Below is a chart and brief excerpt from today's Early Look written by Hedgeye CEO Keith McCullough.
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What’s consensus macro positioning? A) Long of US Dollars Whether you knew that or not doesn’t matter. That’s what consensus (non-commercial) futures & options positioning was as of last week. We measure and map these in ROC (rate of change) terms religiously. Why use a 1-year z-score, or the number of standard deviations from the mean, for the position relative to itself? That’s easy: because it back-tests. Once something is plus or minus 2.0 on a 1-year look back, it’s time to consider fading the crowd. |
