We have transactions in the speculative alternatives portfolio today.
- Abbott Labs (ABT) has regressed to the moving average and should be bought to cover. My buy price was $65.82.
- Northwest Natural Gas (NWN) has regressed to the moving average and should be bought to cover. My buy price was $48.34.
- Pepsico (PEP) likewise regressed and should have been bought to cover last week. But I missed it. No harm, no foul – the system is designed to be robust to this sort of thing. My buy price was $69.47
- All associated long SPY hedges are likewise closed. My sale price was $143.12.
The resulting portfolio is pretty sparse:
Short 18% JNJ
Long 9.7% SPY as beta hedge for JNJ
Long 18% SPY as trend follow
Short 15% GLD as trend follow
the separate SPY positions add up – net long 27.7% SPY.
Performance since the last update has been more or less break even – we’re up 5.6% overall since inception. That’s equivalent to about 13.4% annually. I’m not surprised the results have been mediocre lately – the speculative alternatives portfolio does better when there’s a little chop in the market. Consistent bull markets are not its best environment The biggest drawdown is still just shy of 3%, which is within parameters. We’re mostly in cash right now, but there’s at least two new positions on the horizon, so stay tuned.