CF Eclectica Absolute Macro Fund commentary for the month ended November 30, 2015.
CF Eclectica Absolute Macro Fund – Performance Attribution Summary
The Fund made +2.9% in November, with gains from across all asset classes.
The biggest single contribution came from the Fund’s Chinese interest rate payers which made +1.4% as liquidity conditions tightened in the offshore market with market participants shifting currency holdings away from the yuan in response to the recent changes to the currency regime and a weakening economy.
This position continues to be an important risk allocation for Eclectica. Carry remains high and the strategy could, we believe, also contribute positively in a less benign “risk-off” scenario where capital flight gathers pace and short term rates spike. The continued deleveraging of long yuan positions versus the dollar should, in our view, see this position continue to perform strongly. However, losses on US treasuries and high-yield corporate credit reduced the aggregate return for fixed income to +1.0%.
Equities made +1.2% in total, European exposure contributed +0.8% as stock markets eked out further gains and consolidated their strong October performance. Positive returns from telecoms, recruiters and German property added to profits from the Fund’s tactical position in index futures. For the time being, our European equity plays remain domestically focused given the weakness in emerging markets and the commodity sector. Elsewhere, our oil services short position has continued to yield modest gains as the oil price continues to push towards post-crisis lows.
Japanese equity strategies returned +0.6%. Our short steel companies versus long Nikkei strategy was particularly profitable as were long holdings in robotics companies.
FX made +1.0% as our long dollar position versus the euro generated gains in anticipation of the long expected dispersion in monetary policy between the Federal Reserve and the ECB. Profits were pared back by losses on the consumer versus producer RV strategy discussed in our previous monthly.