PERFORMANCES FIRST 11 MONTHS

I was quite busy with private life in these last weeks, therefore I just limited myself writing on Twitter, but didn't update performances on the blog, neither wrote my view on markets.
So far, 2017 had mixed performances, with most defensive models that could finish slightly negative for the first year.
Other models have positive returns so far
Below the year to date chart and the monthly table

Again, as someone asked me and I have already wrote in the past, I repeat that these are theoretical performances calculated assuming a purchase of ETF benchmark at the end of the month. 
Therefore the real strategy ETF return will be lower (bid/ask, trading fees and ETF manager cost).
By the way, at the beginning of 2018 I'll post the return of three Bloomberg portfolios, using real price with ETF listed in Milan, purchasing at the closing price of the first day of the month. Performances are good so far.

December allocation

These are the December allocations.
Briefly I'll post the performance year to date

November Allocation

October Allocation

These are the monthly allocation for October.
It increases equity allocation

September Allocation & Monthly/YTD performances

Hello,
this month I post the allocations with delay, just for tracking record, because I returned from my holidays.
I visited for the second consecutive year the island of Crete, in Greece. That's amazing.
I rented a car and visited some places I couldn't reach the past year. For example, this year I spent one day in Elafonisi, one of the best European beach. I still have to download my pictures in the pc, therefore here you can see a picture taken from Internet.

But let's go to the blog's topic. I am going to post the allocations for this month and, as well, the performance.
August was a good month with all models positive. For September, the most defensive models switched from € High Yield bonds to Inflations bonds. This type of bonds appeared in other models as well.

You can see below allocations and performance.
Have a nice month

MONTHLY AND YEAR-TO-DATE RETURNS

SEPTEMBER ALLOCATIONS

Models - July and YTD performance

Another month is over and it was a positive one.
After seven months, all models are positive year to date. I have to point out that, because of August Allocation in € HY for August, models 1-2 are suffering this month (all models are in red so far, but these 2 are the one with a small ytd gain)

I'll post an update around mid September. I won't be able to update the September Allocation at the beginning of the month as usual because of personal issues, therefore I post it later just as tracking
Enjoy August, I could post some market considerations if I find the time before end of month

August Monthly Allocation

NOTE: In September the allocation will be published with strong delay (around mid-month) because of personal issues.

UPDATE - JUNE PERFORMANCE

Finally I found the time to update models performances manually.
Have a nice month

€/$ Cycle (part 2)

In a previous post on May 23th (link) I pointed out to the €/$ cycle, signaling the chance of a top in the next 2-3 weeks.
Unfortunately that didn't happen.

EurUsd continued to rise and it's close to important resistance levels (between 1,15 and 1,17).
As I often wrote, I am a Dollar bull on the long term, because I don't believe the euro could last as we know now, without having a deep crisis before (I fear with Italy involved).

On the other hand, the experience taught me to watch things from different points of view and I admit that now everything seems pro-euro and don't fight against the flowing. At the moment the flow is favorable to euro.

a) Macron eliminated the short term euro-break up fear
b) Macro data are better in Euro area than in the US
c) Trump has pleasure with Dollar weakness that helps US stocks as well, while Draghi hasn't been complaining so far about euro strength (maybe he'll say something this week at ECB meeting?)
d) technically it doesn't look as toppish.

As you can see, in the previous two highs (red arrows), both weeks always had a spike with reversal. It hasn't yet, I'll wait for it before adding discretionary dollar exposure.

This is the perfect moment for euro, even if it's becoming a crowded trade. Net long euro speculator positions are high, but not at record level. I fear the rebound will finish with position quite close at record level, not excluding a new one. That would be the final signal of exuberance.

In the meantime, I continue holding my exposure on Dollar in portfolio without adding it, continuing holding sterling as well (without adding because after last UK elections they fooled themselves) and I was stopped on short eurjpy position.

In summary, maybe you can use me as contrarian indicator if you believe, but I won't consider adding $ in my portfolio now, because I already have them and want a contrarian technical signal before. I admit that if I was "dollar cleaned", I'd consider buying something between 115-117 without reversal as well (but not full position)

PERFORMANCE JUNE

I have trouble with database that:
a) modified the closing price on eurodollar switching from London close to NY
b) cut the historical series of short term 1-3years eurogovies from 2000 to 2007

Because of these changes, Excel spreadsheets need some fixings and I have to do that within end of month.
In reality, with the new closing of dollar, models performed better in 2017 (allocation changed in March), but I don't care. This random situation could be an idea for further studies, but I'll try manually to compute the year to date returns until end of 2017.
Since 2018 I'll post the new allocation with NY time.
In this year I want to give continuity with the old style, that is the one I am using at the moment for myself

MODELS - JULY ASSET ALLOCATION

This is the asset allocation for July.

Today, I had a trouble with the data feed updater and had to do some adjustment by hands.Hope counts are right. I'll check them in coming days.

The most important change is that model 3 exited from equity market after months of riding
And there's an high exposure on € High Yield bonds

MODELS - May and Year to date performance

• Mixed results in May

• Aggressive models are positive year to date, but some of them had a  negative monthly performance

• Most defensive models recovered almost all losses and performance are in line with monetary rates (little negative)

• Models 4 (for bigger accounts) are positive year to date both for € and $ investor. In Euro, Models beat benchmark, while in US they are lagging

June Asset Allocation

After a negative May, these are the new allocations
Monthly performances will follow in coming days

€/$ the cycle

In the last 2 years, €/$ had three strong rebounds.

1) 2015 Mar-Aug- low to top: rebound length was 23 weeks, 161 days, approx 12%

2) End 2015-May 2016: rebound length was 154 days, 22 weeks, approx 10%

3) Actual rebound since January: 140 days, 20 weeks approx 9%

Summary: if history repeats, €/$ has 2-3 weeks of time before topping

Forex Gaps follow up (and short eurjpy)

At the end of April I wrote a post about many technical gaps on main fx euro crosses (eurusd, eurchf, eurgbp and eurjpy)

I wrote that usually these gaps in main crosses tend to be closed in short time. I admit that they are lasting longer than I thought.

My favorite position on the short was the eur/gbp and it's the only one that has closed the gap. I haven't traded eurgbp, because I already have a strategic Brexit long gbp positions since last year, therefore I didn't like add further risk on that idea.

After thinking for a while I decided to open a short on eurjpy. I dismissed the chf because of SNB is continuing to complain about Franc strength. I also avoided the eurusd because I have a structural long $ position already in portfolio.
The choice was the JPY. It's usually a "risk on/off" currency and being long equity ETF by models, the short eurjpy could be an hedge.

Of course is not going well so far....
I shorted eurjpy a bit below 123 and now the cross trades above.
It's stronger than anticipated, but I confide in the power of "gap magnet"..
I would have been definitively more confident if eurjpy never closed above 123.50 (an important resistance level), but I didn't use leverage and can sit tight on the chair waiting for developments.
The target is 118.50
Above 129 I could stop the short and place a sell limit order at a lower price if touched in the case after my stop is hit, price will begin to drop.

Performance in the first 4 months

Here the Model performances in the first 4 months of 2017.

The more conservative models (1&2) are negative ytd, especially the model 2 that is paying the wrong timing on gold in March.

The many versions of Models 3 are performing quite well, with performance between approx 5 and 8%. Not bad.

The models 4, more diversified and applicable with bigger accounts, are having their good time. In Europe they're beating their benchmark (asset equal weighted), while in the US are under-performing

Below the table with the monthly performance and the summary charts ytd resume.

MAY ALLOCATIONS

This is the Asset Allocation for May.
Some minor changes, with UK govies bought in models 3 and Model 2 investing again on HY€
Bought US equity as well

GAPS OF FOREX - TRADING IDEAS

This is a personal blog. The opinions expressed here represent my own and not those of my employer. In addition, my thoughts and opinions change from time to time. I consider this a necessary consequence of having an open mind. This weblog is intended to provide thoughts on markets. All data and information provided on this site is for informational purposes only and you area the only responsible if you decide to invest your own money according my opinions.

Because of French elections last Sunday, European markets reacted with strong moves on Monday, discounting already a Macron victory on May the 7th. Probably Macron will win, but with a margin smaller than polls suggestions. Of course if Le Pen surprise....fasten your belt!

By the way, the moves created many gaps on euro crosses and this could open a chance for short term trading. Since I follow the markets, I don't remember a gap on a major currency, freely market based, that hasn't been filled in few days.
I'll post the charts of 4 euro crosses (Usd, Chf, Yen and Gbp) that could offer a trade opportunity. By the way, as trading is always uncertain and this is just a high likely trade (in my opinion, but it could be wrong), don't bet the home. Just use the normal trade size. Gbp was my favorite one (I have the bias for Gbp until speculators continue to be record net short on the currency) and is almost filled, I'm thinking about opening a new one between Chf and Yen next Monday or Tuesday.

A gap was created on major European equity indexes too. I am positive on Euro equities for this year but, at the present, it's beginning to be a TOO MUCH consensus trade. Most funds are long Europe or opening positions after French 1st round result.
I like the trend of Eurostoxx50, but I will not rush buying it now, even if it could rise another 150points. I hold the equities by Models and won't add other discretionary trades at the moment. I'd like buying on dip. 

A VIEW ON THE MARKETS

This is a personal blog. The opinions expressed here represent my own and not those of my employer. In addition, my thoughts and opinions change from time to time. I consider this a necessary consequence of having an open mind. This weblog is intended to provide thoughts on markets. All data and information provided on this site is for informational purposes only and you area the only responsible if you decide to invest your own money according my opinions.

___________________________________________________

BRENT

EURGBP

EUROSTOXX 50

EURUSD

GERMANY 10Y RATE

GOLD IN EURO

GOLD $

TREASURY LONG TERM (TLT)

S&P500

 

FIRST QUARTER PERFORMANCE

Hi
in the last month I was quite busy and I didn't update the  blog with market view. I also spent 1 week holiday in Wien. It's a very beautiful city, nice people and I recommend a trip there.
Coming to my models, the first quarter had mixed results

Model 1 and 2 that are the most conservative have negative returns year to date, but not in a dramatic way. Just -0,4% and -1% respectively. Nothing worrying so far.

All the many versions of Models 3  (most aggressive with expected variance of 7-8% a year) had a very good start with performances between 5,5 and 7,9%.

Models 4, those are quite diversified and good for Asset Allocation of big accounts, are positive. The European models are beating the benchmark, while US versions are lagging. They are built to beat benchmark over the economic cycle: tend to lag benchmark in good times and overperform when things turn to the worst.

Below you can see the 1° Quarter performance summary.

That's all for now. I hope to be able to find some time next week end for some weekly charts on markets.

APRIL ALLOCATION

Here we go with the April Allocation.

Most aggressive models (3.xx) continue to push with the trend in the equity....until it ends!

The most conservatives took an hit in March and returned defensive for April into short-term bonds or cash.

Model 4 had just few changes.

FEBRUARY PERFORMANCE

This beginning of March, isn't so good, especially for more defensive models that are allocated in High Yield and Gold, 2 assets that are performing poor this month.
By the way, this is the life of a trend follower. We'll see it next month how this will evolve. Losses are part of the game.

These were the performances of models in February with year to date charts. Totally, they were quite good I believe.

March Allocations

Hi
This are the March Allocations
Models 3 continue to be exposed to equity markets, even if they reduced the US equity exposure.

Do I fear a stock market correction? Yes I do, but I am going to follow models like below... In the long term they showed to be reliable even if when market reverse... I know that I'll be long at the beginning.
But that's the way with trend following

JANUARY PERFORMANCE

Here the first monthly performance of 2017.
Models started with mixed returns. It's normal and healthy after a very strong end of 2016.
Let's let market set up interesting pattern.
Have a nice week end

EURGBP - H&S looming?

This week I traveled to Milan to attend CFA forecast dinner day with Unicredit, Kairos and Pimco outlook (http://www.italiancfasociety.it/Events.aspx?ID=20170202). I enjoyed it very much.
At the end of the prominent speakers, in the Q&A session I asked about the outlook on the sterling because experts didn't touch the topic.
Answer: all of them were negative, mainly because Brexit is very uncertain and maybe English government doesn't know how to solve it. Because of higher uncertainty, all were underweight Sterling at the moment.
I agree that is going to be difficult to know what will happen in UK, but maybe a good portion of negative events are inside prices and probably a very short underweight Sterling positioning is the world consensus. Speculators are near record net short positions vs dollar, opening the chance of a short covering rally. (I'm curious to see if BOE will raise rates this year because of inflation).
I continue to stick with my rules (just for a portion of portfolio): buy sterling vs euro (ie short euro/gbp) above 0,85-0,90 and 0,95 (eventually). Don't buy each trade with less than 2 months of distance from each other (ie, if i buy in January I don't add before March) unless a significant fundamental news comes out.
sell Sterling strength (only half position) around 0-80-0,83 and hold the rest. I use EIB £ bonds with maturity no longer than 2018 .
But I want to point out just a technical figure

On the weekly basis it seems that an HEAD&SHOULDER pattern is building. It will be confirmed by a drop below 0,82 and target is....0,76 technically!!
Of course, until it doesn't break neckline, the pattern doesn't exist. 
A rise of eurgbp around 0,90 could create a double top, but NEGATE the Head&Shoulder pattern that would be deleted.

I wait patiently, curious to see if premier May will be able to trigger art.50 before end of March, because now she needs the Parliament vote. The risk is that could take a but longer

February Allocation

These are the temporary allocations for February. I am traveling therefore I could have done some mistakes with excel. In the week end I'll calculate again and confirm the allocations.
update 4 Feb: allocations were correct