USDAUD at 1.19 40% of NAV. Close All of the German government bond position at 3.31%


Establish short positions in German government bonds at 3.31 100%.

Cover copper position at $2.66. This is a 282 basis point loss.

short gold

close silver at 13.90 (a loss marked from from $14.98)

short gold at 955 20%.

7/29/09

Closing the SEK position at a small loss (markeed at 10.44 at may 28, and closed at 10.53). I do think think SEK will appreciate further.

short equities

short equities (SPY) at 80% NAV at 97.60.

didn't get lower opening

Covering equity shorts at 80%. I was expecting a lower opening today, but I didn't get it... I'll close at 97.90 when I entered the position.


This is what I see... the S&P 500 will move higher in the next few weeks with a lower VIX and lower momentum, but it will peak with the RSI in the 60s, and the MACD will have lower highs for the new high. I expect a top at 990-1020 for the S&P 500. Establishing a short position there seems to have an excellent risk/reward for a trade. Fundamentally, there is no reason to buy and hold equities at these levels.

I'll take a wait and see approach for bonds though. I see a fundamental upper bound at 400 bps. I'll consider going long at 380 bps.

consider exiting treasury shorts

the 100% nav short treasury position has done well... the gain is 1.5%, enough to ease losses on the short copper position. I should have shorted yen as a "recovery" trade too.

I'll consider exiting today.

Although I have not been successful in conducting the real-time experiment... I have done a nice job. I like how I played good defense in establishing the SPY shorts and bond longs in June. I also closed the Treasury longs and SPY shorts when I realized I was wrong about the rally, and became "defensive" in my bearish stance.

I do not regret the currency positions although they could be better timed.

Edit:

Exit Treasury short at 3.68% for a gain of 1.5%

Add short S&P 80% NAV at 97.90... I expect the market to close lower on monday. Position will have to be played defensively.

Short Treasuries

although I do like long treasuries in the medium term and it is reasonable to expect yields to fall to sub 3% at the end of the year, I do think short treasures might be a good trade. Maybe yields would go up 20-40 basis points (right now, it is at 3.48%). I am doing this primarily to hedge the german government bond position, and it is a better "recovery" trade than going long on stocks since that asset class is moderately overbought.

short treasures at 100% nav. I'll look at the yields on the 2 year note and 5 year note as the bond market's expectations on the economy and/or inflation.