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Equities Rising

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.

MarketDirectionSectorEntry Date
CoffeeShortAgricultural Commodities2011-12-13
Cattle-LiveLongAgricultural Commodities2012-01-25
Rice-RoughShortAgricultural Commodities2011-11-10
Sugar #11ShortAgricultural Commodities2011-11-25
Australian DollarLongCurrencies2012-01-18
Japanese YenLongCurrencies2012-01-31
New Zealand DollarLongCurrencies2012-01-26
CAC 40 IndexLongEquities2012-02-02
Dax IndexLongEquities2012-01-27
FTSE 100 IndexLongEquities2012-01-11
Hang Seng China Enterprises Index-HKEX(HKFE)LongEquities2012-02-06
Hang Seng Index-HKEX(HKFE)LongEquities2012-02-08
Nasdaq 100 IndexLongEquities2012-01-19
S&P 500LongEquities2012-01-11
DJ Euro STOXX 50 IndexLongEquities2012-02-02
IBEX IndexLongEquities2012-02-10
Crude Oil-LightLongNon-Agricultural Commodities2012-01-04
Gold-COMEXLongNon-Agricultural Commodities2012-02-03
Heating Oil #2LongNon-Agricultural Commodities2012-02-06
Gas OilLongNon-Agricultural Commodities2012-02-07
Gasoline-Reformulated BlendstockLongNon-Agricultural Commodities2012-01-19
Copper - High GradeLongNon-Agricultural Commodities2012-02-10
Canadian Bankers' Acceptance-3Mth-ME (24 hr)ShortRates2012-01-03
Canadian Govt Bond 10YrLongRates2011-11-24
Euro German BundLongRates2012-01-10
Euro German BoblLongRates2011-12-15
Euro German SchatzLongRates2011-11-10
Eurodollar-3 MthLongRates2012-01-26
EURIBOR-3 MthLongRates2012-01-23
Euro Swiss FrancShortRates2012-01-23
Sterling Rate-3MthLongRates2012-02-03
T-Note-U.S. 5 YrLongRates2011-12-08
Japanese 10yr Govt BondLongRates2012-01-12
T-Note-U.S. 2 YrLongRates2011-12-08
T-Note-U.S. 10 Yr w/Prj AXLongRates2011-12-14

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.

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