Christmas rally in the equity markets

The Christmas rally in the stock markets started on positive labor market data from the US and President Bush' rescue plan for US homeowners financing through subprime mortgages.
The composition of this portfolio is governed by the following criteria:
• The overall portfolio will have a max leverage of 200%.
• 25% of the capital will be allocated to Equities. 20% will stem from our Mean-Reversion Model for Equities. The remaining 5% will be a discre-tionary long or short indices position.
• 20% of capital will be allocated to do Market Neutral Equity trades. This part of the portfolio has been under revision due to a lack of per-formance. Going forward, we will base this part of the portfolio on our Fundamental Ranking Model.
• 35% of capital will be used to play FX Order Book break-outs and to hold FX mid- to long-term positions like Carry Trades and fundamental plays.
• 20% of capital will be allocated for other strategies such as fixed in-come and commodity spreads and other Market Neutral strategies. Other inputs will be pure commodity plays, FX options and single stock trades.
• The maximum drawdown on the entire portfolio from any single posi-tion will be 0.5%.
• The correlations between the positions composing the portfolio will be under constant scrutiny in order to ensure stable returns.