Day Trading & Forex Forum

Martinghoul

Has anyone here ever examined/traded the month-end rebalancing strategy? I mean trying to front-run the passive equity portfolio hedging flows in FX? I've been looking at it in the last few days and there may be something in it.

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GammaJammer

Into murky waters here mate - it's hard even for people sitting here with all the tools to guess which side it's gonna be on. Even if it were only passive equity flow, you would need to know stuff about the composition of that market - i.e. proportion of europeans hedging vs british funds vs US funds etc, plus the makeup of the mandates that we're talking about.

But even if you knew ALL this, you still wouldn't know anything about one off inflows and outflows for other reason (pension redemptions, mandate changes, all sorts of stuff). Plus you would also need to have a view on what proportion of 'passive' money is rebalanced at month end (vs more frequent rebalancing on either a time or a drift basis).

Maybe PM me if you have questions and I can try to help (although you sound like you don't really need my help mate).

GJ

p.s. that said, obviously the talk today is USD buying, but that's the talk most months these days.

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Martinghoul

I PM'd you...

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"Insofar as I may be heard by anything, which may or may not care what I say, I ask, if it matters, that you be forgiven for anything you may have done or failed to do which requires forgiveness."