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Macro Risk Positions Change 2 October 2023

The risk model changes implied position in the Nikkei225 futures on market close (locally) on 2 October 2023, from 0.0 to -0.5.

Implied risk positions are from then on:

US (SP500):                                   ±0.0
EU (Estoxx50):                               -1.0
Japan (Nikkei225):                       -0.5
Fixed Income (US 10y TN):      -1.0

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Net short exposure on equities

Our proprietary equity risk forecasting model is changing exposure to equity risk from 0 (of neutral allocation) to -0.5 (i.e. net short) on market close (S&P500) today.

In terms of the Vindauge implementation, equity exposure is changing from 0 to -0.25 of NAV.

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Reducing equity risk

Our proprietary equity risk management strategy is reducing exposure to equity risk from 0.5 (of neutral allocation) to 0 on market close (S&P500) today.

In terms of the Vindauge implementation, equity exposure is reduced from 0.25 to 0 of NAV.