Fundamental Trading Diary

Fundamental analysis of the capital markets

Late March Performance Analysis

It’s almost been a quarter since I last wrote, but the themes are very much the same.  Let’s examine some of the last predictions:

  • January 2nd/09:
    • Pair trade:  Long Oil & Short Exxon Mobil:  It’s taken some time, but this pair trade is in positive territory.  XOM is down close to 20%, and oil is down about 9%.  I think this is still a good bet.  I don’t think anything has really fundamentally changed with the supply/demand dynamics, or with XOM’s business model.  One of Exxon Mobil or Oil is priced incorrectly, and this trade will make money either way.  Currently +5.5%.
    • Pair trade:  Short BGZ (2x big caps), TNA (2x long small caps):  Statistics and the January effect did not play out.  This trade closed out at -4.35%.
  • November 30/08:
    • TBT (2x Long 10y Bond Yields):  This trade is essentially even so far.  The bubble in treasuries bottomed yields out at the end of December.  There was some queer behaviour in treasuries this week where yields dropped 50 basis points over 5 minutes on Wednesday.  The EUR/USD rocketed from 1.3036 to 1.3485 the same day.  The Fed printed a _lot_ of money to buy treasuries on Wednesday.
  • November 20/08:
    • Long XLV (Healthcare ETF):  Currently sitting at -0.01%.  This was a great call relative to stocks.  The S&P 500 is -15.51% in the same period.
    • Short XLE (Energy ETF):  Energy is down modestly for a profit of a +6.75%.
    • Short XLI (Industrials ETF):  Industrials are down mostly in sympathy to the rest of American stocks to yield a short profit of +15.38%.
    • Short XLY (Consumer Discretionary ETF):  This sector seems to be by far the most sensitive to positive sentiment.  In the recent rally, it’s put our short -6.92%.
  • November 3/08:
    • Long SLV (Silver ETF):  +41.48%.  Go team!

The markets haven’t been very efficient, have they?


March 21, 2009 - Posted by | Uncategorized

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