Allocation & Performance Snapshot: 4 Oct-17
Allocation
Note: Chart above may not total to 100 due to rounding error.
Key points:
Strategic allocations (25%):
Basket of EM equity longs (10%) comprising of Argentina, Brazil, Hong Kong
Basket of EM equity shorts (15%) comprising of India, Pakistan, Qatar, South Africa, Turkey
Long USD (3%) currently expressed vs NZD
Tactical allocations (46%):
Equity: Short Spain-Catalonia (23%) comprising of Ibex futures, Caixa Bank
FX: Short GBP-JPY
Long USD (3%) currently expressed vs NZD
Other/cash (26%):
SGD hedge (18%) via short SGD-CNH
Cash (8%)
Performance summary
Aug-17: +3.1%
Positive contributions from:
Tactical long EUR (via futures)
Tactical short NZD on election uncertainty
Long CAD on GDP/underpx'd BOC rate hike probabilities
Strategic short Pakistan, Qatar vs long Argentina equities
Main detractors: Poorly-timed shorts in EUR and CAD.
Sep-17: +5.8%
Positive contributions from:
Short KRW (futures) on then-underappreciated DPRK geopolitical risks, good entry level (1122)
Short CHF into SNB MPC
Short US Treasury 10s (took profit too soon)
Main detractors: Premature Ibex shorts. Long gold.
Oct-17 to date: +6.0%
Positive contributions from:
Short Ibex (futures) and Caixa Bank
Short GBP-JPY
Long Argentina, Brazil and Hong Kong equities
Short Pakistan, Qatar equities
Main detractors: Short South Africa and India equities
4 Oct-2017
