2015 Trade Ideas | A Quick Evaluation

This a quick and dirty evaluation of 2015 trade ideas. The process is straight forward. Identify all posts tagged by "trade ideas" with a clear trade mentioned. Discard all trade ideas that cannot be evaluated without a proper pricing set up (like vol relative value or carry or even directional with large Vega or skew exposures). Evaluate the rest by the movement of the underlying market variable. Identify the movement in 1 week, 2-week etc. periods after the first time the idea was discussed. Identify the nature (long term or short term) from the context. Finally emphasize the PnL horizon which is relevant to the view (short term, ST is between 1 weeks to 1 month, long term between 1m to 1y).

 

The result is very good. Of course the caveats are:

 

1. It does not capture the PnL swings in between the look up points. That can either cause the trade to hit stop loss or target profit. Given most of this are macro (and hence without a clearly defined target level), the chances of hitting stop loss is skewed.
2. Does not include any vol, RV or carry or higher-order trades. It is a pain to price them, so evaluation.
3. No sizing is done, however since there are no major left tail PnL, accounting for sizing will not be adverse from a portfolio point of view.
4. No FX adjustment used for non-FX cross market trades.

   

					PnL (bps for rates or percentage points for FX and equities)
Date	Underlying market variable	View	Time Line	Entry	1W	2W	1M	3M	1Y
20-Jan-15	EUR 10y Swap Rate	Short	LT	71.6	-0.8	-0.3	-3.3	26.7	-9.9
04-Feb-15	EUR 30y Asset Swap Spread (Germany)	Long	ST	23.1	0.2	0.6	-5.6	-6.8	-2.7
04-Feb-15	USD vs. EUR 10y Swap Rate	Short	ST	-12.2	1.3	-0.1	0.2	-13.8	0.6
04-Feb-15	EUR HICP 0 Strike Floor	Short	ST	60.3	-1.2	8.9	42.9	52.0	36.3
04-Feb-15	EUR vs. DKK 5y Swap Spread	Short	ST	0.8	6.6	5.5	-10.4	-16.6	-34.0
23-Mar-15	USD 2s5s Swap Spread	Long	ST	70.9	2.6	0.6	1.6	19.7	-24.8
23-Mar-15	GBP vs. EUR 10y10y Spread	Short	LT	104.8	-12.1	-10.1	-27.8	54.3	74.6
09-Apr-15	USD vs. GBP 10s30s Spread	Long	LT	7.9	4.4	-0.8	12.2	15.6	17.4
09-Apr-15	USD vs. GBP 10y Swap Spread	Long	LT	36.1	-7.0	-12.1	-5.4	-5.9	-16.1
09-Apr-15	EUR 30y Swap Rate	Long	LT	85.1	-10.5	-4.2	46.4	82.0	40.7
09-Apr-15	USD vs. GBP 2s5s Spread	Short	LT	28.5	1.8	3.2	1.4	0.5	20.4
09-Apr-15	USD vs. EUR 5s30s Spread	Short	LT	25.0	-11.9	-3.9	9.9	24.0	45.8
02-Jul-15	AUD 5y Swap Rate	Short	LT	276.9	10.3	8.0	25.3	40.1	39.1
25-Aug-15	S&P 500	Long	ST	1867.6	2.5%	5.5%	3.4%	11.8%	1.4%
14-Sep-15	USD 5s10s Swap Spread	Short	LT	63.6	-1.5	1.1	1.2	12.1	13.6
23-Sep-15	EUR 2s5s10s Swap Fly	Short	LT	-31.2	0.4	-0.4	3.1	-2.7	4.6
17-Oct-15	USD 5y Inflation Breakeven Swap Rate	Long	LT	151.3	0.6	9.1	-4.6	-5.4	-5.4
11-Nov-15	EUR/USD	Long	ST	1.07	-0.8%	-1.1%	2.3%	1.6%	1.6%
30-Nov-15	EUR 5s30s Swap Spread	Short	ST	132.8	4.7	6.3	4.6	15.4	15.4
14-Dec-15	DXY USD Basket	Long	ST	97.60	0.8%	0.5%	1.5%	0.0	0.0
14-Dec-15	USD 5s30s Swap Spread	Long	ST	97.6	-6.4	-7.7	-0.6	-1.0	-1.0
14-Dec-15	S&P 500	Long	ST	2021.9	0.0%	2.8%	-5.0%	-0.1	-0.1