June Performance: -0.53% / up 7.23% since March 15th

End of the month portfolio risks consist only of 15% long USDJPY position. No equity nor rates risk.

Current price and macro configuration do not warrant any long equity risk in EU and US for the time being.  I actually built a small short $SPX position (10% NAV) held with a tight stop.
 
US : Largest risk factors to watch : US 10y. Waiting for macro data to improve meaningfully from there (PMI released today do not point to any acceleration for the time being + fiscal drag will have its largest impact now). In the absence of improving macro data, need US 10yr rates goes back toward 2.2% - 2.3% /  or another leg down in US equities.

EU: Largest risk factors watch: Eco growth. EUR weakness is a prerequisite for GDP growth as fiscal austerity is undermining private sector demand i.e positive current account contribution is the only potential growth engine in the current environment. PMIs continue to show a stabilizing industrial production at low level. With German elections in September, their is probably a 3 months window for France, Italy, Spain, Portugal to reduce austerity pressure on the back of historical high unemployment. This remains to be seen.
Italian bonds are trading at attractive levels again. I ve bought and sold it at the end of June and looking to add long to it at lower levels.
Ibex and FSTE MIB should provide the most upside - looking to trade it tactically again (like in April).

Japan: Lonely traveler - Macro data continues to improve as expected, looking to re-enter long + AUDJPY long.

EM: Largest risk factor to watch: Eco growth. Most macro data are flashing red: growth, inflation and most recently in Brazil people anger. Most currencies (INR, BRL, RUB etc..) continues to correct on a different set of reason, notably widening current account deficit, lower growth and higher rates in the US. Difficult to see where growth will come from without significant fiscal stimulus there. Moreover, on a relative basis, US and Japan should be much more attractive to investors.

Overall, baring any significant change in price action or in macro data, I continue like in early June, to see more asymmetry being positioned short equities (except Japan).