All thoughts in Macro
Like my previous thread trying to find my next spot. Didn’t work out last time. To be clear I’m trying to make a move from AM to HF so totally get Im fighting Tyson with a dish cloth. My firm is not driven by performance, unfortunately (“shadow passive” and “PE owned”). Any thoughts on Macro in the platforms? How much directional risk can I take in absolute dv01 terms? How about turnover and execution?
I trade cross asset macro. My world view starts with commodities and FX. Run both quant and disc. Commo has generated bulk of PnL and there are embedded directional bets. Pnl would be better if I could use non D-1. I’m looking for a new home, my current seat comes with some advantages (ie I like the people I work with directly )
A few things:
- I have a good (1.5-2.0 sharpe for three years; 7% max dd in Y1 but 5 since) realised track in the AM space. I hate that it’s mixed with things im compelled to hold. GMV equivalent is just under 1b. Overall book size much larger. Not sure how to really get this “verified”?
- My background/pedigree is not exactly elite. I’ve taken on a lot in a short time. Part of why I want to leave is firm … bs, it’s not a performance culture. I appreciate I have a lot to learn.
- Opening this thread up more hoping for macro insights, seen a lot on Equity L/S, even if we have a banana republic, the ensuing vol will certainly open up ops for us
FWIW 60% of my PnL is in commodities. I’ve considered trying to push that, but felt like… a lot more pain than I’m in now.
TLDR: frustrated PM, good PnL, in AM so what to do?
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