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Friday, 28 March 2014

Jan update

A couple of months overdue, but here it is.

January wasn't fun - I got caught with the herd, and compounded the mistake by being slow to reduce my positions. That's a bigger risk when your conviction in an idea gets higher, which was the case for me this month. I lost 14.1%, basically in fixed income, just under half of my capital at risk. The details looked like this :

monthly indexed NAV
Nov-12 17.8% 117.77
Dec-12 37.4% 161.78
Jan-13 38.1% 223.40
Feb-13 -3.3% 215.92
Mar-13 12.4% 242.62
Apr-13 30.2% 315.81
May-13 68.8% 533.08
Jun-13 36.9% 729.55
Jul-13 -12.6% 637.46
Aug-13 -1.7% 626.31
Sep-13 -9.6% 566.31
Oct-13 -4.9% 538.62
Nov-13 11.5% 600.41
Dec-13 15.9% 696.10
Jan-14 -14.1% 597.88

By asset class :

Equities            +4.7%          running a short in spx paid off, outweighing losses in Nikkei
Commodities   +0.7%          short copper
Fixed income   -5.7%           short JGBs
                         -5.9%           short M6 and Z7 Eurodollars against Aussie Z4 bills
                         -6.3%           short gilts and 10y notes
FX                    -1.6%           from xJPY and short AUDUSD

Where I went wrong : too slow to cut, and being too aggressive into payrolls (to be fair, most of the indicators were suggesting a robust number, e.g. ADP). On the bright side, the awful start to 2014 has hit just about all the macro traders, so positions will have been reduced. The general direction of rates seems very clear (the Fed has no idea where NAIRU is, and in anything other than a best case scenario is behind the curve), so I suppose we have to clear out most of the positions before we can make any progress higher in yields.

1 comment:

  1. Hey Alastair
    Yes Jan, Feb and the first half of March was a nightmare. Basically crowded positions hammered by bad weather in the US and then Crimea/Ukraine, however reality seems to have regained the upper hand in late March and a lot of things have swung back towards the higher rates scenario. I held on to painful short gold, short US 10Y and long GBP/JPY positions which have all recovered nicely. Now looking at shorting AUD and CHF after being stopped out of both in Feb.