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The Great O’Neill lost 12.2% in September. Our worst month ever. What happened?
The Great O’Neill lost 12.2% in September. Our worst month ever. What happened?
Our long Coffee and short Soybean / Soybean Oil were simple futures positions. The loss / gains are given above. At the time of writing the Soybeans position is still live and on trend lower.
We had a small long call position in Silver. This is liquidated.
We had a hefty long call position in the S&P. This was liquidated at a substantial loss of 4.8% of AUM.
Complex Positions – WTI Oil and Natural Gas.
These positions are still live. The substantive component in these trades is long ‘in the money’ back month calls extending into 2022. The shorter-term aspect of these strategies is usually either, (i) short futures, (ii) short futures + covered put, (iii) short call, or (iv) no position.
The front month upward squeeze in Nat Gas futures was painful for the Great O’Neill and only partially offset by gains in its back month (March ’22) positions. The monthly Nat Gas loss was 4.4% of AUM.
Conclusion.
The Great O’Neill’s losses in September and this year for that matter are not a ‘risk control’ problem. The problem is that too many of its predictions have been wrong and not enough have been right.
