Factor Update, October 19, 2019

/by
Update in Review
 
Current Factor Tracking Account Positions
  • Short EuroSwiss futures
  • Long TSM
  • Long AAPL
  • Long Corn futures
  • Long Canadian $ futures
  • Long Soybean Meal futures
  • Long KC Wheat futures
  • YTD = +31.0%
  • Portfolio leverage = 1.4X
  • Capital utilization = 23.0%
Markets under consideration
  • ACWI
  • 5-Yr T Bond futures
  • Gold futures
plb
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pdf icon Factor-Update-Oct-19-2019.pdf