Global Macro Portfolio

Inspired by of the long term trading strategies of Brad McFadden.

Global Macro Portfolio seeks

Long term capital growth from global capital movements.
Outperform major equity markets
Lower volatility than major equity markets

Portfolio Performance

Global Macro Strategy Equity Curve

Observations

  • Global Macro Portfolio continues to meet investment aims
  • Strong performance in Stocks and Bonds
  • Mixed performance in Commodities and Currencies

Potential Optimisations

  • Strategy does not perform well in sideways markets (where there is no one dominant long term trend).
  • Strategy suffers significant position churn when price does not trend away from 200 Simple Moving Average.

Trading Strategy

  1. Invest in underlying instruments – no options or warrants
  2. Single indicator – 200 Day Simple Moving Average (SMA)
  3. Buy when price moves above 200 Day SMA
  4. Sell when price moves below 200 Day SMA

Instruments used

Market ETF’s, no individual stocks

  • Stocks
    • IEM – iShares Russell 2000 ETF
    • EEM – iShares MSCI Emerging Markets ETF
    • XLU – SPDR Utilites Selector Fund
    • IYR – iShares U.S. Real Estate ETF
  • Bonds
    • TLT – iShares 20+ Year Treasury Bond ETF
    • JNK – SPDR Barclays High Yield Bond ETF
    • SHY – iShares 1-3 Year Treasury Bond ETF
  • Commodities
    • GLD – SPDR Gold Trust
    • SLV – iShares Silver Trust
    • DBB – PowerShares DB Base Metals Fund
    • DBC – PowerShares DB Commodity Index Tracking Fund
  • Currencies
    • UUP – Powershares DB US Dollar Index Bullish Fund
    • DBV – PowerShares DB G10 Currency Harvest Fund

Equity Performance

IWM - iShares Russell 2000 ETF

EEM - iShares MSCI Emerging Markets ETF

XLU - SPDR Utilites Selector Fund

IYR - iShares U.S. Real Estate ETF

Bond Performance

TLT - iShares 20+ Year Treasury Bond ETF

JNK - SPDR Barclays High Yield Bond ETF

SHY - iShares 1-3 Year Treasury Bond ETF

Commodity Performance

GLD - SPDR Gold Trust

SLV - iShares Silver Trust

DBB - PowerShares DB Base Metals Fund

DBC - PowerShares DB Commodity Index Tracking Fund

Currency Performance

UUP - Powershares DB US Dollar Index Bullish Fund

DBV - PowerShares DB G10 Currency Harvest Fund

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Options premium

When you look at the premium for an option (how much it is trading at now), you should break the price up into two components. Intrinsic value and Time value. Intrinsic value is what the option would be worth if it had to be executed now. If the option is In The Money, then it will have an Intrinsic value. If the option is Out of the Money, it will not have an intrinsic value, only Time Value. Time value is what option buyers are prepared to pay for the option, over and above any Intrinsic value. They may pay …

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Started coding Turtle trading routine

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