The global macro scenario, macro information flow arrival and volatility clustering are expected to continue dominating market sentiment in the short run, according to a report by Lipper.
In the current trading environment macro and systematic traders are expected to benefit the most from trading across diverse asset classes.
Looking at the recent past, historical patterns occurring in 2007 might materialise again. Several macro-driven "crowded trades" are about to appear again in hedge portfolios.
Concerns about absorption of new government bond issuance of PIIGS countries and low bid-to-cover ratios at government debt auctions will affect the intermediate-to-long sector of the yield curve in those countries.
The dedicated short-bias strategy will be a bright spot as market fears resume. The ten-day exponential moving average of the CBOE Equity Put/Call Ratio—a gauge of the sentiment of speculative traders, which hit a multi-year record low of 0.472 on 15 April—appears to be close to a reversal to the downside.
FX strategies will continue offering attractive opportunities to lock in profits in the short term. Of interest is the change in positioning that large speculators executed in the euro foreign exchange futures markets in the week ending 18 May.
