Finally, as promised will we get started on mechanical benchmark model to follow relatively to our own Macro Discretionary fund: Puma Macro. We have called it Puma Modus for now..
The model takes top-down technical view and measures trends, divergence and reveralsals via mean-reversion process.....
Puma Modus present positions would be:
Short GBP.USD (strong trend - but late in the cycle as Bollinger low @ 1.6137 begs)....Short since Aug-12th @ 1.6520. Stop: Close yday plus 1 ATR = 1,6205+0,0183= 1,4394
Short USD.JPY (strong trend - Bollinger @ 93.15)... short since Aug-17 @ 95,24. Stop: Close plus 1 ATR: 93,74 + 1,12 = 94,86
Long Bunds (Strong trend - late cycle - Bollinger resistance @ 123,26).....Long since Aug-17th @ 121.45 - Stop: Close minus 1 ATR = 122,80 - 0,72 = 122,08
Long T-bonds ...... long since August 14th @ 119 5/32...Stop: Close - 1 ATR = 118.00 - 1.50 = 116 16/32
Short Coffee....Short since Aug-19th @ 128.50... Stop: Close + 1 ATR = 124,50 +3,55 = 128,05
Long KFX (Danish stock market) ...Long Since July 17th @ 293,00 . Stop: Close - 1 ATR = 337,40 - 6,00 = 331,40
Long Dow...Long Since July 15th @ 8600.. Stop: Close - 1 ATR = 9546 - 151 = 9.395
Long FTSE..Long since July 15th @ 4.300.. Stop: close - 1 ATR = 4.892 - 82 = 481
This is indication only and not recommendation............We will make the signals life going forward but todays blog merely to illustrate what a "Benchmark" portfolio would look like... .as soon as model gets NEXT signal we will initiate and track it live...
The Puma Modus clearly respect and have been respecting the strength of the equity markets - presently the warning signal being that all equity markets are trading up against or above their "mean-reversion" high, plus there is several cases of divergence. A macro fund would take some profit or convert to long Calls, but is mechanical model - it understand nothing, it pretends nothing.... ;-)
Otherwise some chart to think about:
- http://twitpic.com/ffbod & http://twitpic.com/ffaim The cash-on-the-sideline issue.. seems to me there is more talk than reality as Money Market Asset ratio to Stock Market capitalization is now below 50, 200 and 500 moving average.......
- Freight rates no longer any fun.....: http://twitpic.com/ff8fz
- How good are the Homes Sales: http://www.reuters.com/article/gc03/idUSTRE57P4VX20090826