I ll start today providing macro trades that fits within the investing process developed in perspective with the conceptual approach described below. This is a global macro trading oriented strategy. While I have long term thematic positions, I trade around to increase the sharp ratio of each trades. Trading for risk management is 100% price action oriented.
I ll provide at each month end the gross performance of the portfolio with NAV at 100 at of today.
Few characteristics of the portfolio : Portfolio annual net target return 20% - net monthly maximum drawdown : 3%. Adding risk back to full 100% only after recovering losses.
As of March 21st. Open positions (in % of nominal capital) - I ll provide cash market level instead of futures for you to follow levels more easily. For reasoning behind the below trades, pls contact me and I ll provide you the full multidimensional explanation
NEW POSITION
Long 25% Italian MIB (via futures STM3 Index) :
opened at cash index level 15850 today. Sell stop at 15500 (trailing ATR adjusted) Target 17000
NAV at risk : 0.6%
Trade profile : 2.2% risk vs potential gain : 7.2%
Trade duration expectation < 2 months
Short 10% EURCAD - trade could have been implemented via option to lower portfolio VAR
opened today at cash level of 1.325. Buy stop at 1.343 (trailing ATR adj) Target 1.26
NAV at risk 0.18%
Trade profile 1.8% loss vs 4.4% potential gain
Trade duration expectation > 3 months
Short 10% KRWUSD
opened on the 19th of March at 1110.9. Buy stop at 1095 (trailing ATR adjusted) Target 1200
NAV at risk : 0.12%
Trade profile : 1.2% loss vs 6.5% potential gain
Trade duration expectation : 3-4 months
Short 10% EURUSD
opened on the 19th at 1.2938. buy stop at 1.318 (trailing ATR adjusted) Target 1.26
NAV at risk : 0.18%
Trade profile 1.75% risk vs 2.5% potential gain
Potential "value added" as negative correlation with other trades in portfolio
BOOKING PART OF EXISTING POSITION
Long 40% Nikkei via futures (NKM3 Index) - Core long
opened at 12200 on the 19th of March. Sell stop 12050 for 50% position and 11850 for balance. Target 16000
NAV at risk at full position (40% of NAV) : 0.95%
Trade profile : 2.4% risk for 30% gain
Trade duration expectation : 8-12 months
TODAY: booking of 50% position for a 3.3% net gain of 20% of NAV (0.66%)
End of day position : 25% Long MIB, 10% short KRWUSD, 20% long NKY, 10% short EURUSD and 10% short EURCAD
Portfolio NAV at risk : 1.65%
