George Robertson Profile picture
Expert in fixed income, equity, and their derivatives. Started at Liars Poker Salomon, last job as head of long duration (US Treasurys) for MSIM.
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Jul 19 7 tweets 2 min read
Ok. Markets and election. Seems to me that this election is not a watershed moment. Yes Thiel macro/tax policy is worth a couple hundred on SP500. (Should be noted Trump never had a strategic thought in his life - is all Thiel). But even the current RNC venality limits. So I think the election market impact is now unlike in 2016. So what is the big driver now? It is and has been the general realization that Neo Wicksell Woodford does not work and since 2014 there is no data tabulated ex post that shows it ever worked.
Jul 18 8 tweets 2 min read
In last 5 sessions NVDA down about 12% while SPX down 3/4%. And R2K up 10%. JPM up 5%. Obviously this market has little to do with AI or chips. So what is driving this market? Fed absence and still ongoing fiscal spend. And the lack of Fed presence, lack of any sign of Fed tightness or "restrictive" monetary policy and if anything is still at ease - this is yet to be fully priced. That alone will generate another 20% up in equity.
Jul 15 6 tweets 1 min read
There are two factors that define the US Treasury yield curve now:
1) it is curated YCC by the Fed and is disconnected from macro and even monetary economics
2) US Treas 10y is via this YCC about 1% lower in yield than it should be if pricing US economic economy 3) the Fed, likely led by Williams NY Fed, is also experimenting by imposing a low US Treasury rate in long end so as to signal the effectiveness in Fed so called "restrictive" policy and yet also to set a lower than term structure "natural rate" a la Wicksell for entire curve.
Jul 11 9 tweets 2 min read
By 1986 I've was running the largest US Treasury hedge fund book. In 1997 to 2002 was co head of the largest deriv book for the largest estate. I started my own hedge fund and shut it down in failure in 2006. Into GFC ran the US Treasury long duration biz for MSIM. I was on the investment committee for the MSIM mortgage book but was unheeded. And much more. I had no grad degree and my major was history long long ago. All my knowledge is from experience and years of 24/7 terror reading all night as thought the then Russians from Ukraine
Jul 8 4 tweets 2 min read
a tale of two very different economies as reflected in 10 year rates: US risk free 10 year; US Treasury 10 year market rate.
so, which is right?
@nickgiva1 @FedGuy12

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Woodford in 2012:
"If the Fed can affect, say long-term treasuries because that market is segmented, cut off from, say, mortgage markets, practically ipso facto changing long term treasuries won't spill over into markets you care about such as mortgages"
May 26 11 tweets 2 min read
1) the supply in general of risk free does not effect the pricing of risk free - just pause for a second and see how idiotic it is to think risk free can be altered in price given the supply of risk free. 2) whether the supply of risk free takes place in nothing but T Bills or nothing but 30 year bonds, that price will have nothing to do with that decision and is the same price adjusted for time for all maturities. otherwise how can it be risk free?
May 18 21 tweets 4 min read
I try hard to find common ground with @nickgiva1 in the latest @JackFarley96 podcast, in terms of shared thesis - but I cannot. One would think we could as were at Sali same time (me two years earlier) and would know the same - Coates, Dato, White, Vorte, and my boss Carp ..prior to Sali firing me as I tried to manhandle a trader on 41 down onto 40 and speak sense to him in the stair case. Then he would know my later boss Mulheren and he would know about the 9 1/4 squeeze. He would know how screwed Jacobson and Corizine were on the 9 1/4.
Apr 10 5 tweets 1 min read
Strange how the pragmatic factual No Fed stance - which I think is impossible to refute with data - stirs some up. It seems to be a sorta inverse function - the more angry the more, deep down, they k now they are full of shit going on and on about the Fed this or that. I say the window is closing now, either you start to savage the Fed and save your career or you will go down with the Fed. Didn't last weeks Fed cacophony scare the heck out of you being a fellow traveler of the Fed?
Apr 5 4 tweets 2 min read
suspect the 2:00 PM move was the Fed leaked NFP so as to buttress the idea might not cut Fed Funds until late this year - "Bostic Plan".
this goes on and on yet there is no signs that Fed Funds impacts NGDP nor employment for a decade now.
Period of ZLB depressive Image note the year over year at SA at 2,927 new jobs or a 1.9% increase. that is 2% add to real NGDP, productivity is also up so that makes real about 3% rolling year over year. extremely strong economy in context of last decade plus.
Mar 5 10 tweets 4 min read
Wholesalers inventories and sales should be given more attention. The usual way is to see inventory levels is to glance at the levels for inventory size and then to the wholesalers sales.
Note how noisy the NSA sales number is compared to the inventory levels.
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This is because wholesalers data is forward looking, anticipating sales for the upcoming year. This level decision is heavily influenced by the popular meme which in turn is defined by the Federal Reserve forward guidance.
Mar 3 7 tweets 2 min read
What is the curve, the schedule of rate given maturity, for risk free in the US.
How is the US Treasury curve the same or approximate to the risk free curve - when it is so and when not.
How is the US Treasury 10 year rate determined?
This is the main problem now. Every media and analysis I here do not understand this but for two - @crossbordercap or The Monetary Frontier. Everyone else is in error be it Bloomberg economics to NYT to WSJ to NY Fed to....and so on.
Feb 28 13 tweets 3 min read
Going forward all pundits etc to make the turn and survive (@LynAldenContact @dampedspring @BobEUnlimited @JeffSnider_EDU @crossbordercap @JackFarley96 @stevehouf @AnnaEconomist @FedGuy12 ..and others) must make the following changes: 1) bring all analysis start and end to spot duration, leave the Fed forward space to the Fed;
2) define a risk free curve for the US - which is not currently the US Treasury curve;
3) in process of #2 define a US 10 year risk free rate which is now not the US Teas 10 year;
Feb 20 6 tweets 2 min read
To be able to have reasonable forward view now, must understand how the economy is evolving since the massive fiscal stimulus starting with covid made Personal Consumption the main factor, must consider Personal Consumption Expenditure first. Image Note the year over year % change is in excess of per covid, and the annual change in level is around 1 trillion a year.
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Feb 11 7 tweets 1 min read
Should be kept in mind that SP500 is only a few ricks above the 2021 high, yet NGDP has expanded an additional 3 trillion since that point. Throughout 2022 and parts of 2023 the markets latched onto a monetary cycle meme that expected the opposite. Therefore SP500 should further break free of this error of Fed monetary cycling and reflect not only that 3 trillion NGDP growth from Jan 2022, but also anticipate likely more NGDP growth. 6000? 7000?
Jan 29 9 tweets 2 min read
as I babble about QRA - what experience or knowledge do I have to allow me to say such outrageous things? In later half of 1980s I was in a meeting with E Craig (Sali) and my boss at the time John to discuss the upcoming QR.
It went like this. "John we will fund all the US Treasurys you wish to buy along with us in the auctions" turning to me, he asked "Is this so?" "Yes it is so"
John went silent and E Craig was starting to give Bob, the salesguy, dirty looks.
He went silent for a long time.
Jan 27 6 tweets 1 min read
The importance of monetary games. As Fed is clearly not data dependent now in terms of here and now, but only forward space, then "games" are developed to replace the here and now bustle and fill the void of no longer present reaction function. These games come in series and usually based on some meme or the meme with highest holding in the popular view. The are even attempts to author the pop meme for trading gain.
Jan 23 4 tweets 1 min read
well guess this is where it has to go. using mortgage 30 year concventional to peg down a US Treas 10y year, and then a NGDP last 6 months to define a neutral Fed Funds rate - heck use 5.4% - gonna figure out how to do an affine curve model. then figure the risk premium. do same procedure back for 30 years, see what I come up with.
if seems robust, that is the term premium. curious what it says about forward views on econ. also see where equity
Jan 21 5 tweets 1 min read
In markets, the most dangerous are those fools who are far smarter than I and are expert traders. Just they feel they have to have a brilliant macro or monetary explanations as they can not abide being but brilliant traders. Dangerous if you do not do exactly their trades... ....all you get is their loony macro theories. Then they can say - I made alot of money with those theories so beats me you lost money. "The easy money has been made" at exactly time and level of max (so far) US Treas 10 years market rate.
Jan 19 6 tweets 1 min read
As far as I can figure out, to see reason in what is obviously a self damaging national policy, the current immigration policy (or lack of policy) is a brazen attempt to revive 3/5th a man clause in the US Constitution. It is to swell or protect number of House seats in Dem area Otherwise the policy is senseless. So if a Dem, you welcome (at first) these never to be citizens and voters to areas Iike NE urban areas, or mid-west like Chicago, or LA and NW. Sanctuary and all that.
Jan 17 6 tweets 1 min read
Bonds - risk free bonds - are only of extra value if they have expectations of neg correlation to equity which in turn is because bonds are insurance for an adverse business cycle, otherwise they price to inflation expectations. But if there is no business cycle like now, then bonds will not be rich versus the pricing to inflation.
Jan 17 4 tweets 1 min read
The deficit understates the size of the fiscal stimulus as it doesn't depict the redistribution of the federal spend. Payouts were mostly in the form of direct 'helicopter' money while taxation was from same sources as before covid This means the deficit being net understates the power/amount of the stimulus in terms of consumption, wages, and savings. Net, the fiscal impulse was as much as 3.5 trillion