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  • RCS Investments: Global Macro Fund Aggressive February 2014 Factsheet

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    RCS_CFA
    608 vues2 pages
    When I published my outlook at the end of last year, I began a portfolio embracing the biases of the report. I published my positions on the right hand border of this blog on 12/31/13 and have updated them periodically. All history has been documented here. Included in the fact sheet below is the composition of my portfolio as of this past Friday along with performance metrics against appropriate benchmarks.

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    RCS Investments: Global Macro Fund; Aggressive; February 2014 Factsheet

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    When I published my outlook at the end of last year, I began a portfolio embracing the biases of the report. I published my positions on the right hand border of this blog on 12/31/13 and have updated them periodically. All history has been documented here. Included in the fact sheet below is the composition of my portfolio as of this past Friday along with performance metrics against appropriate benchmarks.

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    608 vues2 pages

    RCS Investments: Global Macro Fund Aggressive February 2014 Factsheet

    Transféré par

    RCS_CFA
    When I published my outlook at the end of last year, I began a portfolio embracing the biases of the report. I published my positions on the right hand border of this blog on 12/31/13 and have updated them periodically. All history has been documented here. Included in the fact sheet below is the composition of my portfolio as of this past Friday along with performance metrics against appropriate benchmarks.

    Droits d'auteur :

    Attribution Non-Commercial (BY-NC)
    Téléchargez comme PDF, TXT ou lisez en ligne sur Scribd
    Signaler comme contenu inapproprié
    sur 2

    Global Macro Fund; Aggressive

    Objective

    February 14

    Benchmarks

    To outperform standard
    aggressive portfolio
    construction, using acute
    economic and political
    research to account for
    global macro developments.

    1. 70%: MSCI All Country


    World Value Index; 30%:
    JP Morgan Global
    Aggregate Bond Index

    | Rodrigo C. Serrano, CFA


    | SIPA | Columbia University
    Master of International
    Affairs 14 Candidate
    | New York City, NY
    | 01-305-510-0181
    | rcs2164@columbia.edu

    2. HFRX Macro/CTA Index

    Monthly Activity January 20th - February 21st:

    January 27th: Partially replaced open long OIL position with short JJC (iPath Dow Jones UBS
    Copper Total Return ETN) (i).
    Adjusted benchmarks to better reflect exposure of the portfolio. Shifted from 50% IVV = S&P
    500 and 50% AGG = Barclays Aggregate Bond fund to the following:
    o 70% MSCI All Country World Value Index
    o 30% JP Morgan Global Aggregate Bond Index
    Separated underlying macro strategy from total portfolio for individual return and performance
    measurement. Addition of new benchmark:
    o HFRX Macro/CTA Index

    (i) http://rationalcapitalistspeculator.tumblr.com/post/74707916896/rcs-investments-global-macro-fund-aggressive-position

    Portfolio Breakdown
    As of February 21, 2014

    Symbol
    SPY
    DTYL
    IVW
    OIL
    EZU
    EEM
    JGBS
    FXE
    CHIX
    FXY
    JJC
    FRAK

    Last price
    Shares Avg. Execution Price Cost basis
    Mkt value
    Gain
    Gain %
    $183.96
    2035
    $184.13 $374,714.55
    $374,216.20
    ($355.95)
    $67.95
    2445
    $64.69 $158,167.75
    $166,137.75
    $7,970.00
    $99.58
    487
    $98.55 $47,994.11
    $48,495.46
    $501.35
    $24.09
    1735
    $23.13 $40,129.21
    $41,796.15
    $1,666.94
    $41.70
    773
    $41.39 $31,996.74
    $32,234.10
    $237.36
    $39.43
    577
    $41.62 $24,013.20
    $22,751.11
    ($1,262.09)
    $18.83
    830
    $19.40 $16,101.25
    $15,628.90
    ($472.35)
    $135.71
    -470
    $135.71 $63,783.70
    ($63,783.70)
    $192.10
    $12.12
    -4230
    $12.12 $51,267.60
    ($51,259.10)
    $4,727.60
    $95.17
    -172
    $95.17 $16,369.24
    ($16,369.24)
    ($366.04)
    $39.69
    -392
    $39.69 $15,558.48
    ($15,558.48)
    $25.28
    $28.69
    282
    $28.49
    $8,032.90
    $8,090.58
    $57.68

    Cash
    Initial Portfolio Value

    450013
    $1,000,000.00

    -0.09
    5.04
    1.04
    4.15
    0.74
    -5.26
    -2.93
    0.3
    9.22
    -2.24
    0.16
    0.72

    Overall Return
    -0.09
    5.04
    1.04
    2.26
    0.74
    -5.26
    -2.93
    0.3
    9.22
    -2.24
    0.16
    0.72

    Overall Return:

    1.24%

    $450,013.11
    Current Portfolio Value

    $1,012,392.84

    Disclaimer: Please first consult your financial advisor for all important investment related decisions

    Jan

    19-Feb

    Total Portfolio Benchmark


    Macro Benchmark
    Risk Free Rate

    -------

    -------

    -------

    -------

    -------

    -------

    -------

    -------

    -------------

    -------

    Apr

    -------

    Mar

    -------

    -------

    -------

    -------

    -------

    -------

    May

    -------

    -------

    -------

    -------

    -------

    -------

    Jun

    -------

    -------

    -------

    -------

    -------

    -------

    Jul

    -------

    -------

    -------

    -------

    -------

    -------

    Aug

    -------

    -------

    -------

    -------

    -------

    -------

    Sept

    -------

    -------

    -------

    -------

    -------

    -------

    Oct

    70% in MSCI All Country World Value Index; 30% JP Morgan Global Aggregate Bond Index
    HFRX Macro/CTA Index
    1 Yr Equivalent from 10-Yr Yield on 12/31/13 = 3.0282%

    1.41
    2.75

    0.51 1.92
    (0.14) (0.27)

    Sharpe: Macro Strat YTD


    Sharpe: HFRX YTD

    Info Ratio: Ttl Port vs. 70/30 YTD 2.47


    Info Ratio: Macro vs. HFRX YTD 1.79

    (1.79) 1.50
    (3.59) (0.47)

    (0.73)
    1.99

    Sharpe: Total Portfolio YTD


    Sharpe: 70/30 YTD

    Alpha: Total Port. Vs. 70/30 MTD 2.13


    Alpha: Macro Strat vs. HFRX MTD 0.54

    Performance metrics

    RCS Total Portfolio Return MTD (0.35) 1.64


    70/30 | Global Market Ind MTD (2.48)
    2.37
    .
    RCS Macro Strategy Subset MTD 0.47 0.83
    HFRX | Macro/CTA Index MTD
    (0.07) (1.16)

    Returns in %

    As of February 20th, 2014

    -------

    -------

    -------

    -------

    -------

    -------

    Nov

    -------

    -------

    -------

    -------

    -------

    -------

    Dec

    1.41
    2.75

    1.92
    (0.27)

    1.50
    (0.47)

    1.48
    2.53

    1.31
    (1.23)

    1.28
    (0.20)

    YTD

    Performance

    Disclaimer: Please first consult your financial advisor for all important investment related decisions

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