We’ve been running a model portfolio of all our trade ideas since the inception of the Macro Hive Professional product. With the year almost over, we review our trade ideas performed in 2021. The punch line is that the portfolio delivered returns of 11.5% with a Sharpe ratio of 1.9 and a max drawdown of 3.1% (Chart 1). Of course, this is a paper portfolio, so we are likely overstating the returns. From a narrative perspective, we started to the year with a full reflation view (long equities, EMFX, long oil, short rates) and then from Q2 onwards we turned more cautious (cross trades in equities, and rates flatteners). The reality is that we were likely very lucky with our calls.
We’ve been running a model portfolio of all our trade ideas since the inception of the Macro Hive Professional product. With the year almost over, we review our trade ideas performed in 2021. The punch line is that the portfolio delivered returns of 11.5% with a Sharpe ratio of 1.9 and a max drawdown of 3.1% (Chart 1). Of course, this is a paper portfolio, so we are likely overstating the returns. From a narrative perspective, we started to the year with a full reflation view (long equities, EMFX, long oil, short rates) and then from Q2 onwards we turned more cautious (cross trades in equities, and rates flatteners). The reality is that we were likely very lucky with our calls.
Subscribe to Macro Hive Professional to read this article
and enjoy exclusive professional features such as in-depth analysis, insightful op-eds, and more.
Already have Macro Hive Professional account? Log in