Full Report:

JPO Cross Asset Portfolio Monthly Report – October 2021

The portfolio performed well and delivered +9.5% return in October, bringing a
YTD return of +22.9%. The performance resulted from 50% equity exposure
together with 25% exposure to both real estate and commodities. The allocation
was fully leveraged (1.3x), as in September. There was no participation in Fixed
Income and the further flattening of the Treasury Yield curve.

Within equities, the selected S&P500 Health Care and Information Technology
sectors delivered 1.7% and 2.7%, respectively. The Real Estate index recovered
from its consolidation in September and contributed 2.3% to portfolio
performance, while achieving an all-time high around the month end. The US Oil
index continued its rally from September and attributed 2.8% to portfolio
performance.

Commodity exposure was solely to US Oil, with no allocation into Gold which
partly recovered from its decline in prior months. The rally in equity markets
came as investors shook off a number of concerns that had dogged Wall Street in
the prior month, when worries that high inflation, slowing growth and supply
chain logjams would lead to economic stresses for American companies and
consumers.

The index clearly outperformed all benchmarks. In particular the equally weighted
strategy constituent universe, which delivered +5.5%. The S&P500 (TR) delivered
+7.0%, while the less volatile HFRX Macro/CTA index gained +1.1%.

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