Speculative Alternatives Portfolio Update – 10/22/2012

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.

Overall performance:

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