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Volatility SP500<\/strong><\/p>\n Source : Investing.com<\/em><\/p>\n <\/p>\n The wake-up call was serious enough for the likes of Jeremy Siegel, the ever-optimistic Wharton professor, to call on the FED to immediately cut rates by 75bps and to start again in September.\u00a0With the SP500 still up +8%, it is unlikely that he will be heard, but this shows that the passive management community has been shaken<\/strong><\/u>\u00a0- Siegel is advising WisdomTree, a major player in the sector.<\/p>\n <\/p>\n As for the reasons for the movement, the catalyst - a rate rise by the Bank of Japan, US figures confirming the recession, geopolitical tensions - is of little importance. Time will tell, but we can already make a few observations:<\/p>\n 1\/\u00a0There's a lot of leverage in the system<\/strong><\/u>\u00a0- Monday's movement on the Nikkei was the biggest for 40 years.<\/p>\n 2\/ Bitcoin took a monumental beating on Monday. This means that traders who were selling the Nikkei were also selling Bitcoin.\u00a0So it is not a safe haven but a speculative asset.<\/strong><\/u>\u00a0No problem with that, just make sure you put the right labels on the right jars.<\/p>\n 3\/ The market rallied yesterday, but the risk episode will give operators pause for thought. Risk management departments will be re-running their models, and the new results will no doubt point to a reduction in the size of the market.\u00a0If the conclusion is the same everywhere, the next few weeks will continue to see high volatility.<\/strong><\/u>.<\/p>\n 4\/ One of the forces contributing to the reduced volatility noted at the start of this email was the rise of 0DTE or 'Zero-Day-To-Expiration' options. These new instruments proved totally dysfunctional, with market-makers refusing to quote prices on these products on Monday.\u00a0This will undoubtedly have repercussions, with limits on the use of these products and greater volatility.<\/strong><\/u><\/p>\n <\/p>\n In the end, this coup-de-calendar shows that\u00a0the market is far from being the well-oiled machine that some people were selling it to be.<\/strong><\/u>\u00a0Unfortunately, it comes at a time when the \"soft landing\" scenario is taking a beating and the \"rescue by Mag7s and AI\" scenario is taking a beating - we have just learned that Buffett has just sold half of his line in Apple at the end of June.<\/p>\n <\/p>\n As Fr\u00e9d\u00e9ric Dard titled his fifth opus: \"Du mouron \u00e0 se faire\" (\"A lot to worry about\").<\/p>\n Over the week from 26 July to 2 August, the fund lost -1.5%, while the CAC40 lost -3.5% and the S&P 500 -2.1%.<\/p>\n All our equity lines were in the red this week. LVMH, the fund's largest holding, was the main detractor this week, down 40bps.<\/p>\n Our position in US long rates and our S&P 500 short (via options) partially offset our equity exposure, each yielding 10bps.<\/p>\n As for the results, Tidewater published them last night. Dayrates continue to break records and the cycle to unfold. However, guidance has been tightened, a subject we will be watching closely at this afternoon's conference call.<\/p>\n We can expect to see a number of other publications from our companies this week, including Duolingo (2% of the fund). Beware, in this type of market a publication with a hair out of place can lead to severe corrections, so it's best to be prepared. Luis von Ahn, the founder, is very good at Duolingo's business and AI, so it's a good long-term bet. Now, it could lose an arm tomorrow because the market didn't like this or that figure. Something to bear in mind.<\/p>\n <\/p>\n Steinhardt method act 2 this week. We cut MARR and took advantage of Lamb Weston's rebound to sell off our position. Two changes have been made to our put options. First, we put a ladle back on Costco. Secondly, we took advantage of the rise in volatility to sell S&P 500 puts: we got a 400-point put spread for free.<\/p>\n We end the week with a gross equity exposure of 27% and a net exposure of 23%.<\/p>\n <\/p>\n Solution to the ant (fourmis) game: two ways to solve it.<\/p>\n The \"B\u00e9rurier\" method involves making all possible scenarios: with three ants each having two choices, we have 8 possible configurations. If A is anticlockwise and C is clockwise, the configurations are AAA, AAC, ACA, ACC, CAA, CAC, CCA & CCC. Of these 8, only 2 are useful to us. AAA and CCC. 2 out of 8 are equivalent to \u00bc or 0.25, or 25%.<\/p>\n The \"San Antonio\" method is to make a tree. I start with ant 1 (fourmi 1), which can go either clockwise (A) or anti-clockwise (C). I draw the two possibilities for this ant. At each end, I draw the possibilities for the next ant. In the end, only the scenarios where the ants go in the same direction - AAA and CCC - work, either 2 out of 8 or 25%.<\/p>\n Note that this tree model - here basic - is useful for valuing options and structured products because it allows you to visualise what is happening and calculate the probabilities of events - we'll talk more about this in our seminar on structured products, which has been postponed because of the hassle...<\/p>\n <\/p>\n *\u00a0Les Pr\u00e9dictions de Nostrab\u00e9rus,<\/em>\u00a0San Antonio n\u00b083<\/p>\n <\/p>\n Have a good week,<\/p>\n Charles<\/p>","protected":false},"excerpt":{"rendered":" \u00ab\u00a0Pinuche est en train de tr\u00e9pigner des cellules grises, r\u00e9v\u00e8le le Dodu : figure-toi que cette vieille loque fait des mots \u00e9cras\u00e9s pour un concours dont \u00e0 propos…<\/p>","protected":false},"author":8,"featured_media":4830,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"inline_featured_image":false,"footnotes":""},"categories":[1],"tags":[],"class_list":["post-4828","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-le-billet-de-monocle"],"acf":[],"yoast_head":"\n![\"\"](\"https:\/\/monocle.lu\/wp-content\/uploads\/2024\/08\/SP500-US-graph.png\")
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Market and portfolio focus<\/strong><\/h2>\n
Portfolio<\/strong><\/h3>\n
Our lines<\/h3>\n
\nAt the same time, we replaced part of our Lululemon line with Nike, with 2% on each line.<\/p>\n\u00ab\u00a0Creusez vos m\u00e9ninges\u00a0\u00bb<\/h3>\n
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