1. Kelly Criterion Revisited

    Recap

    The Kelly Criterion tells you how much of your capital you should risk on a single bet, e.g. on a horse in a race. Kelly, in his original paper, contrived a rather odd situation where you actually have an “edge,” i.e. the expected payoff of your bet …

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  2. Market Notes, 24th July 2020

    We have a problem, Houston

    The Chinese have reacted to the closing of the Chinese consulate in Houston by expelling the Americans in the US consultate in Chengdu. This was not great for risk assets overnight. NG is on a tear: still going up.

    Lies, damn lies, statistics and unemployment …

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  3. Market Notes, 23rd July 2020

    Morning

    Mildly risk-on. Dollar weaker. Lots of articles talking about negative interest rates (US), precious metals breaking higher (especially silver). Global equities generally higher, but Far East looks precarious. I understand the arguments that the Fed cannot let the long end of the curve get out of control, but I …

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  4. Market Notes, 22nd July 2020

    Opening buzz

    Risk off today: gold up, bonds up, equities down, VIX up. Dollar ($DX) up, especially against emerging market currencies.

    Bailout money goes to shareholders and creditors of already insolvent company

    Well, who would have guessed that might happen? Here are the gory details.

    What I read today

    In …

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  5. Market Notes, 21st July 2020

    Is the $TSLA stockprice a bubble?

    pic

    Well, probably, but this has been true repeatedly in the past year or so. Nobody I follow predicts anything but $TSLA becoming $TSLAQ, but this is because I’m human and I like to follow people who confirm my priors.

    In other news

    Forex …

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  6. Market Notes, 20th July 2020

    All day

    AGG is trading at a 60-day vol of 4.4%. Long calls, anyone?

    DX is a consensus short. It’s not tumbling, but it’s on a trend. This implies yield curve steepening. One to keep watching, rather than one to act on right away, I think.

    Wrap

    Crazy risk on day today …

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  7. Market Notes, 17th July 2020

    Markets since Wed

    I was away the last few days. I didn’t make any notes, but the market doesn’t seem to have done much. There are more hopes of a vaccine. $MRNA is doing well, but there seem to be multiple companies which are close.

    $NFLX crashed on …

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  8. Market Notes, 14th July 2020

    Morning

    After the puke yesterday, markets are fairly muted. Equities are down ~1% in Europe. The $ES_F is actually up 40bp. Commods are generally down, incl. copper & gold. The 10year note has barely budged. It’s almost as if the Fed spending $4 trillion bonds has hampered price discovery for …

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