Keith GrindlayPerformance


In 2016, we took Macro Thoughts out of Mako Financial to set up Macro Thoughts Ltd. First half of the year recommended and traded strategies included:

  • US 10 year yields to fall to a record 1.35%
  • Bank of Japan to rate cut rates, buying EY futures and Call options at 3 tics and achieving 25+ tic profit
  • Reserve Bank of Australia rate cut, achieving 25+ tic profit

Macro Thoughts forecast weak US Growth leading to lower yields, political and economic risks from Brexit, the US Presidential election and political changes in Europe, and provided investment strategies and hedging which included…

For Brexit:

  • Forex Hedging – GBPUSD Puts reference 1.49 (Put Spread 1.45/1.35), profits taken at 1.32
  • Inflation – Buy GBP 10 year Breakeven 2.36 – Profit taken at 3.18
  • Curve steepener 2y5y swaps, 13bp &18bp, incl. fwd starting and swaptions – Profit achieved 34bp
  • Sell 2yr Gilts at 0.10%, profit 0.34%

European political volatility:

Relative Value

  • Sell Italy 10yr / Buy Spain 10yr bonds, spread of -5bp, (Final Profit +47bp)
  • Sell France / Buy Germany 10yr bonds
  • Sell US / Buy Germany 10yr bonds
  • Buy Germany 2 year Schatz outright, basis swap and via options to hedge political and banking liquidity uncertainty