Macro Risk Advisors
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Derivatives Strategy & Market Intelligence
Since launching our effort in April 2008, we have published on a variety of investment themes. Among the topics we have examined: global inflation trends, volatility pairs trades, Fed policy, hedge fund correlation, and the underpinnings of equity volatility. Please see the links below for our archive of previous work. Throughout 2008, we have been bearish on equity market fundamentals and bullish on equity volatility.
Our view has been that the deterioration of credit market fundamentals along with the severe headwinds facing the US consumer were setting the stage for protracted period of economic weakness and substantially higher equity volatility. We expected the VIX to rise substantially (though not to 80!) as it hovered around 20 throughout the summer. Our strategy effort is designed to be flexible and actionable and to help clients achieve better returns.

In a market where uncertainty is high, we help assess the relative merits of investment decisions by examining "risk" in its many forms. We bring our understanding of the risk profiles of various asset classes - and the manner in which they interact - to provide insights that clients can utilize to better navigate the macro investment landscape.

Our effort is a constant work in progress and we welcome feedback on ways we can enhance our product to be of maximum value for our clients.
  Strategy Archive
03/11/09 - Using Volatility Products to Control Risk
12/01/08 - The Kitchen Sink... But is it Enough?
11/12/08 - Theta...It's the (Cheap) Rent on Gamma
11/03/08 - Volatility Forecast Survey
10/23/08 - Big Moves Matter Most
10/17/08 - The Dawn of Electronic Option Trading

09/29/08 - Long/Short Equity and IWM Puts

09/22/08 - Value Stock, II


Previous Strategy Pieces
4/14/08 - 2008 Volatility Survey
4/21/08 - Storm Chasing...
4/28/08 - Bond Market on TiLT
05/5/08 - Value Stock
5/12/08 - Thoughts on Equity Correlation
5/19/08 - Long Short Equity and IWM Volatility
5/26/08 - Anecdotes on the Consumer...Not Pretty
06/2/08 - The Fed as a Risk Factor
06/9/08 - TGT / WMT Volatility Pairs Trade
6/16/08 - XLF Realized & Implied Correlation Summary
6/23/08 - Central Bank Synchronicity
6/30/08 - Earnings & the Flat Termstructure of Volatility
07/7/08 - Binary Options on the VIX
7/14/08 - Implied Earnings Moves in Financials
7/21/08 - Financials...What Next?
7/30/08 - Financials...Buy Puts (and Calls)
8/12/08 - LTCM Ten Years Later
8/22/08 - Ten Macro Indicators
09/5/08 - RTOV (Random Thoughts on Vol)
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