VP February 2024 Global Macro Trading Discussion

This is the third of our new, more targeted market discussion calls. Each month, we plan to have separate calls centered around a) big picture, top of mind macro themes b) asset allocation c) global macro trade ideas and d) ad hoc single stock discussions.

A quick check-in on our YTD Global Macro trade ideas:

• Not much juice left in SOFR / USD trade from January: It's hard to price less cuts from the Fed this year, given the need to price in a probability of accidents/stress later in the year. There is still RV potential to shorting SONIA vs SOFR given our hawkish BoE policy regime model.
• Short THB as clean macro set-up: Thailand remains in outright disinflation, causing the THB to be the adjustment mechanism for low yields and the loss of tourism revenues.
• Indicators aligning for weaker CHF: Declining inflation LEIs remove the key restraint of the Swiss National Bank to let the currency depreciate.
• Other trades discussed: Long oil / energy, short CNHINR, long Canada 2y futures, long Mexico bonds, long China / Hang Seng, long volatility (collapsing S&P implied correlations), Aussie flatteners, long AUDNZD, short semiconductors.