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Portfolio Update: 4 March 2019

We announce a major shift in our fundamental macro portfolio. We are eliminating exposure to EM bonds and equities and cutting exposure to the gold miners; positions held since early Dec. We raise exposure to short-dated Treasuries to 85% and initiate a 15% allocation to DM equities.

As we indicated two weeks ago, this shift is due to a further decline in our cost of capital indicator (COCI). The COCI has now fallen below    -75%, which is the zone where the global relief rally linked to the Fed’s volte-face would normally end to be replaced by increasing concern about the growth outlook and disinflation.

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