Investment Outlook For February 2016

Market comment:

Equities sold off aggressively in the beginning of the year making this January one of the worst of the last 20 years. The market managed to start a small rebound just in the last few days leaving traders pondering if this is another temporary correction or the start of a bear market. In absence of evidence of a more pronounced global economic slowdown, the recent selling looks overdone. Many markets are back to prices last seen several years ago and this means that some bargains are starting to emerge.

The main driver of this correction was commodity prices hitting multi year lows and oil breaking below the 30$ a barrel resistance. Another factor were earnings reported for Q4 of 2015 which missed overly optimistic investor expectations. This was especially true for high tech Nasdaq 100 companies.

From our point of view, a major market characteristic returned back to normality: Traditional safe harbor assets, namely Treasuries and Gold. They both performed very well and were negatively correlated to the equities market thus providing a much needed protection. Due to this fact, most of our strategies performed significantly better than their benchmarks. Recent gold strength also helped our newest addition, the Gold-Currency strategy which had a good start at 3% return for the month.

Treasuries also profited from the fact that most analysts abandoned the idea of 4 upcoming rate hikes in 2016.

Going forward, we expect the markets to continue to be volatile. We have adjusted several of our strategies to work near their minimum volatility settings, which means that we try to hedge risk using treasuries and stay on the safer side of the market.

From Logical Invest, February 2016

Strategy performance overview:

symbol close year to date % ▴ 3 month % 1 month % 1 day % 60 day volatility 60 day correlation 3 month Sharpe 12 month Sharpe 36 month Sharpe LastModified: 1/30/2016
MYRS 602.13 7.04 1.68 7.04 2.22 26.83 0.41 0.38 -0.23 1.20
TLT 127.30 5.57 3.46 5.57 0.85 12.65 -0.30 1.68 -0.37 0.64
GOLD-USD 274.34 3.00 0.61 3.00 1.18 7.33 0.19 0.47 0.71 1.51
BRS 252.23 2.20 -0.19 2.20 0.46 5.84 0.36 -0.19 -0.55 1.74
GSRLV 481.02 1.34 -1.33 1.34 1.76 9.15 0.72 -0.79 -0.48 1.29
AGG 109.35 1.24 0.49 1.24 0.29 3.16 -0.06 0.89 0.01 0.90
UIS-SPXL-TMF 5090.62 1.03 -6.50 1.03 4.31 26.47 0.59 -1.19 -0.79 1.90
UIS 463.16 0.30 -1.47 0.30 1.59 9.34 0.68 -0.85 -0.37 1.98
BUGLEV 268.02 0.00 -0.87 0.00 0.00 3.80 0.66 -1.26 -1.36 1.03
WORLD-TOP4 262.07 -1.21 -5.97 -1.21 1.51 13.10 0.63 -2.20 -0.88 2.18
BUGST 205.39 -1.25 -2.12 -1.25 0.62 4.91 0.98 -2.25 -1.80 1.12
GMRS 3730.46 -1.27 -8.56 -1.27 2.59 19.59 0.81 -1.98 -1.36 0.38
SPY 193.72 -4.98 -6.74 -4.98 2.44 17.50 1.00 -1.86 -0.19 1.24
NASDAQ 100 933.93 -6.18 -0.54 -6.18 3.94 19.40 0.76 -0.15 0.39 2.68
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