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

#allocation #performance

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