Add 30% to sterling at 1.65
Monday, June 29, 2009
Thursday, June 11, 2009
Add to short equity
add to 10% of NAV to - SPY at 95.00
Look at when the outflows happen!!
http://pragcap.com/small-investors-are-piling-into-stocks
http://pragcap.com/mutual-funds-inflows-surge
Look at when the outflows happen!!
http://pragcap.com/small-investors-are-piling-into-stocks
http://pragcap.com/mutual-funds-inflows-surge
Thursday, June 4, 2009
completing the deflation portfolio
Add 15% short WTI september crude at $71.25 and add to SPY short at 94.52 at 10%. Add 5% short september copper at $2.32. Commodity trades offset the reflation beta in silver. Given the contango, the market is pricing in a recovery, or a supply shock in crude.
The SPY positions add up to a short at 93.75 since they were declared 30% 92.20, 30% 95.50, and 10% 94.50%.
(The losses from the new currency positions will be counted this month...)
- SPY 70
+ PBR 5
+ Silver 20
- crude 15
- copper 5
+ German government bond 10 year 100
+ US Treasuries 10 year 70
- EUR/SEK 30
- EUR/AUD 5
- EUR/USD 30
- GBP/USD 30
The SPY positions add up to a short at 93.75 since they were declared 30% 92.20, 30% 95.50, and 10% 94.50%.
(The losses from the new currency positions will be counted this month...)
- SPY 70
+ PBR 5
+ Silver 20
- crude 15
- copper 5
+ German government bond 10 year 100
+ US Treasuries 10 year 70
- EUR/SEK 30
- EUR/AUD 5
- EUR/USD 30
- GBP/USD 30
Tuesday, June 2, 2009
market review 6/02/09
Add to German government bond position by 30% (at 3.66%) and short SPY by 30% at 95.05.
Since the portfolio is extremely leveraged, we also need to consider shorting oil as a way to offset the reflation beta in long silver because I do expect silver to retain some ground when the reflation trades unwinds. Also, the Treasury positions have to be played somewhat defensively; that is we bail on them at 3.30%. I prefer German government bonds as bond long positions. I am fairly confident on the prospects of deflation in the Euro-zone.
The currency positions need to be played defensively however, but it seems reasonable to expect an unwind of the long AUD trade to unwind in the near-medium term. That trade seems too crowded. I do hate the fundamentals of GBP more than the dollar, but it seems that the market from the COT reports are actually short sterling. Perhaps they are short sterling against popular reflation currencies, and not long the dollar vs sterling. Sterling AND dollar are both reviled by the market, but it seems there has been more outflows out of the dollar, than in sterling because sterling has risen against the dollar, and rose against the Euro. I enter too early from an ex post facto perspective (no fucking shit), it now seems to be a good time to enter those positions, so I am reluctant to close. If you have a particular macro view, and the position moves AGAINST you. The temptation is to add as the trade just looks better and better.
I did play short equity market theme well though even though it moved against me. I expected it to at least go to 940 but it did not declare a position. It seems overbought in the near term though. This equity market has been technically strong throughout the bear market rally. The RSI did not dip below 50, and it was below 50 for the last time on March 16. The RSI is currently at 65 and the market is above the 200 day EMA. Superficially, this market is moderately overbought, but again technical analysis is largely descriptive, not predictive, and my superfical technical analysis (unlike any real science such as chemistry) cannot falsify the proposition that the market can get even more overbought. I have a general sentiment that the market will close higher tommorrow as it seems there is more momentum left in the equity market.
The easy long money made during this rally (which did not result from any fundamental analysis [besides research into past market declines]) were positions taken soley from a technical perspective. It is unlikely these positions were taken during the March lows were for fundamental reasons, but traders looking for a dead cat bounce. Personally, from that time, I thought the market could go lower to offer more compression for a very strong rally. The rally was predictable in hindsight, but the questions from an ex ante perspective were how much more compressed conditions could become? More people were bearish during that rally so the sentiment (not the fundamentals) should tempt a trader then to take on a long bias as that has a better risk/reward than going along with the bears and engaging in a bidding war to see how low the S&P 500 can go. Right now the reverse is true... going short has a better medium/long term risk/reward.
As a deflationist... I'll say the fundamentals are horrible for equities, and blah blah blah...The fucking real time experiment did not work because I started in a market when the equity market has already collapsed. And various deflation trades detracted from performance. I did step into the reflationist water by taking long positions in CAD and AUD, but those positions were short against EUR, not dollar. I also declared some long equity positions and maintained them and that helped ease some of the pain from the losses from poorly timed deflation trades. Also, the silver trade also has a reflationist bias, and it was taken because it seemed weak, and does well during deflation too. Silver tags along the gold bull market.
Edit...
I am cutting NZD. I cannot fight the reflation trend that much. I'll do it with short equities instead. I think it has further to run. closed at NZD .6535 or at about $1.53. It is a risk reduction move caused by horrible timing. Total loss of about 1.4% of NAV realized. Better short equities instead.
Since the portfolio is extremely leveraged, we also need to consider shorting oil as a way to offset the reflation beta in long silver because I do expect silver to retain some ground when the reflation trades unwinds. Also, the Treasury positions have to be played somewhat defensively; that is we bail on them at 3.30%. I prefer German government bonds as bond long positions. I am fairly confident on the prospects of deflation in the Euro-zone.
The currency positions need to be played defensively however, but it seems reasonable to expect an unwind of the long AUD trade to unwind in the near-medium term. That trade seems too crowded. I do hate the fundamentals of GBP more than the dollar, but it seems that the market from the COT reports are actually short sterling. Perhaps they are short sterling against popular reflation currencies, and not long the dollar vs sterling. Sterling AND dollar are both reviled by the market, but it seems there has been more outflows out of the dollar, than in sterling because sterling has risen against the dollar, and rose against the Euro. I enter too early from an ex post facto perspective (no fucking shit), it now seems to be a good time to enter those positions, so I am reluctant to close. If you have a particular macro view, and the position moves AGAINST you. The temptation is to add as the trade just looks better and better.
I did play short equity market theme well though even though it moved against me. I expected it to at least go to 940 but it did not declare a position. It seems overbought in the near term though. This equity market has been technically strong throughout the bear market rally. The RSI did not dip below 50, and it was below 50 for the last time on March 16. The RSI is currently at 65 and the market is above the 200 day EMA. Superficially, this market is moderately overbought, but again technical analysis is largely descriptive, not predictive, and my superfical technical analysis (unlike any real science such as chemistry) cannot falsify the proposition that the market can get even more overbought. I have a general sentiment that the market will close higher tommorrow as it seems there is more momentum left in the equity market.
The easy long money made during this rally (which did not result from any fundamental analysis [besides research into past market declines]) were positions taken soley from a technical perspective. It is unlikely these positions were taken during the March lows were for fundamental reasons, but traders looking for a dead cat bounce. Personally, from that time, I thought the market could go lower to offer more compression for a very strong rally. The rally was predictable in hindsight, but the questions from an ex ante perspective were how much more compressed conditions could become? More people were bearish during that rally so the sentiment (not the fundamentals) should tempt a trader then to take on a long bias as that has a better risk/reward than going along with the bears and engaging in a bidding war to see how low the S&P 500 can go. Right now the reverse is true... going short has a better medium/long term risk/reward.
As a deflationist... I'll say the fundamentals are horrible for equities, and blah blah blah...The fucking real time experiment did not work because I started in a market when the equity market has already collapsed. And various deflation trades detracted from performance. I did step into the reflationist water by taking long positions in CAD and AUD, but those positions were short against EUR, not dollar. I also declared some long equity positions and maintained them and that helped ease some of the pain from the losses from poorly timed deflation trades. Also, the silver trade also has a reflationist bias, and it was taken because it seemed weak, and does well during deflation too. Silver tags along the gold bull market.
Edit...
I am cutting NZD. I cannot fight the reflation trend that much. I'll do it with short equities instead. I think it has further to run. closed at NZD .6535 or at about $1.53. It is a risk reduction move caused by horrible timing. Total loss of about 1.4% of NAV realized. Better short equities instead.
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