I'm going to re-publish them with a new format that can help the reading
This beginning of the year was very tough, with an incredible volatility and some long term trends that reversed or arrived close to give the sell signal. Economy is slowing down but yield curve doesn't forecast an US recession within 12 months. Some analysts argue that yield curve could be affected by ZIRP rate around the world (somewhere is NIRP too, ie negative interest rate policy), but I want to believe that curve can maintain its forecast skill now. By the way, what seems sure is that there's a strong slowdown in global economy, especially in Emerging Markets and in manufacturing industry Because of ZIRP that created overcrowded positions on some assets, market overreacted to these fears caused by China, crude oil, bad macro data.
I'm pleased that models were able to avoid the huge volatility and closed mixed. Of course in a zero interest rate world, it's difficult to stay on safe assets for long times.
Below you can see the summary
Safe Model 1 closed slightly above 0% and continue to remain defensive.
Model 2 benefited from end of month inflation bonds rally and switched safe for this month.
Models 3 had mixed performances
Models 4 were mixed as well, outperforming their Benchmarks (equal weighted portfolios).
Trading signal (call spread on the European stocks) is losing money, but I'm glad i chose this strategy that has a defined maximum loss because of long term deterioration patterns in the equity.
For this month we have long term bond, dollar & yen exposure and the two safest models are on cash. It's an interesting month with volatility that continue to be high. Luckily we have just a very small exposure on equity (model 4$ equity bias).
In this environment, I'm happier to avoid huge roller-coasters than doing equity bottom hunting.
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