12/13/2023 0 Comments Macro trading web![]() Not only has the past academic year marked an increase in my macro awareness, but it has also altered the way I think about markets as I now spend most of my time formulating a viable variant view. ![]() Narasimhan: As a markets junkie, I benefited tremendously from the feedback provided by the portfolio managers at Fortress. The experience taught me to resist the temptation to trade ahead of key economic numbers & monetary policy decisions in markets where the local central banks have no qualms attempting to defy economic gravity. I changed course by using the South African rand to fund a long position in the lira, which helped recover some of the prior losses. The benchmark rate was then raised by 550 basis points to 10% - the lira soared. ![]() Locked between a large current account deficit, eroding central bank reserves, a political crisis and a broad emerging markets sell-off, I thought a rate hike would not be enough to stop the lira's depreciation. Narasimhan: USDTRY just hours ahead of the interest rate decision in January. Meanwhile, Canadian front-end rates were pricing in rate hikes in anticipation that the Bank of Canada would tighten ahead of the Fed.The Loonie subsequently fell 10% against the US dollar and it was the most profitable G10 major currency trade of the past two quarters. For the first time ever, there was a strong confluence of agreement between all my models and macro fundamentals. Narasimhan: Shorting the Canadian dollar in mid-October comes to mind. These signals are often used to guide my macro and sentiment research. To filter market activity, I run a few models that fall into trend-following or factor model buckets. Being a student, the most challenging aspect of macro trading is staying on top of market developments. Kai Petainen: Can you talk a bit about your strategy?Īrun Narasimhan: I strive to capture macro trends. Queens University has a student managed Canadian equity fund that manages $700,000, and they recently received another $500,000 from Mackenzie Investments. One of the winners was Arun Narasimhan from Queens University. Leaders of student investment groups from 17 universities met at Fortress in August 2013. Further information will be posted on the Upgrade Capital website students wishing to sign up can already do so using this form. Loganchuk:The next Fortress Challenge will be launched in October 2014. Petainen: When will you run the competition again? And how can students join up for the competition? This year they included the Ben Graham Fellowship, a stock pitch competition run in partnership with the Value Investing Congress the Fortress Fellowship, a macro trade pitch competition in which the winners gained ongoing access to Fortress portfolio managers and the Quant Teams Program, where students were challenged to develop their own market tracking and risk analysis algorithms. We also run multiple programs outside the trading competition to give students more ways to distinguish themselves. There is no substitute for a manual assessment by an experienced investor. After sorting all competition participants on the basis of Risk Adjusted Alpha, a metric which strips systemic risk out from returns and factors in risk taken, we work with Fortress to go through individual competitors’ detailed trading records and trade commentary for the top 50 performers. Loganchuk: We treat quantitative measures of performance as merely a starting point for assessing students. Did you take this into consideration, and if so, how? So it's hard to differentiate between a lucky pick vs. Petainen: One common criticism about virtual online competitions, deals with how a competitor can win based on one 'lucky' stock pick. It makes little sense for each firm to have their own competition – both job applicants and employers benefit if all performance records and investment research are gathered in a single place and analyzed in a consistent manner. The identities of top performers will be made known to firms other than Fortress. In this competition, Fortress challenges students to make sense of the bigger picture by encouraging them to engage in top-down analysis and to build macro-driven investment strategies. The overwhelming majority of major cross-university competitions place a heavy emphasis on bottom-up analysis and stock picking.
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