Snapshot of Weekly Allocation, Performance & Post-mortem (SWAPP): 21 Oct-17
Strategic allocations (13.7%):
Single-names: Long AAPL, short NFLX
Basket of EM equity longs: China small caps, Brazil, South Africa
Basket of EM equity shorts: India, Egypt, MSCI EM
Basket of FX longs: EUR-CZK, EUR-HUF, ZAR, MXN, JPY, CHF
Basket of FX shorts: EUR-JPY, EUR, GBP, NZD, RUB, CAD
Tactical allocations (69.5%):
Basket of EM equity longs: Korea Kospi 200, Argentina, Pakistan, Qatar
EM equity shorts: Turkey
SGD hedge (11.1%)
Week of 21 Oct: xx% (prior week +3.4%):
Positive contributions from:
Strategic short NZD
Strategic long Pakistan
Tactical short Ibex (realized Thu, 19 Oct)
Tactical long Kospi 200
Strategic long AAPL
Strategic long China small caps
Strategic short Egypt
Strategic long VIX
Strategic long Qatar
Tactical short EUR-JPY
Tactical long Argentina
Short NZD: While we maintained a strategic short kiwi position, our exposure could have been much larger ahead of NZ1’s Peters' decision to form a govt with Labour. We miscalculated the extent that the prospect of such a govt was already well-anticipated by the market.
Long VIX: We missed an opportunity to take profit after VIX spiked on the 30th anniversary of Black Monday.
Tax trades: Whilst the chance was high for the Senate to pass a 2018 budget resolution, we had no direct exposure to this catalyst. In retrospect, we should have positioned via long SPX futures, short UST futures and re-sized our strategic long USD position.
Rank of Conviction-Correlation model output (Predicted) vs Actual week-on-week returns:
Learnings/what struck me:
China ‘Party Congress Put’ trades (short SGD-CNH, long A-shares) did not perform well. The tone of the meeting was not as optimistic. In fact, it was downright ominous. PBOC Governor Zhou's mention of China's "Minsky moment" spooked the market on Thursday, 19 Oct. We will hold on to "Party Congress Put" trades on the presumption that officials may want to end on an optimistic note.
Long AAPL vs NFLX: While we were excited about iPhone X sales, the main driver was iPhone 8-related news (reduced shipments). We should have executed our NFLX short after the post-earnings boost.
We 'de-risked' the portfolio due to long weekend-travel to HK. And while being away from the home office detracted from performance ... the connections made in HK were invaluable. Thanks everyone who took the time to meet up during my HK visit. Time flies!: