Following the Trend
You may have noticed that we are getting more and more long equity positions lately. We are now up to a total of 9 markets in this sector in this category for quite an aggressive long equity exposure. Seemingly contradictory, we still hold a large allocation of long rates as well and it is likely that one of these bets will end up being on the wrong side in a near future. Until then, we have some portfolio stabilization due to this diversification.
Apart from the long equitiy / long rates theme, we are long the non-agricultural commodities and mainly short the agriculturals. In the first bucket, we are long several positions in oil related markets as well as metals and in the latter we are short grains and softs, long meats.
| Market | Direction | Sector | Entry Date |
|---|---|---|---|
| Coffee | Short | Agricultural Commodities | 2011-12-13 |
| Cattle-Live | Long | Agricultural Commodities | 2012-01-25 |
| Rice-Rough | Short | Agricultural Commodities | 2011-11-10 |
| Sugar #11 | Short | Agricultural Commodities | 2011-11-25 |
| Australian Dollar | Long | Currencies | 2012-01-18 |
| Japanese Yen | Long | Currencies | 2012-01-31 |
| New Zealand Dollar | Long | Currencies | 2012-01-26 |
| CAC 40 Index | Long | Equities | 2012-02-02 |
| Dax Index | Long | Equities | 2012-01-27 |
| FTSE 100 Index | Long | Equities | 2012-01-11 |
| Hang Seng China Enterprises Index-HKEX(HKFE) | Long | Equities | 2012-02-06 |
| Hang Seng Index-HKEX(HKFE) | Long | Equities | 2012-02-08 |
| Nasdaq 100 Index | Long | Equities | 2012-01-19 |
| S&P 500 | Long | Equities | 2012-01-11 |
| DJ Euro STOXX 50 Index | Long | Equities | 2012-02-02 |
| IBEX Index | Long | Equities | 2012-02-10 |
| Crude Oil-Light | Long | Non-Agricultural Commodities | 2012-01-04 |
| Gold-COMEX | Long | Non-Agricultural Commodities | 2012-02-03 |
| Heating Oil #2 | Long | Non-Agricultural Commodities | 2012-02-06 |
| Gas Oil | Long | Non-Agricultural Commodities | 2012-02-07 |
| Gasoline-Reformulated Blendstock | Long | Non-Agricultural Commodities | 2012-01-19 |
| Copper - High Grade | Long | Non-Agricultural Commodities | 2012-02-10 |
| Canadian Bankers' Acceptance-3Mth-ME (24 hr) | Short | Rates | 2012-01-03 |
| Canadian Govt Bond 10Yr | Long | Rates | 2011-11-24 |
| Euro German Bund | Long | Rates | 2012-01-10 |
| Euro German Bobl | Long | Rates | 2011-12-15 |
| Euro German Schatz | Long | Rates | 2011-11-10 |
| Eurodollar-3 Mth | Long | Rates | 2012-01-26 |
| EURIBOR-3 Mth | Long | Rates | 2012-01-23 |
| Euro Swiss Franc | Short | Rates | 2012-01-23 |
| Gilt-Long(8.75-13yr) | Long | Rates | 2011-11-16 |
| Sterling Rate-3Mth | Long | Rates | 2012-02-03 |
| T-Note-U.S. 5 Yr | Long | Rates | 2011-12-08 |
| Japanese 10yr Govt Bond | Long | Rates | 2012-01-12 |
| T-Note-U.S. 2 Yr | Long | Rates | 2011-12-08 |
| T-Note-U.S. 10 Yr w/Prj AX | Long | Rates | 2011-12-14 |
| T-Bond-U.S. | Long | Rates | 2011-12-19 |
The performance has been lackluster for a while although not outside of normal parameters. We are currently up to five negative months in a row and in the past 20 years there has never been more than 6 negative months in a row. There should therefore be a high probability of seeing positive returns soon. We are at the moment down about 4% which is no fun way to start off a new year but nothing out of the ordinary.
