fredag den 28. august 2009

Friday, Friday....

What a week! The biggest "incident" was the massive USD/CHF trade someone pulled last night after Europe went home - it was week of NO CHANGE in stocks markets and there is...little or no additional money coming from the cash side... even the put/call ratio is clearly indicating the market has finally given up on the downside - and that my friend is THE time to be alert:

This Friday close - and a Japanese election which will probably see increased focus on domestic demand and doing everything OPPOSITE of what the LDP has done in the last 50 years could be sign of change - change to the better for Japan, but also for less EXCESS saving being sent overseas - Mr. and Mrs. Tokyo no longer "attack" their own currency by doing FX deals blindly......maybe... we will finally see Japanese buy their own stock market? I will look to go long small cap. Japan next week........

We faired ok for the week overall, but only really due to two core positions:

Long Fixed Income Europe and despite last 24 hrs - the continued negative bias on GBP....the rest was no fun - and shorting S&P daily is absolutely presently the best way to spend your hard saved earnings.... but again.. that is a sign.....

I will follow up with further S&P talk this week-end, but some house-keeping on the Puma Modus model sees it stopped in several positions although with good profit: GBP was one (although I maintain the Macro short overall....), T-bonds another - and Bunds came awfully close to stop @ -08 only to close on the high for the week... talk about a strong trend...

The present environment reminds me, again, of 1999/2000, where I was Prop. trading in UBS, Stamford - everyone and I mean everyone around me was raking in more money from their private trading in stocks and shares than from doing their overpaid day job - several people even left to..only manage their own stock portfolio ... greed at its best and worst - Check Yahoo stock from 1999- 2001:


Safe trading


torsdag den 27. august 2009

Puma Modus Signal

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:

Foreign Exchange

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

Fixed Income

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:

Safe trading,


onsdag den 26. august 2009

The answer my friend is blowing in the wind...

This market only does one thing: it drives you bonkers - there is presently classic war between the signals for this being intermediate top:

  • Divergence in S&P again (new price high - lower RSI high)
  • Break down in Crude prices confirming "priced-in hike in demand"
  • Falling freight rates.....
  • GBP - cyclical currency under attack....
  • Fixed Income - our favorite play still bid.... despite S&P now 50 figures higher (reflection of loose short-term rates and nowhere to place them...)
  • Lot of the buy-and-be-happy programs running out of either money or political will to be renewed...

....and that this could be for "real"... i.e S&P towards 1050-00 then 1125-00:

  • US index having hard time confirming strength
  • AUD - the Asian sentiment indicator refusing to go down - for now...
  • S&P hanging in there by end of day - every single night...
  • VIX still low (although note how ATR (Average True Range) is going higher...!!
  • Incoming data has been good, will remain good...

For now we remain with very small positions (except in FI):

Foreign exchange:

Short GBP.USD since 1.65ish on lowest STIR rates around , a MPC which is very bearish......

Long US index --- from just below here... Do not trade EURUSD no more - waste of time....

Note how US index could confirm strength today on close:


Still short small S&P - close below 1020-00 would confirm top in place - a close above today should theoretically confirm UPTREND... so decisive day today...

Fixed income:

Long Danish Govies - budget deficit to expand, but low rates is part of equation - Denmark remains one of the most leveraged economies around and we will have low rates well in to 2011 if not 2012.......


Short Crude for the past week - sold small gold this p.m.....

Overall - not really exciting- some signs of cyclical top in place, but rest assure the "plunge-teams" will be in tomorrow should we go down.

The main scenario remains one of: Some downside in September, then Q4 should be ok ...

Safe trading,


mandag den 24. august 2009


Talk about an expensive trading week last week.....- will you? Cost me a few thoughts over the week-end to reasses last week action - it seems the present mode is one of:

Good data being rewarded - poor data ignored! To be honest probably not much of a surprise considering even President Obama has left town for better "climate":

The house-keeping on positions should note I got stopped out of the S&P position with the break of 1018-00 on Friday, and we now "only" need confirmation for this "rally" by virtue of staying two to three days above this on a closing basis....if so 1050 begs, and even 1130.

Our main scenario of down now (August through September), up in Q4 could still work, although the August rally sort of derailed the process by a further one to three weeks..damn...

There is absolutley NO DOUBT that data from September through to December will "good" - at least relative to worst recession since the 1930s.

The real issue,however, is whether it will be enough to nourish growth when the life-support machine of cash-for-clonkers, tax benefit on first mortgages, the more positive talk from central bankes indicating the low rates may have a final sales date attached to it, plus rising cyclical unemployment comes into play.

There is a growing number of geopolitical concerns coming onto the radar:

Ukraine vs Russia is once again focus point as Medvedev insults Ukrainian president on the anniversary: (also most importantly: Read... The Economist this week on why Ukraine vs Russia is and will be major issue)

German election in September.......and Japanese similar end of this month - in the later we will most certainly say goodbye to the ruling of LDP - finally......whether this is good or bad remains to be seen........

Freight rates had terrible day end of last week - we shorted some shipping companies on the correlation - with loss so far.... :-)

Fixed income is holding up quiet nicely - fortunately for me - the "real life" choice here is between 1% in the banks or 3-4% with the Government bonds? - I believe the choice is obvious, even more so from the angle of Macro Investor - with stock markets hitting YTD high, long FI become relatively low risk bet....

In the world of FX I am slowly building bigger position short the GBP for now vs. USD, but later vs. basket of currencies like SGD, JPY and the QE is not enough to safe a country which is utterly and exclusively dependeable of life-support in the shape of cheap money for the banks.

The mere fact bankers in London (and New York) can claim bonus' on trades which end of day involves taking in money for ZERO PCT(funded by your government) - and lend them out for 12% or placing them in yielding bonds is beyond me.................

The same tax payers who are losing their jobs right now.... are also paying through their nose to bankers taking ZERO RISK!!!!!

This insults me as a capitalist, as a poor (intellectually and monetary) speculator, but mostly as a tax payer - Fact is my dog could do the same job !!!!!

This is why "intervention" does not work - the unintended consequences of macro dececisions will ALWAYS, ALWAYS go wrong... Yes, indeed, you can do the wrong things for the right reason, but it does not make you smart or a hero...and you certainly should not get bonus' for picking up dimes on the street.....

Well enough said - week three of this Speculators nightmare has started... I beg you all a nice evening - safe trading and we will blog again tomorrow...


onsdag den 19. august 2009

Under pressure - why Queen the band is still relevant- (unlike the Queen as in the Queen of....)

Mm ba ba de
Um bum ba de
Um bu bu bum da de
Pressure pushing down on me
Pressing down on you no man ask for
Under pressure - that burns a building down
Splits a family in tw0
Puts people on streets

Youtube link:

CNBC carried this "under pressure" music theme for their US morning show and it made me reflect on how music and fashion sometimes tells more than "numbers" - so in the effort to find the newspaper headlines for 1981 I found this US biased service link:

A similar link exists for the economy:

Dow was in range of: 824-1024, inflation 10.2%, Unemployment 7.1% - Reagan President, Reagan fought Air Traffic, McEnroe won Winbledon, Gallon of gas: 1.38%

My point with all this? The world is circular - it is only clowns like Greenspan and other bureaucrats who truely believe we have evolved as intelligent species!

Friend of mine, known as one of the guru's of IT and entrepreneurs gave me a great qoute: "Basically, we have not moved far away from the fridge...."

Indeed we have not really gained any ground on productivity through innovation/inventions since the fridge!

Yes, we "feel" we are smarter, but at the same time we spend more and more utterly futile time on social-networks, setting up our different PDA', PDM' and gimmicks which end of the day steals more productivity time than it frees up.

The ultimate point here being: The world needs to go to Mars, to re-develop Africa, gets the Catholics in Southern America to believe in birth-control in order to reset/restart the growth engine ..otherwise we are probably looking at prolonged period of sub-par growth and slowly, slowly rising unemployment.

The issue of unemployment remains the most critical factor - there is NOTHING more demanding on a society than rising non-employed ....We are sneaking towards 10.0% for all of Europe and even the optimist' are now slowly, but firmly acknowledging that you can not create long-term sustainable growth by virtue of "talking, talking and talking" as it seems to be Mr. Obama's call.

(Click on chart for larger version)

Clearly the improvement in production & sentiment driven mainly by the "cash-for-clonkers" program, which really is an offer to get brand new car for free with no risk (Sounds similar to the old: Buy car, get money in cash, and pay nothing in 5 years offers coming from Detroit less than three years ago ? Yes, indeed, the King is dead, long live the King)

Well, we remain with our medium-term target of 940 in S&P - market is still hanging-on - but lets see what happens going into Bernanke speaking on Friday.

Safe trading,


mandag den 17. august 2009

High probability scenario from us for balance of 2009

Risk of - theme is now in place, and we have tried to look at the most likely path for balance of 2009.

We remain firmly in the camp of: 2009 will be ok investment year: We expect S&P to be 10-15% positive going into 2010. This should not be understood as if we are in the "everything is fine" camp, rather we respect two major imputs:

  1. The move from safe haven investment yielding below 1.00% for retail investors will lead to higher participation in stock market + still too many fund managers behind their allocation model ==> For every 5% down there will be new net buyers.

  2. The poltical need for a good 2009. Obama almost gave up on public financed healthcare this weekend - his domestic agenda increasingly under pressure and the Republicans feels stronger. Political input remains biggest risk day by day.

CHART 1: Our main scenario (Disclaimer: We do not for one second believe we know the moves ahead, but any good investor must have EXPECTED profile as benchmark to trade against or with)


Short S&P, EURUSD, USDJPY, long FI... Long DBA

Took profit: Short Denmark & Crude (wrongly for now)

Safe trading,


fredag den 14. august 2009

RISK OFF is the answer it seems...

Uni. of Michigan horrible! Simply horrible!

Final note:

Things make sense again... Uni of Mich shows increased worries about health care and jobs.. AND it highlights my continued issue
Obama facing serious headwind at home..

90% of all our propriatory indicators are now poised lower..only one's holding in.. being: "weak US dollar"
and stock market..

END OF day today could FINALISE DIVERGENCE in place.. but its too early yet..

Look at the charts from earlier today -

Positionwise it was a long, long day entering the market from RISK ON perspective, but we managed to change things around and came home ok - it was not a great day trading wise, small profit, but I think the day answered or will answer some key questions:

  • Remember ALWAYS: Market direction comes 90% from political and ad hoc driven events - mostly political ones - Obama headwind at home becoming the gravity of this market - also Bernanke now facing his re-selection (including Senate approval)...
  • Fixed income is in cyclical bullish phase as shown through the prisme of tech. trading yesterday and today. Fed stopping the buy-back is POSITIVE
  • The gap between perceived growth/profit and reality is just getting bigger and bigger - a jobless recovery is no recovery - even a Central planned economy like the US end of day needs to do one thing only: Create long-term jobs!
  • The consensus view will be tested next week: This could be down, down and neutral Q4 - instead of small down, big up... but that's for gurus not speculators like me.

Views per risk class:


Still think next major move will be strong US dollar overall - concerned about USDJPY leading everything down today- Risk of indicator or US Dollar weakness. I vote for the first.

Cons: GBP, EUR, SEK, AUD, ERM-general...


Strongest view - remain very long cash bonds for 90% of portfolio - (Danish bonds)--
Market got too little exposure presently.


Net shorted Danish market today, short S&P with 1020-00 two days above ..stop....
Like US better than Europe. Asia less than Europe.....
Sectors: Shipping, mining, banking at major risk here...


Sell Sugar - excessive spec.
Short Crude...
Short Gold.

Looking to buy GRAINS - long DBA ETF

Safe trading,

Steen Jakobsen

Risk on ? Risk of ? That's the question...

Present macro risk environment: RISK ON


We are small long DAX, short bunds, long EURUSD, long AUDUSD, and S&P on the day.... but will be square end of day......

The focus for next week will be to look for further erosion in China and keep very, very tight stops as DIVERGENCE rules across ALL major markets including the out of reality Sugar market...

Safe trading,


torsdag den 13. august 2009 Wal-Mart earnings..

We are increasingly of the believe that this market is driven by a NEED FOR POSTIVE RETURNS in the stock market...... meaning the market will be up in Q4 safe-guard Obama waning domestic political support.

We now need to find the likely paths for this, but it could include some downside initially followed by big demand below (minus 5-10% from here) there are too many shorts or neutrals around....but it is important to realise the stock market is "artificial" it has nothing whatsoever to do with overall fundamental economy (which is still weak) but all to do with a move out of EXTREME DEFENSIVE stance by most prof. investors - hence the market moves are driven by allocation models more than new incoming data. Note this or you will lose a lot of money this Q3 and Q4.

We, the old macro guys, remains sceptical, but we are also ALL OF US, acknowledging this could go on for longer than we like as it would be political suicide if Obama also had to deal financial crisis 2.0 in this autumn.

Personally I think many "overseas investors" are ignoring the political trouble Obama is having at home:

In order to balance this out he needs better, stronger markets the same time Bernanke will go quiet over the summer as his reconfirmation process starts in earnest.

The FOMC statement yesterday was clear signal to market:

Listen, the tail-risk is now dealt with (super gloom scenario) , but we are still in the left-hand side of the normal distribution.

The economics indicators on a "leading level" is positive, but the gap between "expected" and "realised" economic growth is still big, and growing (as seen by rising unemployment and output growth)......but more and more investor is joining the chorus of: This is sustainable, this is good...

This speculator is still cautious after poor June/July performance for the strategy, but we are fighting the urge to short, and remain constructive on stocks.

In FX-land the market decided the small exit from QE shown by FED was less important than the RISK ON sign that camed attached. I remain constructive on US dollar, but we will need some action inside next 24hrs.......

Still long DBA...otherwise strategy is to remain 100 pc flexible....

Safe trading,


onsdag den 12. august 2009


The issue as an investor right now is between.......

The need for intervention to work

The world needs a good close to 2009 - the time buying and excessive public spending is a project which can not be seen as failing (that it will fail.... is different agenda all together..)...

This entails the "smart money" is betting that the O-team will do ANYTHING to keep the momentum going into mid-term election and the agenda being one of FIGHTING BUSINESS - which mimicks the F.D.R - New Deal version 2.0 (do yourself favor and read F.D.R's inauguration speech)....

This could mean sell-off post FOMC today, but "quality buying" below ---- then rally into close of 2009 ....and then in 2010/2011 we will resume NEGATIVE tractions and new lows in the market...

The need for gravity to work

The buying of time is running out, the gap betwen "presumed" impact and realised is still huge and growing ... unemployment is rising.. everywhere, credit not reaching the consumers, and the new new growth is sub 2.0% looking 5-10 years forward. My favourite economist, John Makin, goes as far as saying 1% 2nd half 2009 growth is unrealistic, and that -2% is likely.

The critical level of 1000-1050 reached and many "guru's" now looking for top in place..

We will focus on FOMC for now - and keeping things light... but here as few thoughts:


We like it again, both from momentum but also fundamental value. China's growth is tax on farming prices - expect steep rise in autumn. Long DBA.

Fixed Income:

Still long Danish Fixed Income...

Foreign Exchange:

Strongest view: Short GBP - into quantative easing .... also long DXY (US Dollar index over FOMC for break - or stop out if FED goes further into QE)....

Like NOK - looking to short AUD....


Can not buy GOLD when we now world is entering long-term negative growth cycle, with excess capacity everywhere.... risk of crude like long pain..... was short took it back pre- FOMC

Crude: Short... for now.. .cyclical - but likes long-term prices action...


Cold as ice, slowing getting into market, but it is hard to restart the engines ...also as we were so wrong during the summer months.....

Safe trading,


onsdag den 5. august 2009

Service to resume on Monday August 10th, 2009

Dear Readers,

A long summer is coming to an end here on the seaside in Denmark - but this weekend its back to the City and a serious look at the markets again - I have been all but away from everything since Mid-July where I went away extremely confident about further downside - How wrong can you be? Well in my case it was mind-blowingly wrong!!!!

I stil fail to understand major parts of this cycle, but clearly the investment banks are now all busy resetting their US growth numbers to 2 at 3 pct for H2 of 2009.

I'm in no position to disagree honestly, but let's see next week when all the models and analysis is up and running again.

Monday is also the first working day with my partner Jesper Christiansen in our new company, something I have looked forward to all summer.........:

Limus Capital Partners - more on this later, but as of now my new official e-mails becomes:

Keep the faith and enjoy the "jolly days of this rally"....a let me leave you with this little "vocabulary" of Geithner/Obama administration: (links from Zerohedge and Olof Lindgren

GM chapter 11 = PRICED IN
125K+ jobs lost from GM chapter 11 = PRICED IN
unemployment @ 9% = BETTER THAN EXPECTED
unemployment @ 10% = DOW SOARS
unemployment @ 11% = GREEN SHOOT RALLY
unemployment @ 12% = ALREADY FACTORED IN
unemployment = 35% = DOW DROPS 100 POINTS
housing price =1% = RECESSION ENDING
housing collapses = GREEN SHOOT
Housing falls 20% = STABILIZATION
Government spends 1 trillion of OUR dollars = STIMULUS
North Korea fires nuke = RALLY
Israel bombs Iran = 30 MINUTE END OF DAY RALLY
world explodes = ASIA RALLIES
PMI crashes = HUGE RALLY
No jobs are created = RECESSION ALMOST OVER
U.S. debt overwhelming = TOO BUSY RALLYING TO CARE
Consumer stops spending = RETAIL RALLY
Banks are insolvent = SIGNS OF STABILIZATION
American auto industry BK = GOOD THING
Banks pass scam stress tests = HUUUUUUUUGE RALLY
Banks "only need 75 billion = OUT OF THE WOODS
Banks pass a real stress test = NEVER WOULD HAPPEN
Banks pay back tarp = LATE DAY SURGE
Banks can't pay back TARP = EARLY MORNING SURGE
12% mortgage delinquency = GOOD FOR STOCKS
Hundreds of thousands of mortgages underwater = HOUSING BOTTOMED
Dollar rises = RALLY
Dollar crashes = RALLY
Inflation = BULL MARKET
Gold rises = STOCKS RALLY
Banks' fake earnings = SIGNS OF STABILIZATION
CRE stabilizing= 1000 POINT RALLY

And the one we should all interpret correctly:

Best summer wishes,

Steen Jakobsen