Chris Rokos / 2020 / Macro
The policy response was the market.
Chris Rokos and a rates case during COVID.
Before the outcome was obvious.
The Rokos entry focuses on government bonds, rates and Federal Reserve intervention during COVID. A rates portfolio can express views through maturities, curves and relative prices; reducing it to “long bonds” loses much of the mechanism. The workbook’s position and payoff therefore serve as a simplified scenario. The annual fund return shown in the source is not proof that one isolated bond position produced it.
What could have gone wrong
Yield-curve changes, leverage, liquidity and central-bank surprises can affect positions differently across maturities.
Distinguish a portfolio’s annual result from the result of a trade inside it.
Put the thesis to the test.
Change the assumptions and watch the arithmetic update. These are simplified scenarios; they do not recreate the instrument’s pricing or the path of the trade.
How this model works
Profit ratio = profit ÷ stated position. Exposure ratio = stated position ÷ fund assets. Neither is a measure of maximum loss or a net investor return.
The workbook’s simple annualisation is profit ratio × 365 ÷ duration = 81.1%. It is linear, not compounded, and is not a repeatable annual return. Fees, financing, collateral, premium carry and changing exposures are not modelled.
What these figures mean.
Source: Legendary Trades Models, Master Comparison!A23:L23; Trade P&L Models, case 20. The following are original workbook inputs, preserved for transparency. They are estimates, not independently audited results.
- Workbook position
- $5bn
- Workbook “gross profit”
- $1bn
- Workbook duration
- 90 days
- Workbook fund assets
- $12bn
- Workbook fund return
- 44%
- Workbook position ROI
- 20%
The fund-return field is a separate source claim, not a calculated result of this trade. Its reporting period and gross/net basis are not independently established here. Model ratios are recalculated from inputs rather than copied from rounded source ROI values.