Worst drop for risky assets in three months

Hi,

so today I got the first real test of my algo-portfolio... I haven't told you in detail how it works, but in general the idea is that it will perform strongly when traditional risky assets decline. Like today. Of course, nothing is for sure, but that should atleast work as a rule of thumb. But first a short reflection of todays markets.

In my view this could be a healthy set-back (maybe -4% on Eurostoxx is not that healthy...), since the markets needs to digest the massive performance seen so far year-to-date in risky assets, not to forget the massive liquidity injection seen from the LTRO I and II. The profit taking was really extensive, the drop in gold was definitely a sign of investors being massively long in many different assets. Even the yen got hit hard with stops being triggered all the way down to around 80.60. The reasons mentioned in markets today were for instance the Greece story that the CDS could be triggered if less than 75%  participate in the "voluntary" bond-deal, and rumours are that less than 70% will participate, secondly the story of lower growth in China also hit the screens (again) and in combination with worsening macro-data lately. This factors in combination with a strong run the first two months probably scared investors to take profits. I am not sure if this is the start of a deeper set-back, but I prefer to play if from to the long side, hoping this is a good oppurtunity to add to positions. So, I bought one more unit of USDJPY at 80.76 for a quick punt, as it seems like the stops are done for the day, I still think it is in a uptrend. I will have a tight stop at 80.40, targeting 81.45.

=> Discretionary

Long 3*USDJPY

(Todays price actions implies that I am small down in this portfolio)

=> Algo

I had to take my first stop today, as the long position in AUDCAD was stopped out at 1.0560. :(
However, given the strong performance in being short GBPJPY and EURUSD means that I currently stands at a new high in the total portfolio, USD 3360...! Which answers my first statement - my model performed strongly when risky assets declined.

Short GBPJPY
Short EURUSD

(tilted to risk-off, so will probably suffer if risk-appetite comes back into markets)