Friday, June 01, 2007
Contrary to all expectations, May looked an awful lot like April. Buy and hold strategies in risk assets delivered handsome returns, while attempts at market-timing proved generally fruitless. Alpha may come before beta in the Greek alphabet, but not in the hearts and minds of investors in the current climate.
All told, however, Macro Man had small ground for complaint. May was the best month in the history of the blog portfolio, and a couple of notable alpha shockers were offset by some successful punts elsewhere (who else can boast of making money being short BRL?), and of course the stellar returns from the beta positions. All in, the portfolio returned 2.55% in May, taking the year-to-date return on the notional $100 million capital base to 5.9%.
Regular readers will be unsurprised to see that the beta portfolio returned a handsome 3.2% last month. Macro Man did not execute a single beta trade in May, as the portfolio remained long equities and FX carry during the entire month. The equity beta return was excellent, though not quite as high as in April, generating a profit of 2.1% las month. Despite all the headlines that FX carry receives, last month was really the first of the year in which it excelled, producing a profit of 1.1%- more than the prior four months put together.