Wednesday June 15th, 2016
- The Fund continues to perform well in the current low-volatility environment as option premiums became thinner compared to earlier in the year.
- During the month the Fund was put into 6 equity positions. These equity positions remained stable around the put price and covered calls were written on all equity positions to create additional income for the Fund.
- At month end, the Fund is long 7 equities with covered calls, and short 70 puts on 39 unique names in the portfolio.
- As of month end, ~2.2% of the Fund was exposed to being put as options written on American Airlines and United Continental Holdings hovered in the money.
- The manager continues to implement a market hedge to protect the Fund from systematic risk of the whole market moving downwards. This market hedge was is currently maintained on ~7% of Fund’s NAV.
Markets ended higher this month on the back of general positive sentiment. Despite numerous macro overhangs, such as possible Fed rate hikes, a weaker yuan and an impending Brexit vote markets continued to climb the wall of worry. US data was better than expected across manufacturing, retail sales and jobs which bolstered calls for a rate hike by July. Canadian GDP and trade data were worse than expected, with the negative effects of the Alberta fires yet to filter into the data. The divergent economic pictures caused the loonie to sell off 4% on the month. Commodities continued to grind higher with crude finding comfort near $50. Investment grade credit and high yield remained in the sweet spot for investors wanting to own risk while also earning an attractive yield.