I mentioned before that the strategy is building up more and more exposure towards short agricultural commodities and this bet is now the overall dominating theme in the portfolio. Out of a total of 25 positions held, 13 are in agricultural commodities and only three of those are longs. The shorts include everything from soybeans to lumber, wheat and sugar and many more while we hold longs in red beans, orange juice and live cattle. Many of our short agricultural positions had fallen quite hard up until a few days ago and now they just saw a couple of days of rebound move. So far the only stop taken on this rebound was on the Oats but the others still look intact.
There are still five long rates positions as well which may sound surprising, given where the rates are in most of the western world at the moment. The obvious question is of course how much these instruments can move given the yield levels. Remember that we are long the futures, meaning that we are long the price which is in a reverse relationship to the yields. Still, this strategy takes no such concerns into consideration and our stops are in place should the situation reverse. It does seem odd from a fundamental point of view, but I have seen this strategy make money on much more weird positions over the years as well as lose money on seemingly highly logical trades. Stick with the rules, learn to deal with the volatility and the occasional odd looking trade and the long term results will materialize.
|Sugar #11||Short||Agricultural Commodities||2011-11-25|
|Orange Juice-Frozen||Long||Agricultural Commodities||2011-11-22|
|Soybean Meal||Short||Agricultural Commodities||2011-11-11|
|Azuki Beans-Red||Long||Agricultural Commodities||2011-11-28|
|Cotton #2||Short||Agricultural Commodities||2011-11-08|
|Swedish Krona/U.S. Dollar||Short||Currencies||2011-11-28|
|Nikkei 225 Index||Short||Equities||2011-11-22|
|Natural Gas-Henry Hub||Short||Non-Agricultural Commodities||2011-07-08|
|Gas Oil||Long||Non-Agricultural Commodities||2011-11-08|
|Australian Govt Bond 6%(10Yr)||Long||Rates||2011-11-21|
|Australian Govt Bond 6%(3Yr)||Long||Rates||2011-11-11|
|Euro German Schatz||Long||Rates||2011-11-10|
|Canadian Govt Bond 10Yr||Long||Rates||2011-11-24|