ZYX MULTI-ASSET GLOBAL ALLOCATION MODEL Q1 2010 PERFORMANCE REVIEW
The model gives precedence to risk control over potential rewards. The model is designed to maximize risk adjusted returns over a long period of time. The model is not designed to maximize absolute returns over short periods of time. During Q1 2010, the model stayed true to its design of giving low risk precedence over return.
VERY LOW RISK PROFILE
During the quarter, the model maintained a very low risk profile consistent with its design.
-
Diversification across 10 categories/sub-categories
-
Short position in Chinese equities was completely hedged with Taiwanese equities
-
Long position in US large cap equities was completely hedged with US small cap equities
-
Only net 5% equity exposure
-
10% cash held throughout the quarter
GREAT CALLS
-
The models stayed short Euro Dollar throughout the quarter.
April 5, 2010