Recap : BAML FMS, Keynes’ FX Tradign Track Record


As experienced traders know, having an information edge alone is not enough to generate excess risk-adjusted returns. This paper claims that Keynes significantly underperformed some simple systematic FX strategies despite his intellect and information advantage:

The BAML Monthly Fund Manager Survey this month was especially interesting. It appears support my hypothesis that people have been reducing equities exposure via building up cash & taking out protection due to worries over geopolitics and potentially valuation: (or it may just be confirmation bias at work!)

Enthusiasm over small caps are also fairly extreme (an probably misplaced at this juncture, IMO)


  • German Zew expectations component dropped to 46.6 vs 52 exp and 55.7 prev. The expectations survey is now below the current situation survey for the first time since
  • US CPI declined to 1.1% vs 1.2% exp and 1.6% prev. The Core measure was stable at 1.6% as exp, but continued to reflect the divergence between core goods vs services inflation:

  • US Housing Starts improved to 907k vs 910k exp and 880k prev
  • RBA Minutes:
  1. While the labour market remained weak, forward-looking indicators of labour demand appeared to have stabilised.
  2. The Board would continue to examine the data over the period ahead, with members noting that, if the economy was to evolve broadly as expected, then the most prudent course was likely to be a period of stability in interest rates

Food prices are estimated to increase ~3.5% this year, the biggest jump in three years. For the US most of the increase is coming as a result of higher dairy and meat prices. WSJ

Upcoming Data:

  • Wed: UK Employment, FOMC, Yellen Press Conference, NZ GDP
  • Thu: US Jobless Claims, Philly Fed, Existing Home Sales
  • Fri: Canada Retail Sales, CPI, EU Consumer Confidence
  • Weekend: Kuroda Speaks, China Markit Flash PMI
  • Mon: EU PMI, US Markit Prelim PMI