June Review

Performance Review
As regular readers will know, the portfolio is currently set up to broadly benefit from a flight to quality and weakness in equity world and it was helped by both during June, resulting in a decent 2.32% month (putting the YTD at 5.3%). 

There continued to be a decent bid for safe instruments through-out the month, including when the equity markets rallied some in mid-month, resulting in strong contributions from the Treasury Bucket (+213bps) and the Bond Funds (+30bips). 

The lack of the equity markets embrace of risk was noticeable in the NCAV bucket (-38bps), which saw steady losses from most of the micro-cap names involved throughout the month.  Elsewhere, the long equity positions were fairly muted, with both Value Equities (-2bps) and Other Equities (-9bps) hanging around, despite the lack of news flow.  The Short China thesis (+8bps) became a positive contributor in the final days of the months as fears over the strength of Chinese-growth saw a sharp decline in commodity-related stocks (FCX being the portfolio’s beneficiary).  Finally, the Hedge/Put Option bucket (+30bips) contributed strongly helped by the expansion of implied volatility as the market jagged downwards in the final week.

Portfolio
43.8% - Long Treasury Bonds (21.1% TLT and 22.7% in the Aug-29 Bond)
14.3% - Long Bond Funds (6.6% HSTRX, and 7.7% VBIIX)
4.6% - Value Idea Equities (2.8% THRX, and 1.8% DRWI)
2.9% - NCAV Equities
2.9% - Other Equities (1.4% NWS, 1.5% CMTL, and 0.0% SOAP)

-1.1% (delta-adjusted) - China-Related Thesis (24bps premium in FCX put, 4bips premium in EWA put)
-7.8% (delta-adjusted) - Hedges/Put Options (75bps premium in S&P put, and 112bps premium in a GS put)

29.4% - Cash