9th of 71, and the one score that let me down
A 92-minute global macro, multi-asset, long-only book run over four quarters. My macro calls were right almost all the way through. My rebalancing wasn't.
The mandate
- $20m starting capital, a 12-month horizon split into four quarters
- Benchmark fixed at 50% equity, 30% commodities, 20% fixed income, with ±10% allowed per asset class
- At least 90% invested at the start of each quarter, a maximum of $5m in any single product, no more than $500k lost on any one position, and no shorting
| Metric | Score |
|---|---|
| Risk appetite | 91% |
| Return on investment | 96% |
| Buy-side risk management | 96% |
| Portfolio rebalancing | 46% |
I finished about $2m up on $20m, ahead of the benchmark.
What went right
The macro reading was consistently good. The news followed 2018 closely: staged US–China tariffs, OPEC+ supply swings, the Turkish and Argentine crises, a hawkish Fed, then de-escalation and easing. I identified each theme correctly and positioned for it.
I got out of the trade war early. I sold Shanghai equities, iron ore and emerging markets on the first tariff escalation, before the $200bn round and before talks were cancelled.
I traded oil well in both directions. I trimmed on the OPEC+ production increase, exited on the IEA demand warning, then rebuilt on the December cut. It finished as one of the best positions in the book at roughly +$560k.
I re-entered China on the first trade-talks headline rather than the third. That was the largest single gain, at around +$731k.
Risk management held. No position ever breached the $500k loss limit, and the worst one was closed well before it got close.
What went wrong: rebalancing, 46%
This is the one clear failure, and it's worth understanding precisely because it's a process problem, not a judgement problem. The score measures time spent inside the asset class bounds continuously, not just at quarter ends.
- Execution lag. I repeatedly identified the right trade, then held off for three or four headlines before executing. Every one of those gaps was time spent in breach.
- Sitting on the bounds. Equity spent long stretches pinned at the 40% floor. Commodities sat below 20% for five headlines after I cut iron ore too hard.
- Over-cutting. Trims turned into near-full exits. Iron ore went from $3.1m to $437k when I meant a partial trim, and that caused the commodity breach.
Two other habits cost me. I traded gold six times in the first quarter to capture what was really one move, while the benchmark held a flat $2m and got the same exposure. And I kept sizing up on the second or third headline in a theme, by which point the move was priced in. Switching to acting on the first headline and then holding turned performance around straight away in Q2.
What I'd fix
- Check class weights before every trade, not after. Size the trade so the portfolio stays compliant.
- Execute immediately or not at all. A trade that isn't taken within one headline is no longer the same trade.
- Trim means trim. Specify the target position value, not the amount to sell.
- Keep positions off the bounds on purpose. Sitting at a limit means the next headline forces a trade whatever my view is. Staying mid-band keeps options open.
- Fewer, larger, earlier positions. The trades that made money were taken on the first signal and held. The ones that lost money were the round trips.