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.
Friday, May 29, 2009
Took losses on currency positions
I lost on the breakout of the EUR at 1.40 and Pound at 1.60. Still holding due to a correction. The medium term timing is still good, but the short term timing is horrible.
Here is a technical analysis of the S&P 500 index in the 2002 bear market. I still believe this is a bear market. Essentially our plan is to add to the SPY shorts when it crosses the 200 day EMA. If it goes down, hold on to positions until you get high volume sell-offs. The RSI has to be below 30 for at least 3 days before closing the shorts in a defensive fashion. Maybe then, consider going long on to profit from a bear market rally.
For a trip down memory lane, I'll let Robertson Morrow describe the 2002 situation:
http://www.amconmag.com/article/2002/nov/04/00014//
Peter Thiel is right; we are in a government bubble. (And I am saying this as person who leans Social Democratic)... I suppose we would be near a top when people actually believe the stimulus and Bernanke's printing is working.
Here is a technical analysis of the S&P 500 index in the 2002 bear market. I still believe this is a bear market. Essentially our plan is to add to the SPY shorts when it crosses the 200 day EMA. If it goes down, hold on to positions until you get high volume sell-offs. The RSI has to be below 30 for at least 3 days before closing the shorts in a defensive fashion. Maybe then, consider going long on to profit from a bear market rally.
For a trip down memory lane, I'll let Robertson Morrow describe the 2002 situation:
In mid-2001, as recession hit, the stock market wobbled. From April to September, the S&P 500 fell 30%, but September 11th masked the downturn. Easy victory in Afghanistan and no further acts of mass terrorism reassured Americans. By March 2002, most believed that we had conquered the recession. Magazines and newspapers headlined the triumph, and the Dow reached almost 10,600, just 10% off its January 2000 peak. But the victory was an illusion based on foreign money. In April 2002, the dollar began to break, falling more than 15% in four months, and the stock market followed the dollar down. By July 2002, the market had lost almost 30%, and Americans began to turn pessimistic. The late bubble was over.
http://www.amconmag.com/article/2002/nov/04/00014//
Peter Thiel is right; we are in a government bubble. (And I am saying this as person who leans Social Democratic)... I suppose we would be near a top when people actually believe the stimulus and Bernanke's printing is working.
Thursday, May 28, 2009
Currency 5/28/09
initiate
+USD/NZD 30 1.6040
-GBP/USD 30 1.5965
-EUR/USD 30 1.3984
I'll close the yen usd position at a small profit of .5%.
I hate all of the fundamentals on NZD, GBP, and EUR. Also they are technically overbought as they are both their 20, 50, and 200 day EMAs and have RSI of around 30 for NZD, and GBP has an RSI of about 77. EUR hit 70 on the RSI. These trades are doubles, not a home run trade; so closing them will require some defense. If the yen weakens to 99 yen per dollar (100 yen seems to be the resistance for USD/JPY), the trades will be closed and the respective currencies would be shorted against yen. SPY short is a home run trade. I'll wait for it to hit the 200 day EMA and have an RSI of at least 64. When the S&P 500 feel in April of 2002, it did cross the 200 day EMA, but it hit an RSI of 65. It didn't hit 70.
(I am not going to count the GBP/JPY against me(I knew it would go wrong when I made it as it was at 149 before, and it fell to 144.2; it didn't seem like a good risk/reward then and I acknowledge whipsaw). I saw Clarium's portfolio, and I saw they had a large currency position. I felt that I wasn't being too aggressive when I called it. The SLV position would be a big winner (about a 5% gain), although this would be moderately offset with the German bond losses (about 2%) and the pound dollar (about 1.6% and .9) , and the loss in the gold short (.7%) and copper (.7%). I am not counting it as it just stupid; I did it because I wasn't in positive territory. Let's say that I am down 2.3% now since I lost 4% in march gained 3.2% in april and lost 1.6% in may.)
Approxiamate portfolio:
- SPY 30
+ PBR 5
+ Silver 20
+ German government bond 10 year 70
+ US Treasuries 10 year 70
- EUR/SEK 30
- EUR/AUD 5
- EUR/USD 30
+ NZD/USD 30
- GBP/USD 30
+USD/NZD 30 1.6040
-GBP/USD 30 1.5965
-EUR/USD 30 1.3984
I'll close the yen usd position at a small profit of .5%.
I hate all of the fundamentals on NZD, GBP, and EUR. Also they are technically overbought as they are both their 20, 50, and 200 day EMAs and have RSI of around 30 for NZD, and GBP has an RSI of about 77. EUR hit 70 on the RSI. These trades are doubles, not a home run trade; so closing them will require some defense. If the yen weakens to 99 yen per dollar (100 yen seems to be the resistance for USD/JPY), the trades will be closed and the respective currencies would be shorted against yen. SPY short is a home run trade. I'll wait for it to hit the 200 day EMA and have an RSI of at least 64. When the S&P 500 feel in April of 2002, it did cross the 200 day EMA, but it hit an RSI of 65. It didn't hit 70.
(I am not going to count the GBP/JPY against me(I knew it would go wrong when I made it as it was at 149 before, and it fell to 144.2; it didn't seem like a good risk/reward then and I acknowledge whipsaw). I saw Clarium's portfolio, and I saw they had a large currency position. I felt that I wasn't being too aggressive when I called it. The SLV position would be a big winner (about a 5% gain), although this would be moderately offset with the German bond losses (about 2%) and the pound dollar (about 1.6% and .9) , and the loss in the gold short (.7%) and copper (.7%). I am not counting it as it just stupid; I did it because I wasn't in positive territory. Let's say that I am down 2.3% now since I lost 4% in march gained 3.2% in april and lost 1.6% in may.)
Approxiamate portfolio:
- SPY 30
+ PBR 5
+ Silver 20
+ German government bond 10 year 70
+ US Treasuries 10 year 70
- EUR/SEK 30
- EUR/AUD 5
- EUR/USD 30
+ NZD/USD 30
- GBP/USD 30
Long treasuries
I would long 10 year Treasuries at 3.69% yield. 70% of NAV/
I would probably close at 3.40%.
I also fucked up on the German government speculation... I should have shorted Treasuries as a hedge. I didn't know how correlated (in the short term) that the euro-zone bond market is with the American bond market. I do not regret it, but I just want to forget the GBP/JPY position. I even knew it would whipsaw against me. (The GBPUSD at 1.52, I thought it peaked then. )
I would probably close at 3.40%.
I also fucked up on the German government speculation... I should have shorted Treasuries as a hedge. I didn't know how correlated (in the short term) that the euro-zone bond market is with the American bond market. I do not regret it, but I just want to forget the GBP/JPY position. I even knew it would whipsaw against me. (The GBPUSD at 1.52, I thought it peaked then. )
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