One River Asset Management, LLC | Terms of Use

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wknd
notes

Wknd Notes
White Papers
No Longer Just Words On Paper

Finding Weak Links

Finding Weak Links
July 17, 2022
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Can't Happen

Can't Happen
July 10, 2022
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Enter Marcel Kasumovich

Enter Marcel Kasumovich
June 26, 2022
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Leveraged-Carry and Buy-and-Hold Investing is Behind US

Leveraged-Carry and Buy-and-Hold Investing is Behind US
June 19, 2022
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wknd
notes

Each Sunday morning for over a decade, One River’s CIO, Eric Peters, has published “Wknd Notes.” It is an unorthodox take on markets, politics, and policy that’s widely read across our industry and within global policy/political circles. Eric has written for as long as he has traded and the discipline is part of his investment process. Drawing on wide-ranging, multi-disciplinary research, historical study, and discussions with interesting characters throughout the world, Eric collects those things he finds most thought-provoking each week and distills them into a concise letter. At times the ideas and views are consistent with his own, but just as often, they challenge his positions and it is this openness to opposing views that helps him maintain a flexible mind in the search for emerging opportunities and risks. His writing is a reflection of how he thinks, and as such it is as focused on identifying the right questions to ask as it is on seeking answers. The publication of this work is Eric’s way of exchanging ideas/information and developing dialogue with a network grown over his thirty-one-year career.

No Longer Just Words On Paper

July 03, 2022

“I got this Dad,” she said, duffel packed, ready. “I know you do Liv - you got this - but what’s going through your head?” I asked, a final father-daughter check in. “It feels like when we went skydiving. I knew it was coming. Then we put on our parachutes, and got in the plane, and went higher and higher. I looked down but it still wasn’t real. Then the door opened, they pushed us out. And I was free falling. That’s when it was no longer just words on paper. That’s how I feel,” said Liv, ready for life’s big adventure. Prepared. Mara and I hugged her, Jackson and Teddy too. She got in line with the other cadets, strangers, eyes wide. They rushed off, drill sergeants screaming, “Go! Go! Go!” And Liv was gone. Just like that.  

 

Happy Fourth of July. Dusted off an anecdote (see below) from 2016 about celebrating humanity’s diversity, individuality. Freedoms worth fighting for. Leading us onward, upward, inexorably.

 

My thought piece titled “The Case for Quantum Change” published in Oct 2021 emphasized the value of systematic trend-following strategies in periods of rapid change. It also applies to digital asset markets – trend strategies are effective at capturing rapid change. Our research team explored the topic this week [click here].

 

Week-in-Review (expressed in YoY terms): Mon: G7 plan to announce ban on gold imports from Russia and also pursue a price cap on Russian oil, Russia defaulted on foreign currency sov debt for the first time since 1918 after a grace period on missed interest payments passed – Kremlin denied it, ECB forum in Sintra begins, Turkish gov’t announces measures to slow down new loans in effort to cool down economy without hiking rates, US adjusts to a post Roe world after SCOTUS decision on Friday, US durable goods orders 0.7% MoM (0.1%e), US pending home sales 0.7% MoM (-4%e), US Dallas Fed mfg activity -17.7 (-6.5e), S&P -0.3%; Tue: PBOC gov Yi Gang pledged to provide add’l monetary support to recover from Covid stresses / cautioned that the real interest rate is low, Lagarde said ready to step up action to tackle record inflation if needed / reiterated plans for 25bp hike in July, ECB’s Kazaks said front-loading hikes could be reasonable / worth looking at a larger 50bp hike in July, China shortened quarantine for visitors to 7d (from 21), Fed’s Williams says debate at July meeting will be 50bp or 75bp, Hungary CB hikes 185bp (50bp exp), US retail inv 1.1% MoM (1.8%e), US FHFA house px index 1.6% MoM (1.4%e), US case shiller home prices 21.23% (21.05%e), US Richmond Fed -11 (-7e), US consumer conf 98.7 (100e), S&P -2%; Wed: Powell says bigger risk to the economy is failing to restore price stability rather than a recession, ECB’s Simkus says 50bp in July should be considered if infl outlook worsens, President Xi remained committed to Zero Covid policy, Kuroda says core infl almost entirely due to soaring energy prices, Russian fin min Siluanov says could use friendly countries to intervene to weaken RUB, Fed’s Mester favors 75bp in July and above 4% next year, Japan ret sales 3.6% (4%e), Spain CPI 10% (8.7%e), Germany CPI 8.2% (8.8%e), EU economic confidence 104 (103e) / cons conf -23.6 unch, US final 1Q GDP -1.6% (-1.5%e) / core PCE 5.2% (5.1%e), Russia IP -1.7% (-3%e), S&P -0.1%; Thur: S&P marks the worst 1H performance since 1970 (-21% YTD), Atlanta Fed’s GDPNow 2Q nowcast drops below 0 – signaling a technical recession following 1Q negative print, Riksbank hiked 50bp as exp but revisions to terminal rate forecast were less than exp, US hypersonic missile test failed, Russia withdrew troops from Snake Island as gesture to ease grain shipments, OPEC+ ratified its plans to add 648k bpd to bring forward restoration of the cuts implemented during the pandemic / they left open the question of whether it will add add’l supply due to Russian invasion, Japan IP -2.8% (4.2%e), China mfg PMI 50.2 (50.5e) / non mfg 54.7 (50.5e) / comp 54.1 (48.4e), Australia private sector credit 9% (8.6%e), Japan housing starts -4.3% (1.6%e), Germany impt price index 30.6% (31.5%e) / ret sales 0.4% (-1.8%e), UK house px 10.7% (10.8%e), France CPI 6.5% as exp / cons spending -3.4% (-3.6%e), German emp change 133k (-5k exp) / unemp 5.3% (5%e), Italy unemp 8.1% (8.4%e), EU unemp 6.6% (6.8%e), Brazil unemp 9.8% (10.2%e), US PCE deflator 6.3% (6.4%e) / Core PCE 4.7% (4.8%e), US init claims 231k (230k exp), US Chicago PMI 56 (58e), S&P -0.9%; Fri: EU agreed to crypto regulation across the bloc, Biden backs change to filibuster to reinstate Roe, UCLA/USC leave PAC12 for Big10, Xi goes to HK to swear in new Chief Executive Lee, ECB’s Panetta warns EU parliament of risks of fragmentation, Japan jobless rate 2.6% (2.5%e), China Caixin PMI 51.7 (50.2e), EU mfg PMI 52.1 (52e), EU CPI 8.6% (8.5%e) / Core CPI 3.7% (3.9%e), Itay CPI 8.5% (7.9%e), US mfg PMI 52.7 (52.4e), US ISM mfg 53 (54.5e), S&P +1.1%.

 

Weekly Close: S&P 500 -2.2% and VIX -0.53 at +26.70. Nikkei -2.1%, Shanghai +1.1%, Euro Stoxx -1.4%, Bovespa +0.3%, MSCI World -2.8%, and MSCI Emerging -1.0%. USD rose +14.4% vs Ethereum, +9.5% vs Bitcoin, +3.9% vs South Africa, +2.5% vs Russia, +2.0% vs Sweden, +2.0% vs Mexico, +1.9% vs Australia, +1.7% vs Brazil, +1.5% vs Chile, +1.4% vs Sterling, +1.3% vs Euro, +0.9% vs India, +0.6% vs Indonesia, +0.2% vs China, and +0.1% vs Canada. USD fell -1.0% vs Turkey, and flat vs Yen. Gold -0.8%, Silver -6.2%, Oil +1.3%, Copper -3.5%, Iron Ore +4.8%, Corn -9.9%. 5y5y inflation swaps (EU -12bps at 2.05%, US -16bps at 2.43%, JP +16bps at 0.96%, and UK -9bps at 3.72%). 2yr Notes -23bps at 2.84% and 10yr Notes -25bps at 2.88%.

 

June Mthly Close: S&P 500 -8.4% and VIX +2.52 at +28.71. Nikkei -3.3%, Shanghai +6.7%, Euro Stoxx -8.2%, Bovespa -11.5%, MSCI World -8.8%, and MSCI Emerging -7.1%. USD rose +91.9% vs Ethereum, +66.0% vs Bitcoin, +11.5% vs Chile, +11.0% vs Brazil, +5.5% vs Yen, +4.7% vs Sweden, +4.1% vs South Africa, +4.0% vs Australia, +3.5% vs Sterling, +2.4% vs Euro, +2.3% vs Mexico, +2.2% vs Indonesia, +1.8% vs Turkey, +1.8% vs Canada, +1.7% vs India, and +0.4% vs China. USD fell -13.3% vs Russia. Gold -1.7%, Silver -6.4%, Oil -5.8%, Copper -14.3%, Iron Ore -7.1%, Corn -12.3%. 5y5y inflation swaps (EU -10bps at 2.06%, US -23bps at 2.42%, JP +2bps at 0.82%, and UK -16bps at 3.72%). 2yr Notes +40bps at 2.96% and 10yr Notes +17bps at 3.02%.

 

Q2 Quarterly Close: S&P 500 -16.4% and VIX +8.15 at +28.71. Nikkei -5.1%, Shanghai +4.5%, Euro Stoxx -10.7%, Bovespa -17.9%, MSCI World -16.6%, and MSCI Emerging -12.4%. USD rose +230.8% vs Ethereum, +145.2% vs Bitcoin, +16.8% vs Chile, +13.8% vs Turkey, +11.5% vs Yen, +11.4% vs South Africa, +10.9% vs Brazil, +8.8% vs Sweden, +8.4% vs Australia, +7.9% vs Sterling, +5.7% vs China, +5.6% vs Euro, +4.2% vs India, +3.8% vs Indonesia, +2.9% vs Canada, and +1.3% vs Mexico. USD fell -33.3% vs Russia. Gold -7.2%, Silver -19.4%, Oil +10.3%, Copper -22.2%, Iron Ore -7.9%, Corn -8.5%. 5y5y inflation swaps (EU -15bps at 2.06%, US -22bps at 2.42%, JP +27bps at 0.82%, and UK -29bps at 3.72%). 2yr Notes +62bps at 2.96% and 10yr Notes +68bps at 3.02%.

 

YTD Close (thru June 30th): S&P 500 -20.6% and VIX +11.49 at +28.71. Nikkei -8.3%, Shanghai -6.6%, Euro Stoxx -16.5%, Bovespa -6.0%, MSCI World -21.2%, and MSCI Emerging -18.8%. USD rose +272.9% vs Ethereum, +152.9% vs Bitcoin, +25.5% vs Turkey, +17.9% vs Yen, +12.9% vs Sweden, +11.1% vs Sterling, +8.5% vs Euro, +7.8% vs Chile, +6.2% vs India, +5.4% vs China, +5.2% vs Australia, +4.5% vs Indonesia, +2.1% vs South Africa, and +1.9% vs Canada. USD fell -27.9% vs Russia, -5.7% vs Brazil, and -2.0% vs Mexico. Gold -1.6%, Silver -13.7%, Oil +46.6%, Copper -17.0%, Iron Ore +38.1%, Corn +14.0%. 5y5y inflation swaps (EU +9bps at 2.06%, US -14bps at 2.42%, JP +38bps at 0.82%, and UK -21bps at 3.72%). 2yr Notes +222bps at 2.96% and 10yr Notes +150bps at 3.02%.

 

YTD Equity Indexes (high-to-low): UAE +10.1% priced in US dollars (+10.1% priced in dirham), Chile +5.8% priced in US dollars (+15.9% priced in pesos), Turkey +3.9% in dollars (+31.6% in lira), Saudi Arabia +2.2% (+2.1%), Portugal +0.2% (+9.7%), Brazil -1.3% (-5.6%), Indonesia -1.7% (+3.2%), Singapore -4.4% (-0.9%), Colombia -6.6% (-3.8%), HK -7.2% (-6.6%), Venezuela -7.6% (+11.1%), Mexico -9.7% (-10.4%), Thailand -11.2% (-5.1%), Argentina -11.7% (+7.8%), China -11.7% (-6.9%), Norway -12% (-0.5%), Canada -12.7% (-11.1%), Malaysia -12.7% (-7.5%), South Africa -13.5% (-11.1%), UK -13.6% (-2.9%), Spain -13.7% (-6.2%), India -14.3% (-9.2%), Greece -17.6% (-9.8%), Australia -18.1% (-12.2%), Israel -18.2% (-8.4%), Denmark -18.6% (-11.4%), S&P 500 -19.7%, Philippines -19.9% (-13.4%), Switzerland -20.5% (-16.4%), Czech Republic -21.2% (-14.6%), MSCI World -21.2%, Belgium -21.4% (-14%), Russia -22.6% (-41.7%), Russell -23.1%, Japan -23.3% (-9.9%), France -24.2% (-17.1%), Netherlands -24.9% (-17.8%), New Zealand -25.5% (-17.5%), Germany -25.8% (-19.3%), Finland -26.3% (-19.8%), Euro Stoxx 50 -26.7% (-19.8%), Taiwan -26.9% (-21.3%), Italy -28.2% (-21.9%), NASDAQ -28.9%, Korea -29.1% (-22.6%), Poland -30.6% (-22.9%), Ireland -31.6% (-25.2%), Austria -31.8% (-25.8%), Sweden -32.1% (-22.5%), Hungary -34.3% (-22.5%).

 

Anecdote (June 2016): “When I was in the third grade, I thought that I was gay, because I could draw, my uncle was, and I kept my room straight,” sang Teddy, exuberant, wild, dancing. “I told my mom, tears rushing down my face, and she’s like: Ben you’ve loved girls since before pre-K,” he cried out, hands high, our family singing ‘Same Love’ along with Macklemore, our favorite rapper, performing live. “Yeah, I guess she had a point, didn’t she? Bunch of stereotypes all in my head.” The concert was Mara’s idea. We obsess over Jackson’s lacrosse, Olivia’s water polo - dragging Teddy along, Charlie in tow. Teddy’s the artist, entertainer. Inspired, out there, awesome. “I remember doing the math like, ‘Yeah, I’m good at little league.’ A preconceived idea of what it all meant.” Raising kids is a miracle, their infinite potential revealed in flashes. We help them realize their full expression, they help us in turn, that’s the point of this ride. Teddy found his voice this year, fell in love with music. “The right-wing conservatives think it’s a decision, and you can be cured with some treatment and religion, man-made rewiring of a predisposition.” Teddy bounced, sang, those around him smiling, inspired by something sublime; passion revealed. “Playing God, oh no here we go, America the brave, still fears what we don’t know.” I grew up immersed in homophobia, anti-Semitism, polite racism. All things my kids scorn; can barely comprehend. My family now sings with straight rappers, advocating gay rights, human dignity, celebrating humanity’s diversity, individuality. This kind of social progress isn’t captured in economic statistics. Its value defies measure. Leading us onward, upward, inexorably. “And I can’t change, even if I tried, even if I wanted to,” we sang as one. Teddy dancing in his seat, going mental, seizing another little moment in his unfolding life. 

 

Good luck out there,

Eric Peters

Chief Investment Officer

One River Asset Management           

 

 

Disclaimer: All characters and events contained herein are entirely fictional. Even those things that appear based on real people and actual events are products of the author’s imagination. Any similarity is merely coincidental. The numbers are unreliable. The statistics too. Consequently, this message does not contain any investment recommendation, advice, or solicitation of any sort for any product, fund or service. The views expressed are strictly those of the author, even if often times they are not actually views held by the author, or directly contradict those views genuinely held by the author. And the views may certainly differ from those of any firm or person that the author may advise, drink with, or otherwise be associated with. Lastly, any inappropriate language, innuendo or dark humor contained herein is not specifically intended to offend the reader. And besides, nothing could possibly be more offensive than the real-life actions of the inept policy makers, corrupt elected leaders and short, paranoid dictators who infest our little planet. Yet we suffer their indignities every day. Oh yeah, past performance is not indicative of future returns.

 

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