I’m a multi-strategy global macro trader. I focus on 3 types of trades:
Core positions (macro trend following): large position size + expecting a large trend
Non-core positions (mean reversion): small position size + expecting the market to mean-revert
Non-core positions (Black Swans): small position size, potential large gains due to Risk/Reward asymmetry
Core positions
My investment strategy centers on macro trend following, aiming to capitalize on large trends in equities, fixed income, and commodities that are driven by clear macroeconomic themes and narratives. This approach forms the foundation of my portfolio, except during periods when major markets lack clear and large trends.
As stated in Reminiscences of a Stock Operator: “The big money is made by being right and sitting tight.” I focus on identifying and aligning with dominant macro narratives that drive long-term market movements, such as:
Long tech stocks in 2020 (COVID money printing + work from home theme)
Long commodities in 2021 (inflation theme)
Short bonds in 2022 (inflation = interest rate hike theme)
Long U.S. tech stocks + Indian equities in 2023-2024 (earnings growth theme)
The Importance of Themes and Narratives in Trend Following
A key challenge in trend-following is avoiding “death by a thousand cuts”—a scenario in which repeated false breakouts in choppy markets result in too many trades and too many stop losses. The ability to differentiate between sustained trends and false breakouts is critical.
False breakouts usually lack compelling macro themes/narratives, making them unsustainable.
Genuine breakouts are usually supported by strong macro themes that reinforce and extend the trend.
By using macro themes/narratives as a filter, I enhance my ability to identify high-probability trends and avoid as many false trends as possible. The macro themes/narratives that move each market (equities, bonds, commodities) are different.
Position Sizing and Risk Management
While my primary focus is riding large trends, I actively manage my position sizes using mean reversion signals to optimize risk exposure. For instance, in an extended rally, I may scale back exposure from 200% long to 50% long to manage downside risk.
Timeframe
Core trend-following positions typically last weeks-months.
Additional Tactical Trades
Beyond my core trend-following strategy, I employ 2 supplementary trading strategies that, while not the primary drivers of returns, serve to enhance overall portfolio performance. These positions are opportunistic and structured to complement my macro trend framework:
Non-core positions: mean-reversion trades
Periodically, I take contrarian mean-reversion positions, shorting extended rallies or buying into sharp declines when the market reaches multi-month or multi-year extremes. These positions are typically held for weeks to months.
However, because extreme price moves can always become more extreme, position sizing is intentionally small in mean-reversion trades. This inherent limitation is why these trades remain non-core positions—their smaller position size prevents them from being the primary driver of annual returns.
While most market participants focus on when to buy/sell and what trade to take, an equally critical question is how to size positions effectively. Ultimately, profit and loss (P&L) is a function of both trade selection AND position sizing:
P&L = (winning trades)x(position size) - (losing trades)x(position size).
I often begin mean-reversion trades with a 1/4-1/3 of potential max size. If the market continues to move against my position, I will incrementally scale-in and increase my position size. If the market moves immediately in the direction that favors my position, I will not increase my position size.
At the maximum, I will not allow mean-reversion trades to exceed 1/4-1/3 of my entire portfolio. This is my “potential max size”.
Remember: I trade “large trends/key themes and smaller opportunities in between”. These mean-reversion trades are the “smaller opportunities in between.”
Timeframe
Non-core trend-following positions typically last days-weeks, depending on how long it takes for the market to mean-revert. The faster the market mean-reverts, the more quickly I will dispose of the trade because my mean-reversion $ target has been hit.
Non-core positions: Black Swan trades
I capitalize on significant market mis-pricings, particularly when the probability of an event is materially underestimated. For instance, if the market assigns a 2% probability to an event, but my analysis suggests the true likelihood is 10%, I will take that trade.
Black Swan trades are not solely bearish —there are also opportunities to profit from positive Black Swan events. Any event that is large, unexpected, and mis-priced by the majority of market participants qualifies as a Black Swan, regardless of direction.
Due to their asymmetric risk-reward profiles, these Black Swan trades involve small position sizes but have the potential to deliver outsized portfolio gains when they materialize. By strategically identifying and positioning for these rare but high-impact events, I enhance my overall portfolio’s returns while maintaining disciplined risk management.
I usually use options to express Black Swan trades
Holding period is usually a few months.
