Horizon Strategy Q1 Results
After this initial decline, subsequent positioning remained light, as the relative strength of the portfolio managed to keep it afloat, despite overall market weakness.
A totally surprising move came in the middle of March, when the model completely rebalanced into Gold and Commodities, as the exaggerated moves in these asset classes formed a buy-the-dip opportunity. The timing was perfect and resulted in an increase of performance, to "save" the quarter from a more than 10% decline. As a rebound in risk assets formed, Horizon is poised to chase the market higher here, squeezing any shorts that get in the way. As usual, this is a high-risk, high-reward play here, as the market hangs in the balance and Signal Sigma strategies begin to diverge.
Horizon starts Q2 with a 51% allocation to stocks.
The charts below show the results of the strategy since January 2010, in order to put the current performance into perspective. Q1 equity curve is highlighted.