Oliver Brennan

Oliver Brennan

Head of Research

Ollie joined TS Lombard in April 2017 and is part of the Macro Strategy group, working on medium-term asset allocation and shorter term tactical investment ideas with a particular focus on currencies and fixed income. He is now Head of Research at TS Lombard, and leads our team of analysts.

He has more than ten years’ experience in financial markets on the buy- and sell-side, prior to joining TS Lombard, as FX strategist in a large macro hedge fund. As well as being an experienced market strategist he has been closely involved in portfolio construction, risk management and trade structuring throughout his career.

Ollie holds an M. Phys in Physics from Oxford University and before joining the financial market was a high-school physics teacher.

Oliver Brennan contributes to the Macro Strategy, Strategy Chartbook and Asset Allocation publications.

Macro Strategy: Global tactical trade ideas to play key macro themes with a 6–9 week investment horizon. (Weekly on Wednesday)
Strategy Chartbook: Highlights important market drivers and data that affect our key investment conclusions. (Monthly)
Asset Allocation: Absolute calls and relative positions in a model portfolio with 3-6 month investment horizon. (Monthly)

Macro Strategy report Oliver Brennan

Oliver Brennan's top market calls

Macro Strategy - Oliver Brennan's top market calls

Short EUR/NOK

During the covid crisis asset prices became distressed. In FX, one of the distressed currencies was the Norwegian krona. But with a sovereign wealth fund as a valuable backstop to supporting the economy during the crisis (and with the associated NOK fx inflows this implies), and extreme undervaluation, we sold eur/nok through options in March and rode the 15% krona rally

Macro Strategy - Oliver Brennan's top market calls

Long NZD/USD 6m6m vol

Back in pre-covid 2019, we thought H2 2020 – with the US and NZ elections scheduled – would herald a rise in fx volatility, especially in this pair where we bought a forward vol agreement at 8% . In the end, this pair acted as the perfect portfolio hedge through the covid crisis, and we booked profits in mid-March when the forward vol was at 11%.

Macro Strategy - Oliver Brennan's top market calls

Long BTPs vs Bunds

The EU recovery fund is a step over the rubicon, where finally the EU recognises the need for mutual issuance to provide tailored support. And it means, ultimately, the union is a backstop to the periphery. Coupled with ECB asset purchases and its PEPP program allowing large deviations from the capital key, we bet that spreads were set to narrow.

We bought BTPs vs Bunds when the spread was at 170bp and took profit at 120bp; recording a 5% gain on the trade.

Macro Strategy - Oliver Brennan's top market calls

USD paradigm shift.

The Fed’s adoption of average inflation targeting and its provision of almost-unlimited liquidity has changed the behaviour of USD in this cycle. No longer should we expect USD to rise with strong US growth, largely because the Fed will maintain an anchor of low rates until it is satisfied that average inflation will be over 2%.

We sold USD/KRW at 1188 and took profit at 1087, booking a near-10% gain.

Macro Strategy - Oliver Brennan's top market calls

Short homebuilders vs S&P 500

One facet of the crisis was to spurt relocations, seeing housing activity rise to a near-record level after a short period of low activity through the acute stage of the crisis. But  this activity could not persist, driven as it was by the higher-end of the market while first time buyers were more concerned with job security than upsizing. We sold homebuilders vs the S&P 500 index in October, and booked a 5% profit by the end of November.

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