special report bca house the return of vol...special report february 6 2018 2 bca research inc....

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SPECIAL REPORT The Return Of Vol

In this Issue: F VIX Kicks ...................1

F Cyclical Outlook Still Solid ..........................2

F The Powell Put? .........4

F Investment Implications ..............7

February 6, 2018

Periodical

BCA HouseView Matrix

GLOBAL INVESTMENT STRATEGY

Editorial BoardPeter Berezin

Chief Global Strategist

Melanie Kermadjian Senior Analyst

Miroslav Aradski Senior Analyst

Stella Xin Peng Research Assistant

Dear Client,

In light of recent market turbulence, we are publishing our weekly report earlier than usual. Caroline Miller, Garry Evans, and I will also be hosting a webcast Wednesday morning at 10am EST to discuss the investment outlook.

Best regards, Peter Berezin, Chief Global Strategist

F Monday’s stock market rout was largely driven by technical factors. Strong economic growth and positive earnings surprises should keep the equity bull market intact.

F Nevertheless, investors need to adjust to the fact that volatility is likely to pick up, just as it did in the last few years of the 1990s bull market.

F The market’s expectations of where the funds rate will be over the next two years have almost converged with the Fed dots. In the near term, this will limit the ability of the 10-year Treasury yield to rise much above 3%.

F Looking further out, inflation is likely to move above the Fed’s target early next year, setting the stage for a recession starting in late 2019.

F A modest overweight on global risk assets is warranted for now, but investors should consider reducing risk exposure later this year.

VIX Kicks

Last week’s Global Investment Strategy report, entitled “Take Out Some Insurance,” argued that equities had become dangerously overbought and were highly vulnerable

to a correction.1 We noted that the VIX had likely bottomed for the cycle and that going long volatility had now become an attractive hedge against stock market declines.

1 Please see Global Investment Strategy Weekly Report, “Take Out Some Insurance,” dated February 2, 2018.

https://www.bcaresearch.com/trades/

https://www.bcaresearch.com/webcasts/index/181

https://gis.bcaresearch.com/articles/view_report/24457

SPECIAL REPORT FEBRUARY 6, 2018

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CHART 1

Volatility Is BackDiscover what you can do with BCA Analytics.

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NET LONGPOSITIONS**

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VIX SPECULATIVE POSITIONS** LONG SHORT

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U.S.VIX VOLATILITY INDEX*

* CHICAGO BOARD OF OPTIONS EXCHANGE SPX VOLATILITY INDEX. SHOWN SMOOTHED EXCEPT FOR LATEST DATA POINT.** SOURCE: CFTC.

© BCA Research 2018

As many of my colleagues have noted, betting on continued low volatility had become an in-creasingly crowded trade in recent years. Back in January, we observed that net short volatil-ity positions had reached record-high levels (Chart 1). We warned that “traders have been able to reap huge gains over the past few years by betting volatility will decline. The problem is that if volatility starts to rise, those same traders could start to unload their positions, leading to even higher volatility.”2 Precisely such a vicious cycle erupted on Monday, causing the S&P 500 to suffer its worst daily percentage loss since August 18, 2011.

The question is where do we go from here? So far, the sell-off in stocks looks largely technical in nature. Chart 2 shows that the VIX soared by roughly four times more on Monday than one would have expected based solely on the decline in equity prices. This suggests that the spike in volatility caused the stock market plunge, rather than the other way around. The relatively muted reaction of other “risk gauges” such as junk bonds, EM stocks, and gold prices over the past few days is consistent with this thesis.

Cyclical Outlook Still SolidIt is impossible to know if today’s rebound will persist or if the correction still has further to run. What we do know is that the cyclical underpinnings for the bull market remain in-tact. Leading economic data remain buoyant (Chart 3). Corporate earnings continue to come in above expectations (Chart 4).

2 Please see Global Investment Strategy Weekly Report, “Will Bitcoin Be DeFANGed?” dated January 12, 2018.

https://analytics.bcaresearch.com/


https://gis.bcaresearch.com/articles/view_report/24297


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None of our recession-timing indicators are flashing red.

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CHART 2

Monday’s VIX Spike Was Abnormally Large

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February 5, 2018

Outsized spike in VIXconsidering decline in stocks

R2 = 0.62

* CHICAGO BOARD OF OPTIONS EXCHANGE SPX VOLATILITY INDEX.

None of our recession-timing indicators are flashing red (Chart 5). The Conference Board’s LEI is rising at a healthy 5.5% y/y pace. Historically, a decisive break below zero in the year-over-year change in the LEI has been a reliable recession indicator. Likewise, while the U.S. 2/10-year Trea-sury curve has flattened, it has not inverted yet. Moreover, even once the yield curve inverts, the lags can be quite long before the recession begins. For example, in the last cycle, the yield curve inverted in early 2006, but the recession did not begin until December 2007.

This does not mean that everything will be smooth sailing from here. Monday’s sell-off marked an inflection point in the low-volatility world that has prevailed over the past few years. The VIX Humpty-Dumpty has been irrevocably broken. Going forward, volatility will remain elevated relative to what investors have come to expect. As the experience of the 1990s shows, stocks can still go up when volatility is trending higher (Chart 6), but this is going to make for a much more challenging investment environment.


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Discover what you can do with BCA Analytics.

CHART 3

Global Economic Backdrop Remains BuoyantCHART 4

Optimism Over 2018 Earnings Growth

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ADVANCED ECONOMIESECONOMIC SURPRISE INDEX*

* GDP-WEIGHED AVERAGE OF U.S., U.K., EURO AREA, AND JAPAN. ROLLING 3-MONTH STANDARD DEVIATION OF DATA SURPRISES. SOURCE: CITIGROUP GLOBAL MARKETS INC.** SOURCE: GOLDMAN SACHS (ACCESSED VIA BLOOMBERG FINANCE L.P.).*** BASED ON BCA CALCULATIONS.**** SOURCE: J.P. MORGAN / MARKIT.

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The Powell Put?How the Fed and other central banks react to this new world will be critical. It is perhaps not a complete coincidence that Monday’s crash occurred on the first day that Jay Powell took over the helm of the Fed. Investors are increasingly worried that the Fed will turn from friend to foe.

The faster-than-expected increase in average hourly earnings in January put those fears in stark relief. Accelerating wage growth sug-gests supply-side constraints are beginning to bite. This, in turn, means that the runway for low inflation and easy monetary policy may not be as long as some had hoped.




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CHART 5

No Signs Of An Imminent End To This Business Cycle

CHART 6

Volatility Can Increase As Stock Prices Rise

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TREASURY YIELD CURVE SLOPE**** 10-YEAR MINUS 3-MONTH YIELD 10-YEAR MINUS 2-YEAR YIELD

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* INSTITUTE FOR SUPPLY MANAGEMENT.** SHOWN AS A 3-MONTH MOVING AVERAGE.*** MANUFACTURING NONDEFENSE CAPITAL GOODS EXCLUDING AIRCRAFT.**** BASED ON MONTHLY DATA.NOTE: SHADED AREAS DENOTE NBER-DESIGNATED PERIODS OF RECESSIONS.

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* CHICAGO BOARD OF OPTIONS EXCHANGE SPX VOLATILITY INDEX.



As BCA editors discussed in our 2018 Out-look, “Policy And The Markets: On A Collision Course,” central banks are in the process of winding down the extraordinary stimulus that investors have gotten used to.3 Whether this undermines the case for holding stocks and other risk assets depends on how quickly the adjustment occurs.

3 Please see The Bank Credit Analyst, “2018 Outlook - Policy And The Markets: On A Collision Course,” dated November 20, 2017.

Central banks are in the process of winding down the ex-traordinary stimulus that investors have gotten used to.

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CHART 7

Core Inflation Outside Of Housing Is Still Low

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On the plus side, we continue to think the adjustment will be fairly gradual, at least for the time being. Core CPI inflation outside of shelter is still running at 0.7% (Chart 7). This gives the Fed plenty of wiggle room.

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* SOURCE: GOLDMAN SACHS (ACCESSED VIA BLOOMBERG FINANCE L.P.).

CHART 8

Financial Conditions Have Tightened Recently, But Are Still Easier Than They Were Last Year


20182017

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CHART 9

Yields Are Still Low By Historic Standards

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Just like Janet Yellen, Jay Powell will seek to build a consensus among his colleagues. Granted, the composition of the FOMC is likely to shift in a somewhat more hawkish direction. However, the evolution will be slow. In the meantime, the recommendations of career Fed staff will represent an important, and often underappreciated, source of continuity.

As in the past, the Fed will continue to monitor incoming economic and financial data and react accordingly. The stock market rout has led to some tightening in financial conditions, but FCIs in the U.S. and most other countries remain more expansionary than they were six months ago (Chart 8).

Just as importantly, the implosion of volatility funds is unlikely to reverberate across the financial system in the same way as it did during the financial crisis. What made the mortgage crisis so toxic was that the losses were concentrated in the books of highly leveraged financial institutions. In the case of volatility funds, that does not appear to be the case.

Investment ImplicationsGlobal bond yields remain quite low by historic standards and this should continue to support stocks. Indeed, even after the recent bond sell-off, average global bond yields are still close to half of what they were in 2011 – a time when global excess capacity was much greater than it is today (Chart 9).

In keeping with our structurally bearish view on bonds, which we first articulated on July 5, 2016 in a note entitled “The End of 35-Year Bond Bull Market,” we expect global bond yields to grind higher.4 However, in rate-of-change terms, the swift repricing of yields over the past few months has likely run its course. Chart 10 shows that market expectations of where the funds rate will be at the end of 2018 and 2019 have almost converged with the Fed dots. This convergence helped our short De-cember-2018 fed funds futures trade, which we closed at our stop for a gain of 70 bps last Friday.

A sustained move above 3% on the 10-year Treasury yield will require a more durable in-crease in inflation. Ultimately, we do expect

4 Please see Global Investment Strategy Special Report, “End Of The 35-Year Bond Bull Market,” dated July 5, 2016.

A sustained move above 3% on the 10-year Treasury yield will require a more durable increase in inflation.

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CHART 10

Market Pricing Has Almost Caught Up To The Fed’s Dots

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* AS DISCOUNTED IN THE OVERNIGHT INDEX SWAP CURVE. SHOWN SMOOTHED EXCEPT FOR LATEST DATA POINT.


core inflation to move above 2%, forcing the Fed to lift interest rates into restrictive terri-tory. However, this is likely to be a story for 2019 rather than 2018. Stocks tend to peak about six months before the start of reces-sions (Table 1). If the next recession occurs in late 2019, as we expect, the equity bull market could last a while longer. A modest overweight on global risk assets is warranted for now, but investors should consider reduc-ing risk exposure later this year.

ANNUALIZED REAL RETURNS (%) PRIOR TO RECESSIONS

MONTHS PRIOR TO RECESSION

13-TO-24 MONTHS

1-TO-24 MONTHS

7-TO-12 MONTHS

1-TO-12 MONTHS

1-TO-6 MONTHS

NON-RECESSION MONTHS

S&P 500

AVERAGE RETURNS POST-1950s 14.2 6.8 8.0 0.1 -7.8 10.1

JUL 1953 - MAY 1954 21.9 12.0 17.8 2.0 -13.8 14.7

AUG 1957 - APR 1958 15.8 7.1 -17.0 -1.6 13.9 19.3

APR 1960 - FEB 1961 31.3 16.8 6.6 2.2 -2.2 15.8

DEC 1969 - NOV 1970 13.4 -1.3 -11.0 -15.9 -20.7 5.8

NOV 1973 - MAR 1975 16.9 4.9 -11.3 -7.0 -2.7 6.2

JAN 1980 - JUL 1980 0.5 2.2 6.8 5.4 4.0 3.1

JUL 1981 - NOV 1982* … … 32.2 10.5 -11.2 4.0

JUL 1990 - MAR 1991 14.3 13.1 22.2 11.9 1.6 14.0

MAR 2001 - NOV 2001 8.9 -0.7 20.0 -10.3 -40.6 12.5

DEC 2007 - JUN 2009 11.6 7.6 13.6 3.6 -6.3 4.0

* FIRST 2 COLUMNS OMITTED DUE TO OVERLAP WITH PREVIOUS RECESSION PERIOD. NOTE: MONTHLY RETURNS ARE ANNUALIZED AND DEFLATED BY THE CONSUMER PRICE INDEX; CALCULATIONS ARE BASED ON TOTAL RETURN INDEX.

Returns tend to be strong in the late stage of the business cycle...

In more recent business cycles, investors have reaped strong returns in the 7-to-12 months prior to the recession

...but don’t overstay your welcome

TABLE 1

Too Soon To Get Out

Peter Berezin, Chief Global Strategist Global Investment Strategy [email protected]

2018




SPECIAL REPORT FEBRUARY 6, 2018BCA RESEARCH INC.


Strategy & Market Trends*EQUITY PRICES / WORLD

BENCHMARKS**BOND

YIELDSSHORT RATES

CURRENCY VS. US$

U.S. DOWN UP UP

CANADA UP UP UP UP

JAPAN UP FLAT FLAT FLAT

AUSTRALIA UP UP UP FLAT

U.K. FLAT UP UP FLAT

EURO AREA UP UP FLAT DOWN

EMERGING ASIA FLAT FLAT FLAT DOWN

LATIN AMERICA FLAT FLAT FLAT DOWN

* EXPECTATIONS FOR THE COMING 12 MONTHS. **EQUITY PRICES RELATIVE TO WORLD BENCHMARK EXPRESSED IN LOCAL CURRENCIES.

NOTE: ITALICIZED AND BOLDED TEXT INDICATES A CHANGE IN THE VIEW.



TRADE INCEPTION LEVEL

INITIATION DATE

RETURN-TO-DATE STOP COMMENTS

SHORT AUSTRALIAN DOLLAR / LONG JAPANESE YEN 87.958 FEB 01/2018 1.6% -5.0%

LONG S&P 500 / SHORT U.S. BARCLAYS HIGH YIELD CORPORATE BOND INDEX 100.00 JAN 11/2018 -2.3% -5.0%

LONG SWEDISH KRONA/ SHORT SWISS FRANC 0.1156 JUL 20/2017 2.1% 0.108

SHORT ONE UNIT OF EUR/USD & LONG 1.5 UNITS OF 30-YEAR U.S. TREASURYS VERSUS 30-YEAR GERMAN BUNDS 100.00 JAN 25/2018 -2.5% -2.5% CLOSE POSITION

SHORT FED FUNDS DEC 2018 FUTURES 98.65 SEP 07/2017 70 BPS 70 BPS CLOSE POSITION

The purpose of this section is to provide investment ideas independent of our asset allocation model or direct market forecasts. Once recommended, we will monitor the investment recommendation until we close it out.

Tactical Trades

This table summarizes our longer-term strategic recommendations. Some of these positions may not necessarily be consistent with our “Tactical Trades.”

Strategic Recommendations

POSITIONINCEPTION

LEVELINITIATION

DATERETURN-TO-DATE

CHANGE FROM PREVIOUS WEEK

COMMENTS

EQUITY RECOMMENDATIONS

LONG CHINA H-SHARE INDEX / SHORT EM EQUITIES1 100.00 FEB 23/2017 0.1% 1.1%

LONG EUROPE AND JAPAN / SHORT U.S. EQUITIES2 100.00 FEB 23/2017 -2.2% 0.8%

FIXED INCOME RECOMMENDATIONS

SHORT JAPAN 20-YEAR / LONG JAPAN 5-YEAR GOVERNMENT BOND 100.00 AUG 24/2017 0.4% -0.2%

SHORT U.S. 30-YEAR GOVERNMENT BOND 100.00 JUN 29/2017 3.3% 1.0%

LONG JAPANESE 10-YEAR CPI SWAP 22 BPS MAR 31/2016 37 BPS 0 BPS

LONG GERMAN 10-YEAR CPI SWAP 151 BPS FEB 27/2015 38 BPS 1.3 BPS

CURRENCY RECOMMENDATIONS

SHORT EURO / LONG BRITISH POUND 0.9033 AUG 03/2017 2.1% -1.2%

SHORT EURO / LONG RUSSIAN RUBLE 68.6511 JUL 06/2017 2.3% -0.6%

SHORT EURO / LONG CANADIAN DOLLAR 1.5132 MAY 18/2017 -1.6% -0.9%

LONG U.S. DOLLAR (DXY INDEX)3 86.915 OCT 31/2014 3.2% 1.3%

1 CURRENCY UNHEDGED; THE CORRESPONDING ETFS FOR THIS TRADE ARE THE HANG SENG INVESTMENT INDEX FUNDS SERIES: H-SHARE INDEX ETF (2828 HK), AND THE ISHARES MSCI EMERGING MARKETS ETF (EEM US). THE HANG SENG CHINA ENTERPRISE INDEX COMPRISES OF CHINA H-SHARES (CHINESE STOCKS AVAILABLE TO INTERNATIONAL INVESTORS) CURRENTLY TRADING ON THE HONG KONG STOCK EXCHANGE.2 EQUALLY-WEIGHTED BASKET. HEDGE CURRENCY EXPOSURE.3 PERFORMANCE EXCLUDES A CUMULATIVE CARRY OF 1.5%. NOTE: RETURNS RELATIVE TO BENCHMARK. MSCI WORLD FOR EQUITY RECOMMENDATIONS UNLESS OTHERWISE SPECIFIED. CUSTOM BENCHMARK FOR FIXED-INCOME RECOMMENDATIONS BASED ON GDP- WEIGHTED G10 GOVERNMENT BOND PERFORMANCE.

NOTE: STOPS ARE BASED ON DAILY CLOSING LEVELS. PLEASE NOTE THAT ALL CURRENCY TRADE CALCULATIONS INCLUDE COST OF CARRY.



* CYCLICALS INCLUDE MATERIALS, ENERGY, INDUSTRIALS, AND CONSUMER DISCRETIONARY; DEFENSIVES INCLUDE TELECOM, CONSUMER STAPLES, AND HEALTH CARE.** LONG CHINESE BANKS FROM MAY 23, 2014 UNTIL OCTOBER 17, 2014; LONG CHINESE A SHARES FROM OCTOBER 17, 2014 TO FEBRUARY 13, 2015. *** EQUALLY-WEIGHTED BASKET. HEDGE CURRENCY EXPOSURE.**** CURRENCY HEDGE ADDED AS OF SEPTEMBER 26, 2014.

Trades Closed In 2015-2018TRADE INCEPTION

LEVELINITIATION

DATECLOSING

DATEREALIZED

P&L TYPE OF TRADE

SHORT GOLD 1225 DEC 10/14 JAN 23/15 -5.0% TACTICAL

LONG S&P 500 / SHORT WTI 100 OCT 2013 FEB 6/15 126.5% STRATEGIC

LONG GERMAN 10-YEAR BUNDS / SHORT JAPANESE 10-YEAR JGBs 100 JUL 2013 FEB 27/15 13.5% STRATEGIC

LONG GREEK STOCKS 716.38 JAN 30/15 MAR 9/15 15.0% TACTICAL

LONG GOLD 1235 FEB 6/15 MAR 9/15 -5.0% TACTICAL

LONG U.S. DOLLAR / SHORT JAPANESE YEN 111.94 OCT 31/14 APR 10/15 7.5% TACTICAL

LONG INDIAN STOCKS / SHORT INDONESIAN STOCKS 5.29 OCT 24/14 APR 24/15 -5.0% TACTICAL

UNDERWEIGHT COMMODITY-MARKET EQUITIES 100 NOV 22/13 MAY 8/15 19.2% STRATEGIC

LONG CRB METALS INDEX / SHORT WTI CRUDE OIL 100 MAY 08/15 JUN 05/15 -5.0% TACTICAL

LONG S&P DIVIDEND ARISTOCRATS / SHORT NASDAQ 0.3370 OCT 24/14 JUN 05/15 -5.0% TACTICAL

LONG GLOBAL CYCLICALS / SHORT GLOBAL DEFENSIVES* 100 MAY 01/15 JUL 3/15 -5.0% TACTICAL

LONG CHINA H-SHARE INDEX** 11922.56 MAY 23/14 JUL 3/15 50.0% TACTICAL

SHORT CHINA A- SHARE INDEX / LONG CHINA H-SHARE INDEX 100 JUN 06/15 JUL 3/15 26.4% STRATEGIC

LONG ITALIAN 10-YEAR GOV’T BONDS 5.878% AUG 10/12 JUL 17/15 30.5% STRATEGIC

LONG EURO AREA BANK STOCKS 50.12 JAN 16/15 SEP 24/15 5.9% TACTICAL

LONG 30-YEAR U.S. TREASURYS / SHORT S&P 500 100 JUN 12/15 OCT 02/15 17.9% TACTICAL

LONG 12-MONTH NDF USD/CNY 6.4025 MAR 06/15 OCT 02/15 2.5% TACTICAL

LONG 2.1 UNIT OF U.S. BARCLAYS HIGH YIELD CORPORATE BOND INDEX / SHORT ONE UNIT OF S&P 500 100 OCT 22/15 NOV 26/15 -5.0% TACTICAL

SHORT NASDAQ 100 MAR 2016 FUTURES 4,692.50 NOV 06/15 JAN 20/16 16.2% TACTICAL

LONG CHINESE A-SHARES AND H-SHARES 100 JUL 01/15 MAY 19/16 -27.0% STRATEGIC

SHORT EURO / LONG JAPANESE YEN 139.15 JUN 01/15 JUN 16/16 19.4% STRATEGIC

SHORT EUROPEAN EQUITIES (U.S. DOLLAR TERMS) 100 JUN 09/16 JUN 24/16 8.2% TACTICAL

LONG U.S. 30-YEAR / SHORT U.S. 10-YEAR GOV’T BONDS 96 BPS FEB 07/14 JUL 08/16 22.5% STRATEGIC

SHORT BRITISH POUND / LONG SWEDISH KRONA 13.16 NOV 12/15 AUG 11/16 19.1% TACTICAL

LONG 10-YEAR U.S. TREASURYS / SHORT 10-YEAR GERMAN BUNDS 100 AUG 15/14 OCT 27/16 18.5% TACTICAL

LONG SPANISH 10-YEAR GOV’T BONDS / SHORT ITALIAN 10-YEAR GOV’T BONDS 16 BPS OCT 15/15 DEC 8/16 6.2% TACTICAL

LONG CHINESE BANK EQUITIES 100 MAY 19/16 JAN 19/17 32.3% STRATEGIC

SHORT U.S. DOLLAR / LONG RUSSIAN RUBLE 64.59 NOV 19/15 JAN 19/17 20.1% STRATEGIC

SHORT NASDAQ 100 MAR 2017 FUTURES 4820.50 AUG 23/16 FEB 23/17 -10.0% TACTICAL

SHORT U.S. / LONG BASKET OF EURO AREA, JAPANESE, AND CHINESE EQUITIES*** 100 FEB 6/15 FEB 23/17 -10.0% STRATEGIC

SHORT S&P 500 2389.52 MAY 4/17 JUN 15/17 -2.0% TACTICAL

SHORT EURO / LONG U.S. DOLLAR 1.1205 MAY 25/17 JUN 29/17 -1.6% TACTICAL

SHORT JAPANESE, GERMAN AND SWISS 10-YEAR GOV’T BONDS 100 JUL 5/16 JUN 29/17 5.3% STRATEGIC

SHORT FED FUNDS JAN 2018 FUTURES 98.79 APR 20/17 JUL 6/17 11 BPS TACTICAL

OVERWEIGHT AUSTRALIA (ADD CURRENCY HEDGE)**** 100 JAN 23/09 JUL 20/17 59.5% STRATEGIC

OVERWEIGHT NEW ZEALAND (ADD CURRENCY HEDGE)**** 100 JAN 23/09 JUL 20/17 74.2% STRATEGIC

LONG BRITISH POUND / SHORT JAPANESE YEN 132.01 AUG 11/16 AUG 3/17 9.9% TACTICAL

SHORT FED FUNDS JUN 2018 FUTURES 98.55 JUL 6/17 SEP 7/17 -18 BPS TACTICAL

LONG BRENT OIL DEC 2017 FUTURES 49.33 MAY 4/17 SEP 21/17 13.8% TACTICAL

SHORT S&P 500 2585.64 NOV 16/17 NOV 30/17 -2.0% TACTICAL

LONG 2-YEAR USD/ SAUDI RIYAL FORWARD CONTRACT 3.89 DEC 10/15 JAN 11/18 -2.9% STRATEGIC

LONG GLOBAL INDUSTRIAL STOCKS / SHORT GLOBAL UTILITIES 100 SEP 29/17 FEB 1/18 12% TACTICAL

LONG AUSTRALIAN DOLLAR / SHORT NEW ZEALAND DOLLAR 1.0815 APR 25/14 FEB 1/18 -1.8% STRATEGIC

SHORT ONE UNIT OF EUR/USD & LONG 1.5 UNITS OF 30-YEAR U.S. TREASURYS VERSUS 30-YEAR GERMAN BUNDS 100.00 JAN 25/2018 FEB 6/18 -2.5% TACTICAL

SHORT FED FUNDS DEC 2018 FUTURES 98.6500 SEP 7/2017 FEB 6/18 70 BPS TACTICAL

AVERAGE RETURN - - - 13.4% -

CUMULATIVE RETURN - - - 562.1% -

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