Macro Tsimmis

intelligently hedged investment

1Q07 Intelledgement Macro Strategy Investment Portfolio Report

Posted by intelledgement on Sun, 15 Apr 07

Summary of Intelledgement’s Model Macro Strategy Investment Portfolio performance as of 30 Mar 2007:

Position Purchased Shares Paid Cost Now Value Change ROI CAGR
EWA 03-Jan-07 383 23.50 9,008.50 25.95 9,938.85 10.33% 10.33% 51.80%
EWH 03-Jan-07 562 16.00 9,000.00 16.06 9,025.72 0.29% 0.29% 1.22%
EWM 03-Jan-07 988 9.10 8,998.80 10.83 10,700.04   18.91%   18.91% 108.63%
EWZ 03-Jan-07 192 46.85 9,003.20 49.22 9,450.24 4.97% 4.97% 22.85%
FXI 03-Jan-07 81 111.45 9,035.45 102.43 8,296.83 -8.17% -8.17% -30.39%
GLD 03-Jan-07 142 63.21 8,983.82 65.74 9,335.08 3.91% 3.91% 17.69%
IFN 03-Jan-07 196 45.90 9,004.40 38.14 7,475.44 -16.98% -16.98% -54.63%
IXC 03-Jan-07 81 111.47 9,037.07 111.45 9,027.45 -0.11% -0.11% -0.45%
PHO 03-Jan-07 489 18.41 9,010.49 18.69 9,151.15 1.56% 1.56% 6.80%
SLV 03-Jan-07 70 128.64 9,012.80 133.52 9,346.40 3.70% 3.70% 16.69%
USO 03-Jan-07 174 51.60 8,986.40 53.35 9,282.90 3.30% 3.30% 14.78%
cash 919.07 923.67
Overall 03-Jan-07 100,000.00 101,953.76 1.95% 8.56%
Macro HF 03-Jan-07 100,000.00 101,305.56 1.31% 5.66%
SPY 03-Jan-07 141.62 142.55 0.66% 2.66%

Position = symbol of the security the portfolio owns
Purchase = date when the security was acquired
Shares = number of shares the portfolio owns
Paid = price per share at time of purchase
Cost = total portfolio paid (including commission)
Now = price per share at time of statement
Value = what it is worth as of the date of the statement (# shrs multiplied by price per share plus value of dividends)
Change = Change since last report (blank for positions new since last report)
Return on Investment = on a percentage basis, the performance of this security to date
Compounded Annual Growth Rate = annualized ROI for this position (to help compare apples to apples)

Notes: The benchmark for this account is the Greenwich Alternative Investments Global Macro Hedge Fund Index, which historically (1988 to 2006 inclusively) provides a CAGR of around 15.5%. For comparison’s sake, we also show the SPDR S&P 500 ETF, which historically provides a CAGR of around 10.5%. Note that dividends are added back into the value of the pertinent security and not included in the “cash” total (this gives a more complete picture of the ROI for dividend-paying securities). Also, the “Cost” figures include a standard $8 commission (except for the SPY).

Transactions: All positions are shown presuming purchase on 3 Jan 07 at the closing price on 29 Dec 06; the Macro Hedge Fund Index and S&P 500 Index also reflect starting prices as of the 29 Dec 06 close. There were no sales or purchases subsequent to 3 Jan 07. We booked a dividend of $0.024/share for PHO on 16 Mar.

Summary: Aside from our Malaysia and Australian ETFs, it was a decidedly lackluster quarter. The meltdown in the volatile Shanghai stock market in early February—punctuated by a 7% loss in a single day in February—had a chilling effect on both the Chinese and Indian markets. Rising interest rates in India exacerbated their travails. Per our standard risk management policy, we did consider selling the FXI fund when it fell 10% (it actually bottomed at down 18% on 5 March) and we considered selling the IFN fund when it fell 10% (it also bottomed at down on 5 March down 19%). (We would have reviewed the positions again at a 20% loss level had that proved necessary.) Our view is that while the overall economic situation is precarious given the shakiness of the US dollar and the likelihood that higher interest rates and decline in the US real estate market will eventually decimate consumer spending, it is likely that China and the US will collaborate to avoid any serious crises until after the 2008 Olympics/US election cycle. Thus while we are prepared to shift into a defensive posture—index short funds and precious metals ETFs—if and when appropriate, we expect that the energy and emerging markets are likely to maintain an upwards momentum for another 18 months or more.

On the positive side, the Macro Hedge Fund Index had an even less impressive quarter than we did, and the S&P 500 index was essentially flat…so we did beat them both.

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