MH Model Portfolio – Booking Profit on EUR/GBP Given UK Fiscal Woes

Portfolio Changes

We made one change since the last update with our portfolio up 0.2% since last week.

Exited Trades

Taking Profit on Long EUR/GBP

We took profit on EUR/GBP at 0.8659 in the past week. We believed Chancellor Reeves’ selloff would prove short lived, while a continuation of GBP downside would require UK data to be even more dovish later this week. We look to re-enter on downturns, with our long-term target still at 0.90.

Historic Performance

Our portfolio rose 0.4% since last week and is now up TKTK% YTD. The portfolio has returned +66.5% since inception (+10.0% annualised), with a 0.8 Sharpe ratio. This continues to place it above the average discretionary macro hedge fund since inception, which has gained 49% (Bloomberg: BHDMAC Index; Chart 1).

Current Trades

DM

Rates

1. Short 30y UST (50% position) (entry: 4.84%, target: 5.12%, stop: 4.70%) – read here.
2. Long SOFR Dec 25 (50% position) (entry: 96.130, target: 96.900, stop: 95.810) – read here.
3. Long SONIA Dec 26 (entry: 96.320, target: 97.000, stop: 96.150) – read here.
4. BTP-Bund Widener (entry: 1.02%, target: 1.30%, stop: 0.88%) – read here.
5. Euribor Z5/Z6 Steepener (entry: 0.175, target: 0.550, stop: 0.000) – read here.
6. Pay 1y EUR Inflation Swap (entry: 1.39%, target: 1.90%, stop: 1.15%) – read here.
7. Long 10y UK Linker (entry: 1.210%, target: 0.200%, stop: 1.700%) – read here.
8. Long Corra Dec 25 (entry: 97.645, target: 98.000, stop: 97.500) – read here.

FX

1. Short DXY (50% position) (entry: 99.80, target: 90.00, stop: 103.50) – read here.
2. Long NOK/SEK (entry: 0.9415, target: 1.000, stop: 0.918) – read here.
3. Long NOK/SEK put spread (0 outlay, but downside sub ~0.9310/20 on exp) – read here.

EM

Rates

1. Long 10Y CGB via onshore futures (TFTM5 at 107.315) (entry: 1.85%, target: 1.45%, stop: 1.75%) – read here.

FX

1. Long USD/CNH Jun 25 7.3×7.4 call spread (entry: 13bp, target: 60bp) – read here.
2. Short EUR/ZAR (entry: 20.670, target: 19.800, stop: 21.100) – read here.
3. Long EUR/PLN (50% position) (entry: 4.270, target: 4.450, stop: 4.180) – read here.

To see a full list of our trades since inception to the end of 2023, please see here.

(The commentary contained in the above article does not constitute an offer or a solicitation, or a recommendation to implement or liquidate an investment or to carry out any other transaction. It should not be used as a basis for any investment decision or other decision. Any investment decision should be based on appropriate professional advice specific to your needs. You are not permitted to publish, transmit, or otherwise reproduce this information, in whole or in part, in any format to any third party without the express written consent of Macro Hive. This includes providing or reproducing this information, in whole or in part, as a prompt.)