CALDEIRÃO DE BOLSA

Pata-Hari Escreveu:Interessante esta parte:

Interest Rates: HFs continued to cover their deep short positions in the 10-Yr Ts and
the 30-Yr Ts last week while modestly selling the 2-Yr Ts. They remain very short the
long end of the curve, but look to be favoring safety momentarily.

Porquê que achas que as posições são estas LTCM?

Short positions on 10Y US-bonds have reached historical levels
(more than 270,000 short contracts). This is the highest level for short positions since the start
of our series in January 2005. Hedge funds probably anticipate, as we do, growing fears of
inflation and the first rate hike by the very end of this year.

30-YR T-BONDS
Large specs sharply covered portions of
their net short position in the 30-Yr Tbonds
futures last week to ~$10.2b
notional from ~$12.3b notional previously.
Readings have moved away from a
crowded short.

10-YR T-NOTES
Large speculators continued to cover
their short position in the 10-Yr T-Note
futures last week to ~$21.8b notional
from ~$24.6b notional previously.
Readings are deep into a crowded net
short position. Yields are rising and are
into resistance at 3.80%-3.90%. A move
up to 4.00% will be a breakout from a
head and should bottom pointing to
higher yields toward 4.30%-4.60% with
additional resistance at the 2006-2007
highs of 5.25%-5.35%.

2-YR T-NOTES
Large speculators sell the 2-Yr T-Note
futures to a net long ~$7.6b notional from
~$11.4b notional previously. Readings are
neutral.

Interest Rates: HFs continued to cover their deep short positions in the 10-Yr Ts and
the 30-Yr Ts last week while modestly selling the 2-Yr Ts. They remain very short the
long end of the curve, but look to be favoring safety momentarily.

Hedge funds were modestly down on the week ending April 28 but are up 0.7% MTD.
It would be the third month in a row of gains for HFs, up 3.2% YTD. Most strategies are
in positive territory MTD. Equity Long/Short (L/S) (1.10% MTD) and Convertible
Arbitrage (1.09% MTD) are the best performing strategy in April, while Macro is the
worst (-0.97% MTD). Overall, HFs still remain cautious on US equities, further selling
the NDX. At the same time they added to their very net long position in metals. They
also continue to be very short the Euro/ long the USD and pulled back somewhat on
their curve steepening trade.
Examining HF positioning by major strategies, we find Equity Long/Short HFs kept
their market exposure last week at ~25% net long- well below the historical average of
35-40%. Additionally, they switched to high quality stocks from low quality while
moving into growth relative to value. At the same time Equity Market Neutral stayed
very net long equities, but also began to favor high quality stocks. We also estimate
Macro HFs moved into a net short with respect to US equities last week while
continuing to buy the Emerging markets. (For more factor tilts please see pp 2-6).
Significant HF moves across asset classes based on CFTC data
(Note: Commitment of Traders data reflect positions as of last Tuesday)
Equities: Large specs continued to sell the NDX futures last week; readings are out of
crowded long. Additionally they held steady their shorts in the SPX futures and R2000
futures (pg 7).
Metals: HFs modestly added to their net long position in gold last week. They also
bought silver and platinum and slightly pared their crowded long in copper (pp 8-9).
Energy: Large specs reduced some of their crowded long in crude oil last week. As
the same time, they bought gasoline and heating oil. They also modestly covered their
deep short position in natural gas (pp 10-11).
Forex: HFs continued to add to their deep crowded shorts in the Euro last week while
keeping their crowded long in the US$ unchanged. Additionally, they remain near a
crowded short in the Yen.
Interest Rates: HFs continued to cover their deep short positions in the 10-Yr Ts and
the 30-Yr Ts last week while modestly selling the 2-Yr Ts. They remain very short the
long end of the curve, but look to be favoring safety momentarily.