David Fuller's view My trading losses this year have come mainly from US 30-year Treasury futures shorts and yen shorts, which obviously raises questions about the efficacy (lack of it, really) in persisting with these positions. I have my own reasons but on the basis of these results, there is little incentive for subscribers to track them. Results matter, not reasons.

Having mentioned that I would keep my T-bond shorts (weekly & daily) on automatic rollover while on holiday, these were bought in on 26th May at 125.07 for the June contract, against rollover openings at 119.238 on 24th February and additional sales at 120.80 and 121.43 on 15th and 25th April. New shorts in the September contract were simultaneously opened at 123.7695. Since spread-bet dealing costs are only 4-points each way, most of that spread between the bought-in price of 125.07 and the reopening at 123.7695 represents the yield on T-bond shorts for the quarter, which is expensive, especially if the timing is poor, as mine was.

So why did this trade go wrong in recent months? Even if T-bond yields are unsustainably low, as I maintain and this historic chart suggests, they can range in a base building phase for a long time before they rise significantly. One reason for the rally in futures prices may have been QE2, even though the Fed allocated very little of that for long-dated instruments. The major reason, I believe, is that US banks are still recapitalising via the yield curve. In other words, they can still borrow from the Federal Reserve at extremely low rates and leverage that money up in T-bond futures longs. That will work until the Fed either raises rates (unlikely anytime soon) or sufficient selling from current holders causes US 30-year bond yields (weekly & daily) to break their current downtrend and commence the next significant rally. This would trigger US banks' and others' long stops on T-bond futures. Currently, the rally looks overextended and it is also losing momentum, but the higher reaction lows have yet to be broken.

My Japanese yen shorts against the Canadian and US dollars were rolled forward last Friday. Consequently, CAD/JPY (weekly & daily) was sold at ¥82.164 for the June contract on 10th June, against my purchases at ¥86.332, ¥86.088, and ¥85.795 on 21st April. Simultaneously, new longs were opened at ¥82.021 for the September contract. In USD/JPY (weekly & daily) my June longs were sold at ¥80.273 against purchases at ¥81.762 and ¥81.550 on 21st & 28th April, respectively. New longs were simultaneously opened in the September contract at ¥80.30. I have stayed with these trades because multilateral intervention - a very rare occurrence - which we saw on 17th and 18th March has previously been a good signal for the short to medium term. We will see.

Meanwhile, I will probably be much more interested in precious metals in a few months time.