Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

HK Type 4 license through Ballingal Investment Advisors Ltd. ("BIA" or "BIAL")

BACKGROUND
I have 20+yrs experience in Asia doing alternative strategies (i.e. non-delta1 non long-only) in fixed income, equity derivatives, and activist/catalyst/event-driven and long-short equity strategies with most of that time spent managing money. 

4 years in fixed income macro, 8 years running internal hedge fund and 4yrs investment banking at Citi in Japan, 3 years running an Asia multi-strat portfolio at a hedge fund, 4+yrs as an independent special situations analyst.

Pan-Asia Catalysts/Events

Thematic (Sector/Industry)

United states Energy / Thematic (Sector/Industry)

This is the start of a short series of thought pieces related to crude oil.&nbsp;This first one is a quick-and-dirty model for looking at swings in oil prices over time. It does pretty well. Average 6-month return is 25%.It is based on work I first did close to 20yrs ago&nbsp;after I first read <a href="http://danielyergin.com/the-author/" target="_blank">Daniel Yergin</a>'s The Prize: The Epic Quest for Oil, Money and Power -&nbsp;a sine qua non read on understanding crude markets and history.It is - no pun intended - a crude model, and because it is difficult to find daily data from more than 30 years back, the trading model only has a few dozen samples. &nbsp;In brief, the model observes a short-term moving average on the price of oil (say 10 days) against a longer-term moving average (say 200d), and buys oil when the short-term moving average is more than 20% below the long-term moving average.&nbsp;WHY? This sounds like a simple moving average model (and indeed it is) but there is a good fundamental reason for this. For many years, US crude expenditures were said to have a long-term average of "about 5% of GDP." Sure enough, recent data suggests that for the last 40 years that would about the case. So... a&nbsp;20% move would reduce the cost side of GDP by 1%.&nbsp;&nbsp;That seems enough to care about, and it is simple.HOW? The simple model I present&nbsp;assumes that once you enter into a cycle, you don't buy every day but you buy once, then if you are still at a ratio below 80%&nbsp;21 trading days (about one month) later, then you buy again, and so on. And you hold each trade for 6 months.&nbsp;RESULTS? For the 32 years for which I have daily data of oil prices, it has traded 35 times (only 30 have 6mo results - none so far this downturn (but all four of the trades put on this cycle in the "Right Model" are up as of 15 April close).<ul><li>25 wins, 5 losses</li><li>Average win is 32%, average loss is 7.6%. Average return is 25%.</li></ul>NOW WHAT?&nbsp;The 'Right Model' will trade starting April 17 2015.&nbsp;The Basic&nbsp;Model will trade/buy if the average of WTI and Brent on April 17 2015 is below about $59.40.&nbsp;&nbsp;

This is the start of a short series of thought pieces related to crude oil.&nbsp;This first one is a quick-and-dirty model for looking at swings in oil prices over time. It does pretty well. Average 6-month return is 25%.It is based on work I first did close to 20yrs ago&nbsp;after I first read Daniel Yergin's The Prize: The Epic Quest for Oil, Money and Power -&nbsp;a sine qua non read on understanding crude markets and history.It is - no pun intended - a crude model, and because it is difficult to find daily data from more than 30 years back, the trading model only has a few dozen samples. &nbsp;In brief, the model observes a short-term moving average on the price of oil (say 10 days) against a longer-term moving average (say 200d), and buys oil when the short-term moving average is more than 20% below the long-term moving average.&nbsp;WHY? This sounds like a simple moving average model (and indeed it is) but there is a good fundamental reason for this. For many years, US crude expenditures were said to have a long-term average of "about 5% of GDP." Sure enough, recent data suggests that for the last 40 years that would about the case. So... a&nbsp;20% move would reduce the cost side of GDP by 1%.&nbsp;&nbsp;That seems enough to care about, and it is simple.HOW? The simple model I present&nbsp;assumes that once you enter into a cycle, you don't buy every day but you buy once, then if you are still at a ratio below 80%&nbsp;21 trading days (about one month) later, then you buy again, and so on. And you hold each trade for 6 months.&nbsp;RESULTS? For the 32 years for which I have daily data of oil prices, it has traded 35 times (only 30 have 6mo results - none so far this downturn (but all four of the trades put on this cycle in the "Right Model" are up as of 15 April close).25 wins, 5 lossesAverage win is 32%, average loss is 7.6%. Average return is 25%.NOW WHAT?&nbsp;The 'Right Model' will trade starting April 17 2015.&nbsp;The Basic&nbsp;Model will trade/buy if the average of WTI and Brent on April 17 2015 is below about $59.40.&nbsp;&nbsp;

Bubblin' Crude, Black Gold, Texas Tea - A Model for Buying The Dip