On the Macro Overview Excel File
All,
We have recently begun uploading a Macro Overview Excel file:
The AOM index:
The predecessor to this file first came to life as a risk management tool. Away from all the indices markets were tracking, we simply looked at the number of investible HY names (not in or flirting with immediate insolvency) trading wider than 10%. Whenever that number shrunk rapidly into the 20s, we knew that hedging with indices alone would not capture the exodus of tourists leaving the space. It became its own index and simple as it was it served us well.
Overview:
Today the sheet serves more purposes than that. Although all the information is also available in BBerg, It provides that brief moment of overview and offers one single screen through which to look back and across the market at what information has been processed when and which views we hold that may not yet be widely reflected. Also, it tends to throw up new names on the radar and help setting priorities.
Easy Sorting provides perspective:
The sheet is supposed to have limits. But mostly it's the amount of data my computer can crunch. All we are really doing is to periodically load all the HY bonds (in so far as we get prices) into a big excel sheet and monitor their movements:
- by industry
- by geography
- by maturity
- by age of information
- by rating
- by price/yield/spread
- ….
I am guilty of having called it by a variety of names, including Focus List, Biggest Sinners, Uebersegler and more, but its essentially the same tool. There is a PDF and now also an Excel version on the main page up top. The PDF is really only one view of it - the Focus List view. However, the Excel has filters that can be expanded or changed and allows for playing around and discussion.
Do please let us know if its useful and / or if you would like to see certain other features or anything else that you would find helpful.
Wolfgang