SPX sell-off on 11/10/2018 was -0.85% day for the portfolio, so this would have been a 1% VAR breach had the position sizing been at the targeted level (was running 4.8% vol vs 7% target). 11 out of 17 positions lost money, only 1 made money, 5 flat. Somewhat disappointed about ED Z8-Z9. Wider Z8-Z9 has been a success since Feb up from 36.5 to 58 peak, which was probably the level to get out at and fell 4.5 bps on 18/10/2018 when driven by Z8.
covered 25 YT Z8 @ 97.885. I don't buy that there will be a trade deal. Will use this opp to get rid of position.
Q4 was very weak at -1.9% / -0.93 SR. The main culprit was inversion in the Eurodollar curve (Z9 short and M9-M0 steepener), which looks overdone to me and steepening there is one of my highest conviction calls for 2019. EURNOK was a sucker too despite Norges bank starting to hike (and didn’t want to perform when oil was 80+ either). Seasonality is a perfect scapegoat for EURNOK. Performance for 2018 stands at 1.95%/0.47 SR and for 2017-2018 -0.23%/-0.04 SR. Equity curve looks very poor and would have been a lot worse had Italy not exploded in Q2. Closed out all pos on 28/12/2018. This doesn’t make sense to keep doing without dedicating enough time to it. 2 XT H9 @ 97.665 +5, +2 UXY H9 @ 129.53125 -2 WN H9 160.21875 -3 G H9 @ 123.27 +3 RX h9 @ 163.52 +1 BTS H9 @ 110.70 +1 6J @ 0.00911445 -2, -1 6E @ 1.1516 +1 NOK H9 @ 0.11502 -30 ER U9-U0-U1 @ 10.5 +2 6C @ 0.7356 -10 IR M9 @ 98.08 +15 BA M9-M0 @ 0.005 +15 ED M9-M0 @ +0.17 -15 ED Z9 @ 97.345 -2 ED H9 @ 97.29 +14 ER Z9 @ 100.245 +60 ED U1-U2 @ -0.115 Q4: 2017-2018: