Governo avança com privatização de 49,9% da TAP

[LTCM]

Debt Crisis
By Saijel Kishan - Dec 2, 2010

David Gerstenhaber, founder of $1.6 billion hedge fund Argonaut Capital Management, said Portugal may be the next casualty of Europe’s debt crisis.

“Portugal is structurally weak,” he said in a telephone interview from New York. “There’s a 90 percent chance that they will get some form of help” to keep concern over the country’s creditworthiness from spreading to Spain and Italy, he said.

Gerstenhaber, 50, is among macro hedge-fund managers who say Europe’s debt woes pose one of the biggest risks to a global economic outlook that has only gradually improved this year. Stocks and the euro retreated in the past month as the crisis worsened, forcing Ireland to follow Greece and ask for a bailout. Standard & Poor’s said it may cut Portugal’s credit rating on concern the country may have to seek a bailout, something Prime Minister Jose Socrates has rejected.

John Taylor, founder of FX Concepts LLC, the world’s biggest foreign-exchange hedge fund, forecast the euro region will enter a recession next year and the euro will weaken as the debt crisis worsens.

“The risk that Spain and Italy will get into trouble is going to cause the euro to get quite weak,” Taylor said today at the Hedge Funds New York conference hosted by Bloomberg Link. Investors should sell German stocks because efforts by governments to cut back spending will hurt the region’s economy next year, he said.

Selling Euros

Macro hedge funds have been selling the euro, commodities, emerging markets, and Standard & Poor’s 500 Index futures while buying the dollar and U.S. 10-year notes, Bank of America Corp. analyst Mary Ann Bartels said in a Nov. 29 report.

“Despite the problems in the U.S., Europe’s are worse,” Dean Curnutt, chief executive officer of Macro Risk Advisors LLC, said the Hedge Funds New York conference.

Colm O’Shea, founder of $5.9 billion Comac Capital LLP in London, and Brevan Howard Asset Management LLP, the $32 billion hedge fund run by Alan Howard, both told clients in investor letters last month that problems in Europe’s “peripheral” countries may force the European Central Bank to stimulate the economy longer than planned.

“Fiscal issues and financial stress in some of the euro- zone peripheral countries are worsening even as the German economy strengthens,” O’Shea wrote. “These stresses argue for the ECB to delay its steps away from extraordinary policy.”

‘Headwinds’

Stocks and the euro rose today after ECB President Jean- Claude Trichet said the central bank will delay the withdrawal of emergency liquidity measures and keep buying government bonds as the debt crisis creates “acute” tensions in financial markets.

The S&P 500 advanced 0.7 percent at 10:21 a.m. in New York, led by a rally in financials. The Stoxx Europe 600 Index gained 1 percent, while the euro rose 0.3 percent to $1.3179.

Brevan Howard, which is run out of London, said efforts by the U.K. to reduce borrowing may undermine the economic recovery in that country.

“The intended reduction of the structural deficit by 2.3 percent of GDP next year creates substantial downside risks to the economy, given already weak underlying growth and ongoing private sector deleveraging headwinds,” the firm said in the letter.

The Brevan Howard Master fund returned 1.75 percent this year through October, according to the report.

Stymied

Macro hedge funds, which seek to profit from broad economic trends by trading currencies, bonds and commodities, returned 3.2 percent this year through October, compared with 5.4 percent for the hedge fund industry, according to data compiled by Bloomberg.

“Macro managers have been mainly using currencies and credit default swaps to make money,” said Rickard Lundquist, portfolio strategist at Stockholm-based SEB AG’s private banking unit, which invests about $6 billion in hedge funds for clients. “They have started taking on more risk than they were earlier in the year, when there was more economic uncertainty.”

Hedge-fund managers were stymied earlier this year as the European debt crisis, concern about U.S. government borrowing, uncertainty about new financial regulation and fears of an economic slowdown in China prompted investors to cut back risk. While stocks markets stabilized in the second half and fears of another recession abated, asset managers will have to contend with volatile markets into next year, said Bank of America’s Bartels.

QE2

“This year, the bulls have been frustrated and the bears have been frustrated,” she said in an interview. “Just when investors thought that there’s a trend, it reverses. These choppy markets are going to continue into next year, though with a bias to the upside.”

Global stock markets, as measured by the MSCI World Index, have gained 17 percent since the end of June, spurred in part by the U.S. Federal Reserve’s decision to buy an additional $600 billion in Treasuries to lower borrowing costs and stimulate the economy.

The Fed measures will encourage investors to take more risk and keep the dollar from appreciating against the euro, Fortress Investment Group LLC’s Michael Novogratz and Adam Levinson said in a Nov. 15 letter to investors. The program hasn’t been enough to ignite a sustainable economic recovery in the U.S., they wrote.

Housing, Consumption

“Even with the better demand data, we do not believe that the overall trend has been lifted substantially, or that job gains have clearly moved to a sustainable higher trajectory,” said the two, who manage about $3.2 billion in macro hedge funds at the New York-based investment firm. “From our perspective consumption and housing, in particular, remain big question marks.”

Spokesmen for Brevan Howard, Fortress and Comac declined to comment beyond the investor letters.

Novogratz and Levinson said they are closely monitoring the risk that in the coming months the Fed’s quantitative easing program won’t be as successful as policy makers and investors had anticipated.

Fortress’s Macro Fund returned 7.6 percent this year through October, according to an investor letter.

Gerstenhaber, whose Argonaut Macro Partnership LP fund returned 4.3 percent through October, said there’s a “reasonable” chance that the Fed they may step up efforts “if the economy continues to show modest but not substantial progress.”

Fed’s Credibility

O’Shea, 40, had told clients in August that the Fed would risk its credibility with a second round of so-called quantitative easing because it may have little impact on economic growth.

Comac returned 1.8 percent this year through October, according to the letter.

Brevan Howard said while it expects U.S. GDP to accelerate “a little” next year, elevated unemployment, a weak housing market and debt reduction measures will restrain the economy.

“There do appear to be more reasons for optimism,” Brevan Howard said. “However, to expect robust self-sustaining expansion in the U.S. would be a mistake.”

To contact the reporter on this story: Saijel Kishan in New York at skishan@bloomberg.net

[LTCM]

Significant HF moves across asset classes based on CFTC data

Equities. Large specs slightly unwound their S&P 500 shorts and NASDAQ 100 longs.
The NASDAQ 100 remains in a crowded long position. (pg 8).

Agricultures. Large specs bought soybean but lightly sold corn futures. Corn and soybean remain in a crowded long (pg 9).

Metals. Large specs slightly bought copper but sold gold and silver, platinum positions essentially remained the same. Copper stays in a crowded net long position (pg 10-11).

Energy. HFs sold crude, heating oil and gasoline futures last week. Heating oil moved out of a crowded long position but crude remains in a crowded long.

Natural Gas positions remain in a crowded short (pg 12-13).

Forex. HFs bought Euro and USD but marginally sold Yen last week. The Yen remains in a crowded long position (pg 14).

Interest Rates. HFs bought 2-year, 10-year and 30-year Treasuries. Readings are
neutral (pg 15).

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[LTCM]

Bonds and Money Markets: Back in April and May of this year, hedge funds and many other investor categories were anticipating higher bond yields. The return of “double-dip” fears since then has forced the squaring of net short positions. With a second round of quantitative easing having started, funds have remained somewhat long on 10Y Treasuries.

Equity and Equity volatility: At the present time, funds have no major positions on the S&P (slight net shorts) or the Nasdaq (slight net longs). The net shorts on Small Caps (Russell 2000) have also been maintained. Expectations that the yen could fall from very high levels have led funds to stay net long on the Nikkei.

Currencies: Funds were correctly positioned for the recent weakening of the dollar against all currencies. In particular, Swiss Franc net long positions versus the US dollar have been further extended.

Commodities: The weakening dollar has prompted an increase in net positions on commodities, which also benefit from greater liquidity conditions with the start of QE2. We highlight a significant increase in net long positions on oil, energy being the commodity most correlated to a fall in the USD. Funds substantially decreased their long positions on wheat.

SG Hedge Fund Watch

[Pata-Hari]

António Coimbra
Mercado de telecomunicações deverá continuar em queda este ano
22 Setembro 2010 | 14:21
Alexandra Machado - amachado@negocios.pt
Imprimir|Enviar|Reportar Erros|Partihar|Votar|Total: 2 VotosTamanho

O mercado de telecomunicações deve continuar a cair durante este ano, ainda que a um ritmo menor, afirmou hoje Antonio Coimbra, presidente da Vodafone Portugal.

O mercado de telecomunicações deve continuar a cair durante este ano, ainda que a um ritmo menor, afirmou hoje Antonio Coimbra, presidente da Vodafone Portugal, na conferência de imprensa para anunciar a nova solução para o mercado empresarial Vodafone One Net.

os últimos dois, três anos o mercado caiu cerca de 2%, sendo a queda no segmento móvel de 4% devido a redução das tarifas de terminação.

Para este ano, António Coimbra acredita que o mercado poderá cair metade do que tem perdido nos últimos anos. Já em 2012 poderá assistir-se a um crescimento moderado ou estagnação.

Information Technology and Telecom Services represented the largest increases in hedge funds’ long asset allocation during 2Q (130 bp and 49 bp respectively)

[Pata-Hari]

Há pelo menos dois anos, se não três ou quatro...

[LTCM]

The hedge fund industry has made vast profits partly by exposing weakness in stocks, currencies, even national economies, but they have increasingly come under fire for their perceived role in the global economic crisis.

Antonio Borges is the Chairman of the Hedge Fund Standards Board .

Stephen Sackur asks him if regulation will ensure that the financial shocks of recent years are never repeated.

http://news.bbc.co.uk/2/hi/programmes/h ... 997859.stm

[LTCM]

Hedge funds appear to use ETFs more as a hedging tool than as a directional investment vehicle

Goldman Sachs HF Trend Monitor - August 20, 2010

o que achas disto, ltcm?

O uso de ETF’s existe principalmente por uma questão de facilidade operacional, que, não raras vezes, se traduz numa maior rentabilidade, pois:
- Os ETF’s não obedem à regra do uptick, o que é bastante interessante quando se precisa de “shortar”;
- São desenhados para a diversificação evitando o risco inerente à aposta feita numa única acção;
- O spread nos ETF’s é, em muitos casos, menor do que o dos títulos que o constituem;
- São óptimos para executar estratégias de Pairs trading, que os H.Funds tanto gostam;
- Podem ser negociados, pelos H.Funds, no OTC directamente com o market-maker.

Só vantagens.

[Pata-Hari]

Hedge funds appear to use ETFs more as a hedging tool than as a directional investment vehicle

Goldman Sachs HF Trend Monitor - August 20, 2010

o que achas disto, ltcm?

[LTCM]

Short positions offer more comprehensive insight to hedge fund sector tilts. Our analysis of short interest data suggests that hedge fund sector net exposure may differ from what 13-F filings indicate.
During prior quarters, short interest data suggested that hedge funds used allocation differences between long and short portfolios to “hedge” their long exposure. So far in 2010, large allocation differences further skew sector positioning relative to the Russell 3000. Hedge fund long exposure shows funds are overweight Materials relative to the Russell 3000 (6.6% versus 4.0%). Short interest data indicates Materials accounts for 4.5% of all short positions. Combining long and short data, hedge funds appear to hold a 10.1% net weighting in Materials and are more overweight relative to the Russell 3000 than long exposure suggests. Similar portfolio skew occurs in underweights of the Financials and Consumer Staples sectors.
Hedge Funds remained underweight Consumer Staples and Financials and increased Materials exposure during 2Q 2010. Hedge funds’ net long weighting in Consumer Discretionary remains the highest of all sectors. Hedge funds appear to underweight Information Technology for the third consecutive quarter (16% vs. 19% in the Russell 3000).
Hedge funds were last underweight Information Technology in 2005 although funds were neutral in 2007.

Information Technology and Telecom Services represented the largest increases in hedge funds’ long asset allocation during 2Q (130 bp and 49 bp respectively). Hedge funds decreased exposure to Consumer Discretionary and Financials. Utilities and Telecom Services outperformed the market in 2Q, accounting for some of the higher weighting in portfolios. However, Materials and Info Tech underperformed during the quarter suggesting hedge funds bought shares.
Sub-sectors: What hedge funds are buying and selling We estimate the dollars invested by hedge funds in various sub-sectors based on change in ownership during the quarter. Sub-sectors in which hedge funds added to positions slightly outperformed sub-sectors in which they sold during 2Q (-14% vs. -15%).
Funds added to positions in Industrials sub-sectors such as Building Products, Security & Alarm Services, and Trucking. The sub-sector with highest outflows was also in Industrials, Heavy Electrical Equipment (Exhibit 15).

Hedge funds appear to use ETFs more as a hedging tool than as a directional investment vehicle, based on our analysis of 13-F and short interest filings. We estimate that hedge funds hold $101 billion in gross exposure to ETFs compared with $900 billion of gross exposure to single-stocks.
The $81 billion of short ETF positions accounts for 80% of the hedge fund gross ETF exposure. In contrast, single-stock short positions ($307 billion) represent 34% of hedge fund gross single-stock positions. The most shorted ETFs tend to be index hedges (representing $44 billion of the $81 short positions). Commodity-related ETFs appear to be the only ETFs that hedge funds utilize on the long side.
ETFs now represent 3% of long assets, down from 6% in 1Q 2009. This is consistent with a falling correlation environment, in which stock-picking comes into focus.

Goldman Sachs HF Trend Monitor - August 20, 2010

[LTCM]

Curioso o artigo não mencinar nada sobre os cereais, açucar, soja, aroz, milho, etc....

Esse tipo de activos são mais do agrado dos CTA/MF, uma parte residual dos HF.

[Automech]

Curioso o artigo não mencinar nada sobre os cereais, açucar, soja, aroz, milho, etc....

[LTCM]

Examining HF positioning by major strategies
Equity Long/Short funds reduced their market exposure to roughly 21% net long last
week, well below the historical average range (35-40%).

Market Neutral funds
increased equity exposure above a 50% long / 50% short benchmark.

Models indicate
Macro HFs are net short US equity exposures, while flat EAFE and slightly long EM.
Significant HF moves across asset classes based on CFTC data
Equities. Large specs partially covered their short positions in SPX and sharply
covered NDX, while holding steady Russell 2000 positions last week (pg 9).

Metals. Large specs slightly sold their long positions in gold and silver; while holding
steady copper and platinum. Readings are neutral (pp 10-11).

Energy. HFs slightly bought crude oil and heating oil last week, and slightly added on
to their crowded short in natural gas (pp 12-13).

Forex. HFs continued to cover shorts in the euro and slightly reduced their crowded
long in the JPY. HFs held steady their crowded long in US$ (pg 14).

Interest Rates. HFs added to their short positions in the 30-Yr and 10-Yr Ts, while
slightly covered 2-Yr Ts (pg 15).

S&P 500 Large Spec positions
Large speculators slightly covered S&P500 futures to approximately $7.9bn notional net short from about $9.5bn notional previously. Readings are neutral.

NASDAQ 100 Large Spec positions
Large speculators noticeably covered NDX futures last week to a net short of $0.3bn notional from $1.4bn previously. Readings are neutral.

Gold
Large speculators sold down their net long position to roughly $21.2bn notional from $25bn notional previously. Gold is seasonally weak during the summer months. In our view, gold is bullish with a price projection up to $1300-1350. Our long term view remains that gold is within a secular bull market with a long-term target of $1500-1600.

Crude oil
Large speculators marginally bought crude oil last week to roughly $2.8bn notional from approximately $2.7bn notional previously. Crude oil has based since late May – a breakout above $81 would point to a test of $85. Readings are neutral.

Euro
Large specs slightly covered their net short position in euro futures to roughly $3.1bn notional from roughly $3.4bn notional previously. The euro has seen significant technical deterioration recently on fiscal concerns over Greece and other Eurozone countries. The euro hit 1.30 and could move a bit further to the upside to 1.31-1.32. We would,
however, begin to anticipate a pullback to lower levels after this countertrend rally.

US$ index
Large speculators held steady their US$ index to a net long of roughly $1.2bn notional. Readings remain in a crowded long. The USD has corrected but could pullback a bit more. Look to the euro for direction in the USD. Support is in the range of 82-79.50. We do expect higher highs for the USD later this year.

[LTCM]

Examining HF positioning by major strategies
Equity L/S funds held steady their market exposure at roughly 27% net long the
end of 2Q10, below the historical average range (35-40%). Market Neutral funds’
equity exposure essentially remained flat. Macro HFs continued to reduce EM and
EAFE exposure, while covering their short in US equity indices.

Significant HF moves across asset classes based on CFTC data
Equities. Large specs added to their short positions in SPX & Russell 2000 last
week, while sold NDX futures to net short (pg 7).
Metals. Large specs reduced their long positions in gold, silver and platinum. They
held steady their positions in copper. Readings are neutral (pp 8-9).
Energy. HFs sold crude oil and heating oil last week, and slightly covered their
crowded short in natural gas (pp 10-11).
Forex. HFs aggressively covered euro out of crowded short and slightly reduced their
crowded long in the US$. HFs also bought JPY to crowded long (pg 12).
Interest Rates. HFs partially covered their crowded shorts in the 10-Yr Ts, held steady
their short position
in the 30-Yr Ts and sold 2-Yr Ts into net short (pg 13).

Estimated factor exposures for Long-Short Equity Funds
L/S funds maintained market exposure at about 27% net long last week.
Current readings are below the historical average range of 35-40% net long.
Growth and high quality tilts; positive inflationary expectations.

Significant factor exposure changes since last week
Inflationary expectation and growth tilt continue to rise.

Macros partially covered S&P 500 and NDX short
Macro hedge funds were down 44bps last week, and are down 2.49% year to
date. Macros were hurt by the short squeeze of euro and the weakening US$ last
week. They noticeably covered their net shorts in SPX, NDX and 10-Yr Ts. In
addition, Macro HFs partially covered their short positions in commodities.

Macros sold EM and EAFE
Macro funds continued to sell the emerging markets and EAFE last week.
Readings are neutral.

S&P 500 Large Spec positions
Large speculators noticeably sold S&P500 futures to approximately $5.3bn notional net short from about $1.3bn notional. Readings are neutral.

NASDAQ 100 Large Spec positions
Large speculators sold NDX futures last week to net short of $1bn notional.

Russell 2000 Large Spec positions
Large speculators modestly added to their short position in the R2000 futures last week to roughly $3.2bn from $2.4bn notional previously.

Gold
Large speculators noticeably sold down their net long position to roughly $25bn notional. Technically, gold is bullish with price projection up to $1300-1350. Our long term view remains that gold is within a secular bull market with a long-term target of $1500-1600.


Crude oil
Large speculators sold crude oil last week to roughly $1.9bn notional from approximately $2.8bn notional previously. Readings are neutral.

Euro
Large specs noticeably covered their net short position in euro futures to roughly $4.9bn notional from roughly $9bn notional previously. Readings are moving out of a crowded short. The euro has seen significant technical deterioration recently on fiscal concerns over Greece
and other Eurozone countries. A continued near-term short squeeze is possible that could take euro up to 1.30. But lower levels are favored in the medium term.

US$ index
Large speculators slightly sold the US$ index to a net long of roughly $1.4bn notional from about $1.7bn notional previously. Readings remain in a crowded long. We maintain that, technically, the USD is showing signs of a near-term top. A short squeeze in the euro would put
pressure on the DXY. Higher highs are favored later in the year.

30-YR T-bonds
Large specs held steady their net short position in the 30-Yr T-bonds futures last week at approximately $7.1bn notional. Readings are neutral.

10-YR T-notes
Large speculators partially covered their net short position in the 10-Yr T-note futures to roughly $11.5bn notional from approximately $16.1bn notional previously. Readings remain in a crowded net short position. The 10-Yr Ts had a dark cross in mid June. This is when 50- day moving average crossing below the 200-day moving average signaling lower yields ahead.

2-YR T-notes
Large speculators aggressively sold 2-Yr TNote futures to approximately $3.4bn notional net short from $2.1bn notional long previously. It is the first time since Jan. 2009 that large specs went net short 2-Yr T-notes. Readings remain neutral.

Source: BofA Merrill Lynch Global Research

[Crómio]

Uau! Bom tópico ficou melhor ainda!

[Pata-Hari]

Engraçado esta parte:

Currency positions are sizable; volatility
expected to continue
Euro
Large specs slightly added to their net
short position in Euro futures to roughly
$9bn notional from roughly $8.7bn
notional previously. Readings are a
crowded short. The euro has seen
significant technical deterioration
recently on fiscal concerns over Greece
and other Eurozone countries. A
continued near-term short squeeze is
possible that could take euro up to 1.30.
But lower levels are favored in the
medium term

[LTCM]

BofA Merrill Lynch (BofAML) Research refers to the combined Global Research operations of Merrill Lynch and BAS.

Examining HF positioning by major strategies
We find Equity L/S funds reduced their market exposure to roughly 27% net long by
the end of 2Q10, below the historical average range (35-40%). Market Neutral funds’
equity exposure essentially went flat. Macro HFs continued to reduce EM and EAFE
exposure, and sold out of their crowded longs in US$.

Significant HF moves across asset classes based on CFTC data
Equities: Large specs marginally covered the SPX & Russell 2000 last week, while
holding steady their position in NDX futures (pg 11).
Metals: Large specs held steady their positions in gold, silver, copper and platinum.
Readings are neutral (pp 12-13).
Energy: HFs sold crude oil and heating oil slightly last week, and noticeably bought
gasoline (pp 14-15).

Forex: HFs slightly sold euro back into crowded short and reduced their crowded long
in the US$. HFs also aggressively bought JPY close to crowded long (pg 16).

Interest Rates: HFs added to their crowded shorts in the 10-Yr Ts and further short
position in the 30-Yr Ts, while partially sold their net longs in the 2-Yr Ts (pg 17).
(Note: Commitment of Traders data reflect positions as of last Tuesday)

Short interest levels remain low – room to increase
Increase in shorting can put further downside pressure on stocks
Aggregate adjusted short interest (ASI) for the S&P 1500 increased 6% from its
lowest levels in more than three years. This is the largest one-time increase since
early March 2009. The adjusted short interest ratio (ASIR) also increased. The
implication is that there is capacity in the market to add short positions, increasing
any downward pressure on stock prices.
Adjusted short interest (ASI) in the S&P 1500 rose in nine of ten sectors. Short
interest increased most in Financials (9%), Utilities (8.3%), Health Care (7.2%)
and Energy (5.7%); ASI only declined in Telecommunications Services (-1%).
The increase in ASI in Financials was pronounced in Diversified Financial
Services (43.2%) and significant in Capital Markets (16.7%). Overall, Financials
account for 20.6% of all ASI in the S&P 1500, Consumer Discretionary at 19.4%
and Information Technology at 17.6%.


S&P 500 Large Spec positions
Large speculators marginally covered
S&P 500 futures to approximately $1.3bn
notional net short from approximately
$1.4b notional previously. Readings are
neutral.

NASDAQ 100 Large Spec positions
Large speculators held steady their net
long position in the NDX futures last
week at roughly $0.7bn notional.

Russell 2000 Large Spec positions
Large speculators modestly covered their
short position in the R2000 futures last
week to roughly $2.4bn notional net
short.

Gold
Large speculators held steady their net
long position at roughly $29.6bn notional.
Technically, Gold is bullish with price
projection up to $1300-1350. Our long
term view remains that gold is within a
secular bull market with a long-term
target of $1500-1600.

Crude oil
Large speculators sold crude oil last week
to roughly $2.8bn notional from
approximately $3.1bn notional previously.
Readings are neutral.

Natural gas
Large speculators slightly covered their
deep net short position in natural gas last
week to about $7.1bn notional. Natural
gas traded up in June, but a decisive
breakout above $6.5 is required to
confirm this base and indicate the
potential for more significant upside. A
tactical rally in natural gas back to the
range highs near $6.$10-6.50 is possible,
in our view.

Currency positions are sizable; volatility
expected to continue
Euro
Large specs slightly added to their net
short position in Euro futures to roughly
$9bn notional from roughly $8.7bn
notional previously. Readings are a
crowded short. The euro has seen
significant technical deterioration
recently on fiscal concerns over Greece
and other Eurozone countries. A
continued near-term short squeeze is
possible that could take euro up to 1.30.
But lower levels are favored in the
medium term.

US$ index
Large speculators marginally sold the US$
index to a net long of roughly $1.7bn
notional from about $1.8bn notional
previously. Readings remain in a crowded
long. We maintain that, technically, the
USD is showing signs of a near-term top. A
short squeeze in the euro would put
pressure on the DXY. Higher highs are
favored later in the year.

Yen
Large speculators aggressively bought Yen
last week close to a crowded net long of
$3.9bn notional from roughly $0.5bn
notional previously. The Yen/USD
continued to strengthen sharply last
week. The JPY/USD has support near the
85 level and resistance in the 94-95 area.

30-YR T-bonds
Large specs added to their net short
position in the 30-Yr T-bonds futures last
week to approximately $7.2bn notional
from roughly $5.9bn notional previously.
Readings are neutral.

10-YR T-notes
Large speculators increased their net
short position in the 10-Yr T-note futures
to roughly $16.1bn notional from
approximately $13.7bn notional
previously. Readings are deep into a
crowded net short position. 10-Yr yields
broke key support of 3.10-3.00% last week
and now point to a range of 2.75-2.00%.
The 10-Yr Ts had a dark cross last week.
This is when 50-day moving average
crossing below the 200-day moving
average signaling lower yields ahead.

2-YR T-notes
Large speculators sold their net long
position in the 2-Yr T-Note futures to
approximately $2.1bn notional from
roughly $5.1bn notional previously.
Readings remain neutral.

[ruilito]

Muito obrigado pela explicação. Brilhante.

[DareDevil]

Cem

Posso perguntar-lhe baseado no que descreveu a sua opinião sobre o momento do EurUsd?

Obrigado

[Al_Trader]

Caro 100

Acabei de levar um banho de "saber" que me encheu as medidas .

Obrigado

[Cem pt]

Não, não é exactamente assim como acho que deve ser estudada a volatilidade para efeitos de um trading com resultados potencialmente interessantes.

Deixa-me fazer então algumas considerações baseadas na minha experiência em, certamente, mais de um milhar de indicadores testados.

Para já considero que um período inferior a 20 sessões (= 1 mês de calendário) para a fixação de canais de expansão e contracção de volatilidade não faz muito sentido para um sistema de trading, a menos que estejamos a falar de day trading ou intraday trading, o que não é o caso.

Para efeitos daquilo que a volatilidade representa em termos decisórios na cabeça de um trader o que temos de reter é tentar perceber quais os padrões relevantes a fixar, para daí podermos concluir qual a melhor forma de estatisticamente procurarmos entender como a maioria dos players ou os traders mais capitalizados podem alterar a mudança de sentido do mercado, actuando de forma mais activa dali para a frente.

Através de imensos testes o que consegui retirar em termos básicos é que atingir uma volatilidade extrema é a maior motivação para se assumir determinada posição no mercado.

Os picos emocionais que permitem o arranque de uma tendência podem ser mais rapidamente apercebidos pelos intervenientes no mercado, de forma muito mais eficiente do que esperar mais uma ou duas semanas que o "lagging" de determinada média móvel mude de sinal.

Essa percepção dos picos de volatilidade pode ser feita, na minha humilde opinião apenas baseada em testes e experiências do passado, de uma forma simplista recorrendo a 2 regras básicas que não são mais do que conclusões comparativas que são retidas ou apercebidas pelos traders de uma forma subconsciente emocionalmente relevante.

Antes de referir essas 2 regras tens de construir o teu próprio canal de volatilidade relativa. Duma forma simplista esse canal não será mais do que a diferença entre o máximo e o mínimo registados nesse período ou a amplitude dos valores extremos alcançados pela cotação durante a citada time-frame.

E qual o período de tempo a tomar como referência? Esse é sempre um dilema ou um busílis de qualquer trader programador. Podes usar um número de sessões fixo embora a consideração de um número de sessões variável seja preferível ou dê melhores resultados.

O que se deve tomar em consideração para este efeito de um número de sessões variável? Simplesmente fazer um tipo de verificação mais alargado sobre o tipo de mercado que o programa está a detectar no passado mais recente, se estiver muito "calmo" ou pouco volátil utilizas um maior número de sessões mas se estiver a tornar selvagem e a aumentar claramente a volatilidade o número de sessões para o cálculo do canal de volatilidade relativa deve baixar. Isto significa que se usares um valor variável de sessões este "range" pode variar, digamos, entre 60 a 20 sessões consoante o diagnóstico de calmaria ou selvajaria dos movimentos recentemente detectados.

No final ficas sempre com um canal de bandas que alarga e contrai ao longo do tempo, medindo a volatilidade relativa.

A primeira regra relevante a reter é a de que para efeitos de trading só vão interessar os valores elevados das expansões do canal de volatilidade relativa.

A volatilidade relativa está a alargar na sessão de hoje? Tens 2 possibilidades:
1) Não, então mantém-te calmo na posição anterior assumida e deixa andar, nada de relevante a assinalar em futuros movimentos: o mercado ou continuará na sua tendência original ou irá lateralizar.
2) Sim, simplesmente o mercado começou a esticar, puxando as cotações para cima ou para baixo, fica alerta porque pode estar a chegar a todo o instante uma confirmação ou mudança de tendência.

A segunda regra é comparares o valor da volatilidade relativa com o valor máximo de expansão atingido pelo canal em causa no número de sessões que estavas a considerar.

Exemplificando: o número de sessões que estava a ser usado pelo programa era por exemplo de 43 sessões; comparas a volatilidade relativa da sessão de hoje com o máximo da volatilidade relativa alcançado nas anteriores 43 sessões. Se for inferior, esquece, a tendência não se altera. Se for superior, aí o mercado está em ponto de rebuçado e os traders seguidores de tendência em efervescência prontos a mudar de posição! Agora tens de fazer apenas uma verificação simples: supõe que a volatilidade relativa subiu porque o mercado esticou para cima. Se estavas longo continuas calmamente comprado. Se estavas curto, mudas de posição e passas a comprado. Decisão muito fácil!

Boa sorte, se seguires estes princípios básicos podes ter a certeza que a performance no trading pode subir a patamares muito interessantes.

Abraço.



Cem

[Automech]

Portanto, duma forma simplista, se num periodo de 200 dias tivermos um HHL 50 e um LLV de 30 e depois num perido de 50 dias tivermos 45/35 e depois, contando apenas 10 dias tivermos 40/38 isso representa para tim uma contracção de volatilidade ?

Porque também se observa pontualmente qee, apesar destes canais se estreitarem, a H-L média até pode aumentar.

Isto acontece sobretudo quando por exemplo há 200 barras atrás se verificou um periodo em que a a H-L média era baixa, mas em que o preço foi subindo lentamente (sem interrupções).

E depois aumentou a H-L mas o movimento tornou-se errático para cima e para baixo, ou seja os canais estreitam, mas a H-L aumenta.

Muitas das vezes considera-se que essa subida lenta há 2 meses atrás foi com baixa volatilidade, ao passo que, quando aumentou a H-L média, a volatilidade aumentou apesar da HHV-LLV ter reduzido.

Eu já dei voltas à cabeça e não consigo construir um indicador que me dê sinais dessa transicção (que provavelmente é a pergunta do milhão de dólares )

[Cem pt]

Amigo Automático:

Frisaste bem, na volatilidade existem indicadores para amplitudes diárias H-L e diferenciais ou descontinuidades entre escalas temporais mais alargadas nos seus extremos entre tops e bottoms.

No caso dos sistemas de trading estou em crer, aplicando a minha experiência pessoal, que o conceito mais importante na detecção dos principais alertas de mudança de sinal é o 2º caso que foi referido no parágrafo anterior, sem contudo pretender retirar signicado ou importância à alternativa das amplitudes diárias na explicação doutro tipo de movimentos.

Abç.

Cem

[Automech]

Cem, em tempos houve aqui um tópico em que se discutiu a volatilidade porque havia opiniões diferentes sobre esse conceito (não consigo encontrar o tópico).

Até me lembro que o Ulisses respondeu que para saber se uma acção era volátil fazia essa verificação visualmente no gráfico e que lhe era dificil definir volatilidade de uma forma precisa (não foi por estas palavras mas o sentido é este).

Como tu trabalhas essencialmente com intrumentos analiticos, aqui quando falas em volatilidade referes-te indicadores que espelham um aumento da diferença H-L, das ROCs, do alargamento da diferença do HHL-LLV, outros ?

Desculpa se já respondeste a isto noutro tópico.

[Cem pt]

(...)Quando a volatilidade baixa os grandes players fazem um break, concedem alguma distribuição e deixam de massacrar durante algumas semanas no sentido da trend dominante e a grande multidão dos pequenos investidores entretém-se na fase oscilatória que se segue nos pequenos ciclos de sobe e desce sem sentido aparente a que se está a assistir, passando muitas vezes a "long" julgando erradamente que estamos perante uma inversão da tendência dominante.

(...)Cem

mas afinal qual é a origem da volatilidade? não nasce precisamente da movimentação dos grandes players?

Amigo "R":

Exactamente, estás a ir de acordo ao que tenho vindo a dizer, a volatilidade é essencialmente alimentada pela grande actividade dos grandes players, conseguem melhor que ninguém empurrar o mercado para a direcção que pretendem devido à força do enorme capital que gerem.

Quando este grupo relaxa e deixa ao palco para os pequenos investidores as coisas acalmam e a volatilidade tende a baixar.

Abç.

Cem

[rsacramento]

(...)Quando a volatilidade baixa os grandes players fazem um break, concedem alguma distribuição e deixam de massacrar durante algumas semanas no sentido da trend dominante e a grande multidão dos pequenos investidores entretém-se na fase oscilatória que se segue nos pequenos ciclos de sobe e desce sem sentido aparente a que se está a assistir, passando muitas vezes a "long" julgando erradamente que estamos perante uma inversão da tendência dominante.

(...)Cem

mas afinal qual é a origem da volatilidade? não nasce precisamente da movimentação dos grandes players?