Results of last week's survey are in. We added commodities to the asset universe and removed the EUR because it frequently led to confusion regarding the quote currency and also some contradictory results in terms of EUR/USD vs DXY.
So, first week for commodities and they already make up 12% in the RealVision Exchange portfolio. What a start!
GO TO THE DASHBOARD FOR INTERACTIVE WIZARDRY
Executive Summary
1. Market View and Sentiment
Short term very positive for commodities and bitcoin as well as EM equities. Gold with negative sentiment short term but positive on the 3 months horizon. Interest to see that 10Y Treasury yields are expected to fall. At the moment they are rising and rising but looks like the view is in line with RealVision and participants have placed their bets on buying Calls on TLT.
Europe is...in lockdown. I can understand your negative sentiment and I get why it's equally negative on 1m and 3m horizons.
2. Positioning
Definitely more long term oriented and very much the same as last week. More or less aligned with sentiment except gold. Also vol is not en vogue after VIX keeps falling and falling, despite the expectation that there might be a spike in the next 1-3m. Understandable as the Exchange was long VIX two weeks ago and lost on that trade. Including commodities was the right choice, a lot of long positions here (I know it's tricky for the spread traders...sorry guys)
I think it's fair to say that this is the risk-off + reflation trade portfolio of the Exchange. I like it
The Bot has a very similar view on some equities, commodities and gold. Volatility is heavily discussed in the interviews so it gets a larger share. Euro got kicked out in both portfolios, but it might appear with a near zero weight in some charts. In the historical charts it will of course remain visible.
Bot vs Exchange Portfolio: Exchange is far ahead. Really great call increasing the Bitcoin allocation last week. I'm not sure if the Bot will gain any ground with that large VIX allocation, that has been a drag for some time...let's hope bitcoin will at least pay for that premium.
3. Emotions
Quite some negative emotions in the interviews currently compared to last year. While VIX is low, fear remains elevated.
If you do not want to bookmark all the links, the easiest way is to follow me on the Exchange or the Bot on Twitterso you are up to date. Or bookmark his website, where you can find all the relevant links: www.realvisionbot.com
If you are looking to do your own analysis with the numbers on the Bot's dashboard, you can download the values in each chart as a csv by clicking the little gear box that's at the top right of each chart.
Thank you for your participation! Feel free to contact me if you have any questions!
#happytrading
RealVisionBot & Moritz & Moritz (twoquants.com)
@Christopher Moir Where are you this week? :D
I need to be careful now....
Many after all my posts since September have come to my 1M lower side of the boat for gold, it appears I am still on my lonesome -5% 3M view.
Another couple of months maybe and I will be selling my kids to buy more gold on that sentiment shift ;)
Hmm I am on my lonesome of lower gold and lower VIX but that isn't me on lower BTC and lower CRB....
Thanks @Moritz Heiden ! The 1m vs 3m bipolar sentiment swing in gold is pretty crazy.. but then again that (in reverse) is how I’ve been answering my 1m & 3m view on SPX for the past... entire time this survey has been going on. SPX 1m ↑ < 5%, 3m ↓ >5% (>10% in my mind), but for now, staying long SPX. Thats called paranoia performance lol
I think you are right, 3m view was always very bearish. I usually only look at the 1m and take 3m into account if there is a deviation in sign between both. So kind of the "disagreement" story again. Often it's interesting to ask why that happens. I would say in the current scenario being bearish on the 3m is the "natural hedge"