Markets are priced for perfection. The fund is positioned for uncertainty.
Current SPX put pricing through the next rebalance implies the market is assigning less than a 20% probability to a -10% drawdown on the S&P 500, and less than 15% to a retest of the war lows.
Three forces are shaping the road ahead: the euphoria in equities, the conflict in the Strait of Hormuz, and a possible inflation impulse. This note lays out the fund’s strategic and tactical response — across equities and fixed income — to each of them.
The global multi-asset macro fund implementing my research completed its first year of track record on May 5th — a year that included navigating the Trump tariffs and being correctly positioned through the Iran war via an overweight in energy.
First-year performance
Net return: +13.52% in EUR, +17.18% in USD
Volatility: 6.8%
Sharpe ratio: 1.7 (using the current 2% EUR risk-free rate)
Max drawdown: -4%
Given the fund’s capital-preservation mandate, current market-implied probabilities, and a conservative buffer, I’m working with the following base case through the next rebalance:
10% — Middle East conflict escalates
20% — Market re-prices a 2022-style high-inflation regime
70% — The 2023–present AI-boom regime continues
Every forecast and positioning decision in this note is probability-weighted across these three scenarios — covering equity sectors, regions, factors, and fixed income duration, currency, and credit quality.
Net of this rebalance, we expect the portfolio to deliver +1.83% over the next three months — 74 bps above our benchmark (3% annualized), with only 5 bps of additional volatility and materially better tail-risk management.
Below: the strategic and tactical overweights driving the 74 bps of expected alpha, the duration and credit-quality calls in fixed income, and how the 30% non-base-case tail is hedged.
