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Portfolio Comment – 2011-11-24

The exposure towards short agriculturals has been building up over the past couple of weeks and is now the dominating theme of the portfolio. We are short everything from wheat and oats to sugar and orange juice for a total of ten short agricultural positions. It’s quite a large bet being built up here so expect some larger moves in the portfolio soon, either as the new sector bet starts paying off or if things go against us there will be plenty of stops triggered at similar times.

The long bond futures trade looks tired and we are close to stops on several positions there. Interestingly, while the strategy is long the right side of the curve it is short on the far left side, betting on a shape change.

The long dollar bet failed dramatically a month ago but now it seems like we are going back into that trade but so far in smaller scale.

MarketDirectionSectorEntry Date
RubberShortAgricultural Commodities2011-09-21
Rapeseed(Canola)ShortAgricultural Commodities2011-09-23
Cattle-LiveLongAgricultural Commodities2011-11-04
Rice-RoughShortAgricultural Commodities2011-11-10
OatsShortAgricultural Commodities2011-09-23
Cotton #2ShortAgricultural Commodities2011-11-08
Orange Juice-FrozenLongAgricultural Commodities2011-11-22
SoybeansShortAgricultural Commodities2011-11-22
Sugar #11ShortAgricultural Commodities2011-11-24
Soybean MealShortAgricultural Commodities2011-11-11
CornShortAgricultural Commodities2011-11-24
WheatShortAgricultural Commodities2011-09-20
New Zealand DollarShortCurrencies2011-11-24
Mexican PesoShortCurrencies2011-11-24
SA Rand(Floor+ Electronic Combined)ShortCurrencies2011-11-23
Nikkei 225 IndexShortEquities2011-11-22
Natural Gas-Henry HubShortNon-Agricultural Commodities2011-07-08
Heating Oil #2LongNon-Agricultural Commodities2011-11-08
Gas OilLongNon-Agricultural Commodities2011-11-08
Euro German SchatzLongRates2011-11-10
Euro German BoblLongRates2011-11-02
Eurodollar-3 MthShortRates2011-11-11
Canadian 10 YearLongRates2011-11-24
Japanese 10yr Govt BondLongRates2011-07-15
Sterling Rate-3MthShortRates2011-11-18
Australian Govt Bond 6%(10Yr)LongRates2011-11-21
Australian Govt Bond 6%(3Yr)LongRates2011-11-11





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