speak for themselves; early this year he made a big song and dance about his decision to make an almost complete exit from the Treasury bond market. He was worried about inflation.
Naturally that was a disaster and his flagship fund at Pimco, of which he is co-chief investment officer, has made only 1.9 per cent for its investors this year, leaving it in the bottom decile of all US bond funds. Now, rather than stick to his guns, admitting only to an error in timing, he is going into reverse, vacuuming up Treasury and mortgage agency debt wherever he can find it, and drastically shifting his portfolio towards longer-dated securities – precisely those bonds whose value would be most damaged by inflation.
With hindsight, his big bet against bonds was hideously misjudged. That is undeniable. His new bet, which boils down to “don’t fight the Fed”, might not be much better. The Federal Reserve’s Operation Twist entails buying long-dated Treasuries and agency bonds, but traders have priced much of that in. Real 10-year yields are now minus 1.55 per cent, by far their lowest since the inflationary 1970s, save the weeks around the Lehman collapse, so upside looks limited. Without more haven flows into long US bonds, this bet may easily also come unstuck.
But Mr Gross does not deserve abuse. Long-term investment managers can afford occasional mistakes. The question is their response. An investor’s key quality is emotional intelligence; the ability to make contrarian bets against the herd, and to admit a mistake, rather than hold on to a losing bet in the vain hope of eventually making back losses. Mr Gross has that quality. His investors, despite the lousy year he has given them, should be glad of it. |
Missing a 30y trend by 5 months? I don't use the word "hideous" for that. He was still long plenty "duration"...just got whipped by his big GMAC portfolio regarding mortgage CDO "putbacks." It's the "pinata effect" and everyone missed it, even believers in the "utility bank" concept. The lawsuit is our crony capitalism.
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rffrydr
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| Posted: Mon Sep 26, 2011 8:48 pm Post subject: |
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'08 "Retest"?
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rffrydr
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rffrydr
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| Posted: Fri Sep 09, 2011 2:42 pm Post subject: |
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Yes, like a good fiduciary, they have to be "responsible."
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nodoodahs
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| Posted: Fri Sep 09, 2011 12:18 pm Post subject: |
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| rffrydr wrote: | What kind of bubble is it that kills pension funds?
http://www.reuters.com/article/2011/09/05/uk-investment-pension-idUSTRE78432T20110905
| Quote: | The drop in the funding ratio is driven by a rally in the fixed income market. In Europe, the double-A rated corporate bond yield -- one of the benchmark rates used by regulators -- fell 300 basis points in the last three years to 3.55 percent, according to Barclays Capital.
The widely used rule of thumb is that a 50 basis points fall in the discount rate roughly results in a 10 percent increase in liabilities.
"Things look substantially worse now than they were during the credit crisis," said Pat Race, senior partner at investment consultancy Mercer. |
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The problem is typical of the "slow-moving, long-holding" trader's dilemma.
For a player with their timeframe and holding time, this is the point where they should be RE-risking (glidepath, funding, etc.), not DE-risking. But it's precisely the kind of move that is psychologically hardest to make, similar to an individual deciding to dynamically rebalance ... when the time comes to sell some bonds and buy some stocks, because stocks have crashed, it's hard to pull the trigger.
So while the pensions should be adding to risk as they become less funded, they won't want to, and probably won't.
Additionally they have other, institutional/regulatory issues that make it even harder on them to "do the right thing."
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nodoodahs
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| Posted: Fri Sep 09, 2011 12:13 pm Post subject: |
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| nodoodahs wrote: | | HenryTo wrote: | | Bridgewater makes a bold call on Treasuries: |
Again it's more madness and more talking of the book.
Do many astute readers really believe that BWTR believes that 10YT will be close to 2%? Does BWTR really believe that? I doubt it.
The essence of the message is one that I buy and can believe in. No tightening through at least the remainder of '11 and probably well into '12, no excess stimulus added, yields continue to be depressed relative to the market expectations.
But 2%? BWTR would probably soil themselves if they saw 10YT cross 2.50%.
So yeah, I agree with the general direction and tone (yields low for a long time) but disagree with the magnitude and think they're throwing it out there to attract attention and maybe push the market towards their trades. |
Well here we are 1.9-something percent on the 10. While I expected low yields, this is lower than I thought probable. I'm not privy to what happened at BWTR's offices, but I suspect some changed underwear due to the magnitude of the move, even though it's in the direction they wanted.
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rffrydr
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Joined: 30 Oct 2005
Posts: 16445
Location: Sunny California
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| Posted: Mon Sep 05, 2011 8:50 pm Post subject: |
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What kind of bubble is it that kills pension funds?
http://www.reuters.com/article/2011/09/05/uk-investment-pension-idUSTRE78432T20110905
| Quote: | The drop in the funding ratio is driven by a rally in the fixed income market. In Europe, the double-A rated corporate bond yield -- one of the benchmark rates used by regulators -- fell 300 basis points in the last three years to 3.55 percent, according to Barclays Capital.
The widely used rule of thumb is that a 50 basis points fall in the discount rate roughly results in a 10 percent increase in liabilities.
"Things look substantially worse now than they were during the credit crisis," said Pat Race, senior partner at investment consultancy Mercer. |
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rffrydr
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| Posted: Thu Aug 04, 2011 7:12 am Post subject: |
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Gotta 50bpt move in a little more than a week to around 2.50 on the Trichet non-move. Bridgewater vs. Gross...and Gross is the New Normal guy!
Toyed with a short in March up in 126's...but then read through the posts once again. Boards great way of managing your "instincts."
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nodoodahs
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| Posted: Fri May 27, 2011 8:44 am Post subject: |
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| HenryTo wrote: | | Bridgewater makes a bold call on Treasuries: |
Again it's more madness and more talking of the book.
Do many astute readers really believe that BWTR believes that 10YT will be close to 2%? Does BWTR really believe that? I doubt it.
The essence of the message is one that I buy and can believe in. No tightening through at least the remainder of '11 and probably well into '12, no excess stimulus added, yields continue to be depressed relative to the market expectations.
But 2%? BWTR would probably soil themselves if they saw 10YT cross 2.50%.
So yeah, I agree with the general direction and tone (yields low for a long time) but disagree with the magnitude and think they're throwing it out there to attract attention and maybe push the market towards their trades.
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