Download PDF: Monthly_2019_April The strength of the dollar has dismayed many investors, us included. The weakening growth in the U.S., as measured by final demand component of the GDP, has pointed downward and should lead to a weaker dollar at a time when China is reflating. We still believe that the current improvement in EuroContinueContinue reading “May 2019: The Dollar Story and Where Are We in the Cycle?”
Author Archives: Journeyman
VIX-Based Hedging Strategy for Emerging Markets Equity Portfolio
Download PDF: EM_VIX_Hedging_strategy EM equities’ superior returns relative to its DM counterparts have been associated with higher volatility and left-tail risk. Rule-based portfolio hedging reduces the severity of tail-risk and performance drag while improving EM portfolio’s risk-return profile over the long run. Currently EM VIX spread over S&P500 VIX is at an all time low,ContinueContinue reading “VIX-Based Hedging Strategy for Emerging Markets Equity Portfolio”
Quotes from Hedge Fund Market Wizard
Recently I finished reading a great book by Jack D. Schwager titled “Hedge Fund Market Wizard”. As a note to myself and traders interested to improve their system, here are some quotes that I found to be interesting. Set stop loss level that would prove the hypothesis is wrong and then limit the positionContinueContinue reading “Quotes from Hedge Fund Market Wizard”
EM Country Overview: Mexico, Turkey, Brazil, South Africa, Russia
Download PDF: Q12019_LATAM_EMEA_Update A revisit of our investment thesis on emerging markets equities Mexico + (Overweight) Last year Mexican stocks were among the worst performer in the EM universe for two main reasons. First, the domestic economy is experiencing a sharp slowdown from industrial and oil production. Second, the increase in global risk aversion hasContinueContinue reading “EM Country Overview: Mexico, Turkey, Brazil, South Africa, Russia”
April 2019: Is the Recession in Front or Behind Us?
Download PDF: March19_PC It is tempting to argue that we are currently experiencing the “manufacturing recession”, similar to the “commodity recession” we experienced back in 2011-2012 and 2014-2015. All the data is supporting the thesis that we did have a recession in 2018, albeit a mild one: 1) industrial production and manufacturing PMI weakens inContinueContinue reading “April 2019: Is the Recession in Front or Behind Us?”
Telkom Indonesia: The Nightmare is Over
Download PDF: TLKM_March2019 Continued Transformation to Data-based Revenue Rising Cost Hurts the Bottom Line Maintain Buy Rating with Target Price of Rp 4450/share Telkom’s 2018 annual report is likely to be disappointing, based on the recent trend in the sector and third quarter statement. After years enjoying high return and strong growth, the sector isContinueContinue reading “Telkom Indonesia: The Nightmare is Over”
Lessons from Past Emerging Markets Cycles: Part II (Bonds)
PDF: Lessons from Past Emerging Markets Cycles Part II -Bonds In the past five years, the size of Emerging Market corporate and sovereign bonds has increased by over 50%. This highlights the increasing need of investment for EM to continue growing. Although currently the size of EM bond market is pale compared to U.S. bondContinueContinue reading “Lessons from Past Emerging Markets Cycles: Part II (Bonds)”
Lessons from Past Emerging Markets Cycles: Equity
PDF: Emerging Markets Review A Review of Emerging Markets Equity Performance Emerging markets equity is an inherently volatile asset class, with annual volatility of 17.7% compared to 14.2% for its developed markets counterpart. Investors who were willing to endure the higher risk has been rewarded tremendously in the long run. Between 1988 and today (SeptContinueContinue reading “Lessons from Past Emerging Markets Cycles: Equity”
Putamen Capital: March 2019 Bird Eye View
Four months after Putamen Capital started trading, we continue to build and improve our database, model and quantitative trading strategy to guide our investment decision, with the goal of building an all-weather portfolio that outperform our benchmark (MSCI All Country World Index). This month we introduce an enhanced version of our tactical asset allocation andContinueContinue reading “Putamen Capital: March 2019 Bird Eye View”
Putamen Capital: February 2019 Update
Our decision last month to portfolio equity allocation proved to be a correct one, despite our model suggesting a very defensive position. Emerging Markets and U.S. equity rallied on the backdrop of Fed dovishness and signs of reflation coming from China, the largest importer for many EM countries. We still believe that the growth slowdownContinueContinue reading “Putamen Capital: February 2019 Update”
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