- Difficult start to 2011. Risk On trades underwater vs year end mtm from the get go. Short US10YY hedge ineffective as surprisingly strong ADP numbers (+297k) panicked bond markets, pulling core and hedge apart. Conviction in US10YY range of 3.25% and 3.50% led to doubling of long TYH1 at 3.46%, thus mitigating the book loss somewhat when actual NFP turned out +103k only (closed week at 3.32%). Also start of year positions are relatively small so damage not serious although disappointing.
- USDX : Potentially bullish, mainly because this has 57.6% EUR component. Some pairs (eg USD/CAD) behaving differently. Better to look at individual chats and trade each accordingly.
- US10YY : Do not believe yields will sustain a break out on the upside so keep approaching from a positive carry/valuation perspective. Buy USTs near 3.50%. Reduce some on approach of 3.25%.
- S&P500 : Most consistent bullish price action.
- Gold : Period of sideways consolidation expected.
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