Equities | Europe | FX | Global | Rates | UK | US
MH Model Portfolio: Three New Trades, Including Short USD/TWD as Election Risks Fade
- By Bilal Hafeez
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Portfolio Changes
We added three new trades since last week – all in FX land.
DM
FX
- Short GBP/USD (target 1.2350; stop 1.2900) – read here.
- Long EUR/CHF (target 0.9700; stop 0.9245) – read here.
EM
FX
- Short 3m USD/TWD NDF (target 30.0; stop: 31.5) – read here.
In addition, we have also closed two trades, three of which were ended positive.
- Long SGD/THB – SGD/THB moved about 3.4% in our favour. We believe the cross will continue to trend higher, but it has come a long way in three weeks. The market has also discounted an unchanged MAS stance at the next policy review and the weak Chinese arrivals in December.
- Short CNH vs EM basket – Chinese authorities are trying to bolster market sentiment. Authorities leaked news about an RMB 2tn intervention fund on Tuesday, and PBoC unexpectedly cut RRR by 50bps on Wednesday. The quickfire response suggests authorities are determined to stop the rout for now. We close our short CNH vs EM basket trade at a loss of 1%.
Historic Performance
Our portfolio has returned +0.5% YTD, and up 0.2% since last week. The portfolio has returned +51.2% since inception (+10.8 % annualised) with a 0.9 Sharpe ratio. This continues to place it above the average discretionary macro hedge fund (Bloomberg: BHDMAC Index; Chart 1).
Current Trades
DM
Rates
- Long Sept-24 3m SONIA (target 95.950; stop 95.550) – read here.
- Long 10y Spain vs BTP and Bund (target 12 bps; stop 36 bps) – read here.
- Pay Apr-24 ECB ESTR (target 3.90%) – read here.
- Receive 10y SOFR Swap Spread (target -60 bps; stop -30 bps) – read here.
- Mar24 SOFR Call Spread – read here.
- Long 1y1y vs 2y3y SOFR (target 0 bps; stop -45 bps) – read here.
- US 5s10s Steepener (target 15 bps) – read here.
FX
- Long EUR/CHF (target 0.9700; stop 0.9245) – read here.
- Short GBP/USD (target 1.2350; stop 1.2900) – read here.
- Short AUD/CAD (target 0.870; stop 0.899) – read here.
EM
FX
- Short 3m USD/TWD NDF (target 30.0; stop: 31.5) – read here.
- Long EUR/PLN (target 4.480; stop: 4.295) – read here.
- Sell 3m PHP/IDR (target 265.00; stop: 285.00) – read here.
- Long 6M EUR/TRY digital put, strike 32.0 – read here.
- Long EUR/CZK (target 25:60; stop: 24:00) – read here.
Rates
- 5y10y MXN TIIE Steepener (target 40 bps; stop -30 bps) – read here.
- Receive BRL DI F27 (target 9.50%; stop 10.80%) – read here.
For a full list of our historic trades, please see here.
Bilal Hafeez is the CEO and Editor of Macro Hive. He spent over twenty years doing research at big banks – JPMorgan, Deutsche Bank, and Nomura, where he had various “Global Head” roles and did FX, rates and cross-markets research.