#82 USD strengthens further

India GDP disappoints, Basketball World Cup begins

Issued by Labis Michalopoulos, CFA

mail: labis@quantomental.com



The last week’s call to go long EUR failed miserably. EURUSD and EURJPY are at a two year low, testing the levels that prevailed when Emmanuel Macron won the French Presidential Elections on 2017. Keeping my ground and supporting the long EUR trades seems prudent, as the viewpoint that EUR is the most trustworthy currency to support a fiscal expansion, has not changed. Nevertheless, the rhythm of the upcoming macro releases [with the US unit labor cost expected higher, the US non farm payrolls expected robust, the European manufacturing PMI and retail sales expected to further disappoint] dictates to not take additional long EUR trades.

Major events of last week:

  • USA-China: China is set to impose new 5% tax on US crude. A new round of face-to-face negotiation can take place within the beginning of September, as it was quoted by President Trump, on Monday, at the G7 summit. Nevertheless, the workweek ended with no concrete news on that front.
  • USA-Japan: At the G7 summit it has been announced that a trade deal that would cover agriculture, digital trade and autos will be signed within the end of September. Yet, Japan insists that before any deal, the threat of new tariffs on autos, should be lifted first.
  • South Korea-Japan: South Korea performed two-day drills at disputed areas with Japan. South Korea is no longer included in the list of favored trading partners with Japan.
  • EU-USA: A consensus seems to have been reached regarding the French tax on tech giants.
  • EU politics: Italy will not head to elections, as the 5 star movement and the center-right Democratic party formed a new government. The protests around the UK against Boris Johnson’s prorogation of parliament, do not seem to have the critical size that could change the game.

  • Protests: Protests in Hong Kong continue for the 13th week. This time around, police has banned the applications made for the rallies and has already detained key protesters.
  • Cryptos: Total market cap decreased this week by 6% and stands at $248bn. (-32% from the 2019 high, -70% from the all time high). Latest drop has most probably been fueled from Vitalik Buterin’s concerns, published on the 19th of August and referenced in a Bloomberg article last Monday, that there is a scale-ability bottleneck at the Ethereum blockchain.

Major events of next week:

  • Tomorrow, state elections will take place in Saxony and Branderburg in Germany. The anti-EU, anti-immigration party “Alternative for Germany”, has legitimate chances of winning.
  • Monday is a bank holiday in the USA and Canada.
  • Monetary meeting of the Central Bank of Australia (RBA) is scheduled on Tuesday and the Bank of Canada meets on Wednesday. No rate change is expected.
  • Greece gets rid of the capital controls imposed on 2015.


Issued by Labis Michalopoulos, CFA




For the readers of the report:

Redistribution is allowed as long as the author and his contact details are referenced.

This material is for Qualified Investors and Professional Clients only and should not be relied upon by any other person.

Past performance or past accurate forecasts is not a guide to future performance and the accuracy of future forecasts and should not be the sole factor of consideration. All financial investment decisions involve an element of risk.

This report is for information purposes only and does not constitute an offer or invitation to anyone to invest or trade and has not been prepared in connection with any such offer.

Any research in this document has been independently produced by Labis Michalopoulos, CFA for his own purpose, and is intentionally written in first person. The views expressed do not constitute investment or any other advice and are subject to change. The author has an interest in the currency pairs, indexes and any other security disclosed in this report, as he is an active trader.Reliance upon information in this material is at the sole discretion of the reader.

For qualified perspective clients of the advisory service:

GIPS standards are all about full, fair, consistent and comparable presentation of actual returns of the past. No models, no back-testing, no promises. I am doing that. I am publishing in real time, via a 3rd party, my actual returns since inception where one can see the most strict, comparable, revealing metric of the industry: the monthly Sharpe ratio.

My current monthly Sharpe ratio stands at 0.27 as can be found at www.forexfactory.com/dxmix

My current annual Sharpe ratio is 0.27 multiplied by 12 = 0.27 x 3.46=0.93 Annual Sharpe Ratio

The numbers used to stand at 0.5 monthly Sharpe ratio and 1.73 annual Sharpe ratio up until the August of 2019 for 45 consecutive months. On 24 August 2018, I mistakenly ordered to open a position 10 times bigger that I am used to. My equity level is currently back on track, but my statistics are no longer as impressive as they used to be. My 54 months, since inception, monthly Sharpe Ratio (that includes the leveraged AUDUSD trade) stands at 0.27, equal to 0.93 Annual Sharpe Ratio.

I cannot claim that I will be performing with the return of my best months, but I can tell that I will hover around my average returns. Claiming with a 95% confidence, that my next month* return will be within my average monthly return ± 2 standard deviations is a well educated statement I can make anytime.

My average monthly* return ± 2 standard deviations is from -16.54% up to 20.49%

My average monthly* return ± 2 stadard deviations becomes -5.74% up to 9.47% , excluding the 4 months effect of the one time mistake trade.

* the monthly returns are the actual returns within a month. They are not presented on annualized basis.

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