Download the commentary here.
The Auspice Diversified Program lost approximately 1.54% in July.
Traditional (equity) markets moved back up in July after losing ground in June and having shown increased month to month performance volatility. In Fixed Income, the reversal lower that started earlier in the spring extended at the long end of the curve.
Commodities were generally higher:
- Metals moved higher and we gave back some of the recent short gains.
- Grains were lower where we are short.
- Energies were mixed with Natural gas lower after starting strong on the month and petroleum based moved higher.
- Softs were choppy and mixed, trading without sustained trend.
- Currencies generally rallied vis-a-vis the US Dollar.
While it felt good to be short in many commodities and financial markets in June as the equity market pulled back, the markets reversed sharply in July. While the traditional equity markets led the way higher, some commodities were higher, energy and metals in particular. Where sustained trends are occurring, we are capitalizing, being patient with markets that correct against the direction of core trends, all while mitigating risk of any substantial loss.
Sectors and Trades:
- Profitable in 2 of the 7 sectors traded. Gains were led by short Grains and long Equity Indices.
- The most challenging sectors were Metals and Softs.
- After cutting equity risk in half in June we have added some exposure back.
- Exited much of the Soft commodity risk.
- Added Interest Rate risk (short).
- Largest portfolio gains came from short Canola, Corn, and Wheat, long Crude (WTI), short Aussie. Dollar, short VIX, long Russell .
Key Points Regarding our Positions
- Petroleum based energies were positive led by Crude. We have taken new long positions in Heating Oil and Crude (WTI).
- Natural Gas was weak and we are short
- Sector was slightly negative as Crude and Heating Oil pulled back slightly at month end from entry points.
- After being the strongest performing sector for many months on the back of shorts, Metals gave back some gains in July led by rallies in Gold and Palladium
- We remain short Gold, Silver, Copper, but have covered Palladium to be flat.
- Added shorts in Platinum, Aluminum, Nickel.
- Grains made gains on the back of a new short in Canola, in addition to existing Wheat short.
- Added a profitable new short in Corn.
- We have exited long Soybeans prior to significant deterioration that occurred late in the month.
- Softs were a challenge in July.
- New short positions in Rubber and Lumber were exited as the market rallied.
- The market rallied against our short in Coffee.
- We have exited the Orange Juice long.
- We start the new month only short Coffee and Sugar.
- With the exception of Aussie Dollar, most currencies moved higher versus the US Dollar.
- We continue to hold shorts in Canadian and Aussie Dollars.
- Gains in Aussie short did not offset losses in CAD$.
- We have entered shorts in Long Gilts (UK), US 30year Bond and 10 year Notes.
- Equity sector was profitable on the back of a strong rally back after the June sell-off.
- Holding long position in S&P.
- Added long position in Nasdaq while exiting Russell and CAC 40
- Short position in VIX futures was quite profitable.
- On the sidelines in TSX60 (Canada) which has remained choppy for some time.