Factor Update, November 12, 2017

/by

Update in Review

Current Factor Tracking Account Positions
  • Long ED5-ED10 Eurodollar spread
  • Long spot USD/SEK
  • Long Nifty Index futures
  • Long Taiwan Index futures
  • Long U.S. Dollar Index futures
  • Short spot EUR/SGD
  • Long Sugar futures
  • Long AMZN
  • Short SILJ (Jr. Silver Miners)
  • Closed trade P/L for past week = +6.2% (+27.0% YTD)
  • Margin-to-equity ratio (futures & forex) = 13.5%
  • Portfolio leverage = 2.7X
The focus of my attention this coming week
  • Mainly focused on Sugar and USD/Chinese Yuan
  • Other alerts set on GBP and GBP/JPY
plb
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pdf icon Factor-Update-November-12-2017.pdf