Currency (contributed -60%)


I am not sure I could have held worse currency positions. Short EUR / CHF cost 30% with the remainder coming from the short to GBP. Sterling performed strongly (as did gilts) as the coalition government announced plans for fiscal tightening. Whilst at the margin this might benefit short dated gilts, the last thing the economy needs is a stronger currency. Export data is already suffering due to a fall in EUR/GBP in recent months. Tighter fiscal policy will be offset by weaker monetary policy, irrespective of inflation concerns.


Bonds (contributed -16%)


The short to gilts was expensive - fiscal consolidation is promised in the UK, thereby ensuring at least 5 years of low real growth with the only hope that inflation speeds up the de-leveraging process.


Equities (contributed + 20%)


The short to the SPX was one bright spot in a dim month. Global growth is slowing and equities need to price in the risk of a double dip. The passing of time, lower volatility and a pop up in equities mid month from lows, provided the opportunity to close down the written call option - all the short is now linear.


Single Equities (-1%)


Sadly the the single equity positions had to be closed. Well, there was no evidence of skill in adding value through single equities, but I am sure the short to Ford and UK retailers would at some time have worked. In the meantime, starting employment means difficulty from a compliance viewpoint in expressing single equity positions, so best to close them all.