PERFORMANCE 2017
2017 year to date strategies have achieved profits to portfolio exceeding 14%
December 2016 – Sub consensus US GDP forecast of 2% for Q4 and weaker for Q1 2017 and global car sales to seriously contract in 2017. Positioned short French bonds at 0.50%, revalued EOY 0.80%
January – Risks in Europe and complacency in markets. Buy Portugal 10y at auction 4.10/4.08 – also used as RV against short in French bonds Eur$ 1.05 straddles, tactically trading gamma
February – A sharp correction in energy commodity markets. Short WTI oil $54.50 – part profits at $48, re-engaged using OPEC meeting in May at $52, further profits at $45 and $42 Short Iron Ore $94 – profits at $85 and $55 Buy AUD 5Y bonds
March – Fund Managers should not be positioned for higher yields – Prior to the Federal Reserve’s March meeting, anticipating lower US yields, curve flattening. Buy US 10yr (or 20yr) 2.63% – profits 2.50%, 2.25%, 2.15% Buy German 10yr 0.33% – profits 0.18%
Buy GBPUSD 1.22 – profits 1.30 (technical analysis triple bottom) Sell UK 2 year Gilts at 0.08% – profits 0.175%
April – Considering US Inflation increase as temporary. Continue to hold March strategies
May – Recognised as being one of the first to predict global inflation peaking. Buy Bund option volatility at 3.75% Buy EURUSD 1.11, target 1.20/1.25
June – Continue to expect global inflation to fall, Sterling to remain strong and BOE rate increase in 2017. Start switching out of Spanish bonds ahead of Catalan referendum in October. Buy Bund option volatility at 3.75%
Sell UK 2yr Gilts 0.08% – profits 0.20%, 0.35% Tactical curve steepening 2y-10y
July – Growing risks of EM Debt. US 5y yields fall to 1.88%, US 10y to 2.15%. Buy Volatility strategies targeting September- December
August – Improved tone in Brexit negotiations. Forecast lower UK CPI (2.6%) below consensus – Overestimating the US economy. Buying GBPEUR 1.085 for a correction higher to 1.15+ (UK 5yr Bond yields on support)
September – Forecast more hawkish MPC and higher UK CPI (2.9%) above consensus – European changes after the German election and ahead of Catalan referendum – Warned against complacency of low global bond yields – China policy moves in Bond and Forex markets, US AHE to be higher after east coast storms.
Pay UK 2y Gilts at 0.145%, target 0.36%, 0.40% and 0.45% Sell Eur$ at 1.20, target 1.15-1.12 for a correction higher in USD Index US 10yr reached 2% target, Pay for a correction to 2.35%-2.40% Considered curve steepening 5y/7yr vs 10yr/30yr and 2y/5y (barbells) Volatility ATM ratio US 5y/10y at extreme 1.70 – 1.75 Short NZD ahead of election
October – UK CPI forecast for September 3%, in line with consensus. UK GDP Q3 forecast 0.4% mom, above consensus. Tighter financial conditions in China to continue, despite the correction in Bond yields ahead of 19th Congress. Take profits on higher UK 2yr and US 10yr yields
Buy Sterling Forex Call options 1yr & 2yr against various currencies (NZ, AUD, USD, EUR) Reference Cable at 1.32 target 1.40 to 1.50
November – BOE raises rates, but Carney is dovish, therefore correct decision to take profits on trades, (having anticipated a November rate increase since June). UK CPI (3%), MT forecast below consensus 3.05%. Euro$ weakness as Merkel struggles to form a coalition. Support for NZ economy from higher diary product prices. China 10yr yields above 4%
December – Weaker US Q4 GDP after high inventories in Q3. Buy US 2yr Swaption and/or TU Futures Call structures taking advantage of flat skew and low Volatility Buy Bund Calls reference yields 0.38% US Options ratios 2yr/5yr (Ratio 2.35%) and 30y/10yr (Ratio 2.15%)