August ended down -2.07%. Our portfolio was well positioned early in August and models increased our risk exposure slowly. However, markets started to move against us while our exposure was fairly high. Our risk management stopped out some positions fast thereby limiting our losses. Core models originated most of the losses while our Short-term model provided some relief. Energy and Metals sectors rallied and impacted our short positions, and were among our worst contributors. Currencies and Equities returns were negative while Bonds were profitable.
Commodities: -1.6%. Disruption of supply and Middle-east increasing tensions over Syria prompted Metals and Energies to rally. Our core models were mainly short and were stopped out. Gold and Nat Gaz were our worst contributors. Ags were profitable and helped mitigate the sector’s loss. Currencies: -0.4%. Our position diversification in Currencies helped during the month; however the Euro correction at the end of the month penalized us. MCM1 gains in this sector were not sufficient to offset losses from the other models. Equities: -0.4%. Despite the majority of Equity markets correcting in August, our portfolio managed to capture gains in European Equities but these profits did not offset losses in US markets. Asian markets’ contribution was flat. Bonds: +0.3%. While our risk allocation to this sector reduced, all our models managed to capture opportunities and contributed positively to the P&L thanks to their short bond positions. Among them, MCM3 (short term model) was the best contributor in this sector. All maturities were profitable.
To view full performance and details click here: Molinero Capital – Global Markets – Performance Report – 2013-08
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